International Journal of Energy Research, Vol.45, No.2, 2511-2532, 2021
A novel hybrid deep neural network model for short-term electricity price forecasting
A Ubiquitous Power Internet of Things is fundamentally an Internet of Things, but focused upon power systems. Being able to predict these prices accurately may help with the identification of customer needs and the effective regulation of the power grid by power producers. It may also help electric power traders to manage risks, make correct decisions, and obtain more benefits. In this paper, a novel hybrid model is proposed for short-term electricity price prediction. The model consists of three algorithms: Variational Mode Decomposition (VMD); a Convolutional Neural Network (CNN); and Gated Recurrent Unit (GRU). This is called SEPNet for convenience. The annual electricity price data is divided into seasons because of seasonal differences in the time series of electricity prices. The VMD algorithm is used to decompose the complex time series of electricity prices into intrinsic mode functions (IMFs) with different center frequencies. The CNN is used to further extract the time-domain features for all the intrinsic model functions in the VMD domain. The GRU is then employed to process and learn the time-domain features extracted by the CNN, leading to the final prediction. A comparison is made with five models, such as LSTM, CNN, VMD-CNN, BP, VMD-ELMAN. The results showed that the proposed model had the best performance, and it was found that using VMD can improve the Mean Absolute Percentage Error (MAPE) and Root Mean Square Error (RMSE) for the four seasons by 84% and 81%, respectively. The addition of GRU in the SEPNet model further improved the MAPE and RMSE by 19% and 25%, respectively. Including CNN and VMD-CNN, that shows that the proposed model has the best performance. The MAPE and RMSE for the four seasonal averages are 0.730% and 0.453, respectively. This confirms that the SEPNet model has the feasibility and high accuracy to predict short-term electricity prices.