Combining varying training data-based artificial intelligence models for energy price forecasting

Abstract

ABSTRACT In this work, the price-forecasting accuracy of an ensemble of seasonal auto-regressive integrated moving average (SARIMA), multiple linear regression (MLR), feed-forward neural network (FFNN), and radial basis function (RBF) network models has been assessed in a single series modeling framework. The methodology involved training the individual models using past data windows of varying sizes and making the forecast for the next five days on a daily rolling basis. The hourly spot price data of the Iberian Electricity Market (MIBEL) is selected as the test case system. All the models have been tested on high and low-volatile data sets to assess their forecasting abilities. The forecast performance has also been assessed by participating in a real-time forecasting competition and comparing it with the earlier models proposed in the literature. The results show that the ensemble model is effective in producing better forecasts. But its forecast accuracy is greatly affected by the size of the training window and the combination of various models. The ensemble of the FFNN and RBF network models performs best when conditions are volatile. Moreover, during volatile periods it is better to use a small window size for training as compared to a large window size.