Please use this identifier to cite or link to this item: https://doi.org/10.1109/IJCNN.2011.6033640
Title: Hybrid neural-evolutionary model for electricity price forecasting
Authors: Srinivasan, D. 
Guofan, Z.
Khosravi, A.
Nahavandi, S.
Creighton, D.
Keywords: Electricity price
forecasting models
Hybrid algorithms
neural network
Issue Date: 2011
Source: Srinivasan, D.,Guofan, Z.,Khosravi, A.,Nahavandi, S.,Creighton, D. (2011). Hybrid neural-evolutionary model for electricity price forecasting. Proceedings of the International Joint Conference on Neural Networks : 3164-3169. ScholarBank@NUS Repository. https://doi.org/10.1109/IJCNN.2011.6033640
Abstract: 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. © 2011 IEEE.
Source Title: Proceedings of the International Joint Conference on Neural Networks
URI: http://scholarbank.nus.edu.sg/handle/10635/70502
ISBN: 9781457710865
DOI: 10.1109/IJCNN.2011.6033640
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