Hybrid neural-evolutionary model for electricity price forecasting
Srinivasan, Dipti, Guofan, Zhang, Khosravi, Abbas, Nahavandi, Saeid and Creighton, Doug 2011, Hybrid neural-evolutionary model for electricity price forecasting, in IJCNN 2011 : Proceedings of the International Joint Conference on Neural Networks, IEEE, [San Jose, Calif.], pp. 3164-3169.
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Hybrid neural-evolutionary model for electricity price forecasting
Evolving artificial neural networks has attracted much attention among researchers recently, especially in the fields where plenty of data exist but explanatory theories and models are lacking or based upon too many simplifying assumptions. Financial time series forecasting is one of them. A hybrid model is used to forecast the hourly electricity price from the California Power Exchange. A collaborative approach is adopted to combine ANN and evolutionary algorithm. The main contributions of this thesis include: Investigated the effect of changing values of several important parameters on the performance of the model, and selected the best combination of these parameters; good forecasting results have been obtained with the implemented hybrid model when the best combination of parameters is used. The lowest MAPE through a single run is 5. 28134%. And the lowest averaged MAPE over 10 runs is 6.088%, over 30 runs is 6.786%; through the investigation of the parameter period, it is found that by including future values of the homogenous moments of the instant being forecasted into the input vector, forecasting accuracy is greatly enhanced. A comparison of results with other works reported in the literature shows that the proposed model gives superior performance on the same data set.
ISBN
9781457710865
Language
eng
Field of Research
089999 Information and Computing Sciences not elsewhere classified
Socio Economic Objective
970108 Expanding Knowledge in the Information and Computing Sciences
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