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SCIENTIA SINICA Informationis, Volume 48, Issue 10: 1300-1315(2018) https://doi.org/10.1360/N112018-00075

Decomposition-optimization-ensemble learning approach for electricity price forecasting

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  • ReceivedMar 30, 2018
  • AcceptedMay 25, 2018
  • PublishedOct 9, 2018

Abstract

随着新一轮电力市场改革的持续推进, 电价作为反映市场运营状况的重要指标, 准确预测电价能够帮助电力市场博弈方进行风险规避, 达到经济收益最大化.本文提出了一种新的基于分解–优化–集成(decomposition-optimization-ensemble, DOE)的混合学习模型来预测电价,首先利用快速集成经验模态分解方法将波动性较大的电价数据分解成一系列本征模态函数和一个残差序列.然后对鲸鱼算法从收敛速度、精度和算法搜索能力3个方面进行改进, 再利用改进的鲸鱼算法优化径向基神经网络的扩展系数,采用优化后的径向基神经网络模型对分解得到的本征模态函数和残差序列进行预测.最后对分解后的子序列预测值进行集成, 得到电价的预测值. 为了验证混合学习模型的预测效果,本文对美国宾夕法尼亚–新泽西–马里兰电力市场的电价进行中长期和短期预测.实证结果显示DOE混合学习模型在水平精度和方向精度上均能获得很好的效果.


Funded by

国家自然科学基金(批准号: 61773401,61304067,11601524,61761130081,11571368)


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  • Figure 1

    (网络版彩图) FEEMD-IWOA-RBF混合学习框架

  • Figure 2

    (网络版彩图) PJM电力市场原始电价数据

  • Figure 3

    (网络版彩图) FEEMD算法分解后的电价序列

  • Figure 4

    (网络版彩图) 预测模型中长期预测相对误差

  • Figure 7

    (网络版彩图) 混合模型短期预测相对误差

  • Figure 8

    (网络版彩图) 模型的RMSE结果对比图

  • Figure 13

    (网络版彩图) 模型的$D_s$结果对比

  •   

    Algorithm 1 IWOA算法

    Initialize the whales' population $X_i~(i=1,2,\ldots,n)$ and calculate the fitness of each whale;

    $X^*_{\rm~prey}=$ the fittest whale (a similar position of the prey);

    while $l<$ maximum number of iterations

    for each whale

    Update $a,~A,~C,~t$ and $p$;

    if1 $p<0.5$

    if2 $|A|<1$

    update the position of the current whaleby 13;

    else if2 $|A|>1$

    Select a random whale $X_{\rm~rand}$;

    Update the position of the current whale by 5;

    end if2

    else if1 $p>0.5$

    Update the position of the current whale by 7;

    end if1

    Using quantum method to update the positions of all the whales by 10;

    Choose the better updating method by comparing the fitness of 5, 7, 13 and 10;

    end for

    Check if any whale goes beyond the search space and amend it;

    Calculate the fitness of each whale;

    Update $X^*_{\rm~prey}$ if there is a better solution;

    $l=l+1$;

    end while

    return $X^*_{\rm~prey}.$

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