Short-Term Electricity Price Forecasting Model Using Interval-Valued Autoregressive Process

Abstract

The uncertainty that dominates in the functioning of the electricity market is of great significance and arises, generally, because of the time imbalance in electricity consumption rates and power plants’ production capacity, as well as the influence of many other factors (weather conditions, fuel costs, power plant operating costs, regulations, etc.). In this paper we try to incorporate this uncertainty in the electricity price forecasting model by applying interval numbers to express the price of electricity, with no intention of exploring influencing factors. This paper represents a hybrid model based on fuzzy C-mean clustering and the interval-valued autoregressive process for forecasting the short-term electricity price. A fuzzy C-mean algorithm was used to create interval time series to be forecasted by the interval autoregressive process. In this way, the efficiency of forecasting is improved because we predict the interval, not the crisp value where the price will be. This approach increases the flexibility of the forecasting model.

Keywords

• electricity price series
• fuzzy C-mean
• interval series
• interval autoregressive forecasting