A New Hyper-Parameter Optimization Method for Power Load Forecast Based on Recurrent Neural Networks

The selection of the hyper-parameters plays a critical role in the task of prediction based on the recurrent neural networks (RNN). Traditionally, the hyper-parameters of the machine learning models are selected by simulations as well as human experiences. In recent years, multiple algorithms based on Bayesian optimization (BO) are developed to determine the optimal values of the hyper-parameters. In most of these methods, gradients are required to be calculated. In this work, the particle swarm optimization (PSO) is used under the BO framework to develop a new method for hyper-parameter optimization. The proposed algorithm (BO-PSO) is free of gradient calculation and the particles can be optimized in parallel naturally. So the computational complexity can be effectively reduced which means better hyper-parameters can be obtained under the same amount of calculation. Experiments are done on real world power load data, where the proposed method outperforms the existing state-of-the-art algorithms, BO with limit-BFGS-bound (BO-L-BFGS-B) and BO with truncated-newton (BO-TNC), in terms of the prediction accuracy. The errors of the prediction result in different models show that BO-PSO is an effective hyper-parameter optimization method.