A Multiscale Electricity Price Forecasting Model Based on Tensor Fusion and Deep Learning

Abstract

The price of electricity is an important factor in the electricity market. Accurate electricity price forecasting (EPF) is very important to all competing electricity market parties. Decision-making in the electricity market is highly dependent on electricity prices, making an EPF model an important part of the orderly and efficient operation of the electricity market. Especially during the COVID-19 pandemic, the prices of raw materials for electricity production, such as coal, have risen sharply. Forecasting electricity prices has become particularly important. Currently, existing EPF prediction models face two main challenges: First, how to integrate multiscale electricity price data to obtain a higher prediction accuracy. Second, how to solve the problem of data noise caused by the fusion of EPF samples and multiscale data. To solve the above problems, we innovatively propose a tensor decomposition method to integrate multiscale electricity price data and use L1 regularization and wavelet transform to remove data noise. In general, this paper proposes a deep learning EPF prediction model, named the WT_TDLSTM model, based on tensor decomposition, a wavelet transform, and long short-term memory (LSTM). Among them, the LSTM method is used to predict electricity prices. We conducted experiments on three datasets. The experimental results of three data prove that the WT_TDLSTM model is better than the compared EPF model. The indicators of MSE and RMSE are 33.65–99.97% better than the comparison model. We believe that the WT_TDLSTM model is a good supplement to the EPF model.

Keywords

• electricity price forecasting (EPF)
• wavelet transform
• tensor fusion
• long short-term memory (LSTM)