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Short Term Electricity Price Forecasting

Through Convolutional Neural Network (CNN)

Zahoor Ali Khan, Sahiba Fareed, Mubbashra Anwar, Afrah Naeem, Hira Gul,

Arooj Arif and Nadeem Javaid

Abstract High price ﬂuctuations have a direct impact on electricity market. Thus,

accurate and plausible price forecasts have been implemented to mitigate the con-

sequences of price dynamics. This paper proposes two techniques to deal with the

Electricity Price Forecasting (EPF) problem. Firstly, Convolutional Neural Network

(CNN) model is used to predict the EPF. Secondly, a principle component analysis

model is used for the feature extraction. We have conducted simulations to prove

the effectiveness of the proposed approach, which show that CNN based approach

outperforms the multilayer perceptron model.

1 Introduction

Short term price forecasting has become the crucial issue in electricity market [1].

Electricity Price Forecasting (EPF) has been classiﬁed into ﬁve categories: (1) self-

organized system, (2) fundamental models, (3) non-structured methods, (4) statis-

tical models, and (5) computational intelligence approaches. Computational intelli-

gence models are also referred to as artiﬁcial intelligence models [2]. The Artiﬁcial

Intelligence (AI) model is able to deal with complex systems including nonlinear

and statistical systems. Convolution Neural Network (CNN), Artiﬁcial Neural Net-

work (ANN) and Recurrent Neural Network (RNN) have been extensively used as

classiﬁers in literature and real-time applications. ANN is the widely used method

for forecasting short term electricity load and price forecasting. However, it uses

Zahoor Ali Khan

Faculty of Computer Information Science,

Higher Colleges of Technology, Fujairah 4114, United Arab Emirates

Sahiba Fareed, Mubbashra Anwar, Afrah Naeem, Hira Gul, Arooj Arif and

Nadeem Javaid (corresponding author), e-mail: nadeemjavaid@comsats.edu.pk

COMSATS University Islamabad, Islamabad 44000, Pakistan

1

2 Sahiba et.al

back propagation algorithm, which increases the complexity of algorithm. ANN

takes too many features which cause the problem of overﬁtting. ANN can easily

trap in local minima. It takes greater time in testing the data. According to the his-

torical study, the lack of feature selection, data extraction, and efﬁcient training pro-

cedures have become a major problem for accurate price forecasting [1]. However,

advancement in neural networks have a major impact on reducing such problems.

The development in neural networks progresses to make an accurate measurement

with less computational time. Therefore, the main purpose of this literature is to

propose the ﬁnest model for Electricity Price Forecasting (EPF). CNN is the intel-

ligent classiﬁer for the prediction. Some external and internal features can easily

affect the EPF. Internal factors such as balance in supply, demand and EPF have an

immense effect on price forecasting. Market design, weather conditions, humidity

and temperature are the external factors affecting the price forecasting.These factors

have an important affect on the EPF shown in Fig. 1.

Fig. 1: Factors Affecting EPF

2 Related Work

In [1], authors use fundamental models for forecasting purpose in electricity market.

These models accurately forecast the electricity price as model depicts its demand

Short Term Electricity Price Forecasting 3

and supply. Recently, econometric time series models and machine learning meth-

ods, including Artiﬁcial Neural Networks (ANN) have been developed. However,

ANN model gets trapped in local minima, which is considered the biggest drawback

of this model. In [3], owing to complex drivers and sharp changes of electricity price,

forecasting electricity price accurately becomes a difﬁcult task. Two main problems

are found in existing relevant models. Firstly, a hybridized model combined with

Empirical Mode Decomposition (EMD) suffers from its limitation, results in re-

ducing the accuracy of the model. Secondly, the aforementioned model is not able

to classify the features of electricity price, when it combined with linear and non-

linear models . However, improved EMD has a mode mixing problem. In [4], as

the increase in integration of Renewable Energy Resources (RER), it increases the

volatility of price, hence; there is unpredictable change in the market agent’s behav-

ior, so sudden drops in production and consumption occur more likely. However, this

imbalance increases the electrical grids unstability. In [6], the ANN model is used

for the prediction of electric load forecasting. Some optimization technique can be

applied to increase efﬁciency of deep learning model. In [7], authors have proposed

a framework for the prediction of over voltage. Sparse auto-encoder is used for the

forecasting. Single layer sparse auto-encoder is used for the dimensionality reduc-

tion and automate feature extraction. In [8], EMD is used to denoise input electrical

load signal. The processed data is transferred to mixed-Extreme Learning Machine

(ELM) for forecasting. Mixed kernel combines Radial Basis Function (RBF) ker-

nel and Unscented Kalman Filter (UKF) kernel. However, EMD has mode mixing

problem. ELM performs forecasting in one go as it is single feed forward neural

network, though, it cannot tune parameters effectively. So, accuracy of such models

is questionable. In [9], they proposed two stage model, the ﬁrst is Simple Moving

Average (SMA) and second one is Random Forest [RF]. Although, the number of

decision trees increase in RF, it causes over ﬁtting problem. RF does not perform

well in this work, when the number of trees are greater than 128. SMA predicts load

on previous trends. Although, there is more volatility in short time frames as com-

pared to long time frames. So, it does not show good results in short time frame.

In [10], they deal with the problem of feature selection. Feature selection is the key

concept for the accurate results. In many cases, load and price forecast methods face

the problem of appropriate feature selection techniques. In [12], the traditional short

term load forecasting is conducted by deterministic theories, i.e., Gray Model (GM),

time series method, Support Vector Regression (SVR), and Back-Propagation Neu-

ral Network (BPNN) model. However, all of these techniques have few limitations,

which are enlisted below.

•The simulations of the interrelated parameters of loads and mathematical model’s

parameters become complex.

•Enhancements are required in the forecasting accuracy.

•There are not satisfactory forecasting effects.

•These models are not able to reﬂect the actual load in real time environment.

4 Sahiba et.al

The techniques [13]-[19] are also developed for the energy management in different

perspectives. By following all the aforementioned techniques, we have proposed a

new technique in order to overcome their trade-offs.

3 Proposed Methodology

In this paper, the proposed model is used for electricity price forecasting. In the pro-

posed model, three modules are used. In the ﬁrst module, Mutual Information (MI)

is used for feature selection. In the second module, Principal Component Analysis

(PCA) is used for feature extraction. In the third module, CNN is used for electricity

price forecasting.

Fig. 2: Overview of System Model

3.1 Data Processing

CNN requires the best selection of input data. The dataset includes the feature of

weather conditions which require normalization and standardization. These pro-

cesses provide a common scale to input data. Seasonality is removed through nor-

malization.

3.2 Feature Selection

Feature selection is the process, which reduces the complexity of model and makes

it easier to interpret. It provides more accuracy to the model, if input data is correct

according to the situation. In paper [1], MI provides the best detection over the non-

linear relationship.

Short Term Electricity Price Forecasting 5

3.3 Feature Extraction

In the proposed model, PCA is used for feature extraction. This provides the less

computational time and more accuracy. PCA reduces the over ﬁtting problem and

dimensionality by denoising the data. Data normalization is important for perform-

ing PCA.

3.4 Price Forecasting

The appropriate methods for electricity prices have considered the deterministic pat-

ters. CNN is used for electricity price forecasting. CNN consists of the multiple hid-

den layers. The ﬁrst layer is called the convolution layer. Convolution layer contains

the ﬁlters used for mapping input data and prioritizing them. Relu function applies

the kernel ﬁlter to the matrices and assigns them weights in the ﬁrst layer. The

neurons in this layer connect to other neurons and pass the information to hidden

layers. The second layer is pooling, which takes information from the convolution

layer, calculates the average and the maximum value of a class. It also reduces the

dimensionality. There are two types of pooling, one is large and other is small. Small

pooling covers little area of the ﬁeld. Secondly, the pooling layer is used to extract

these features with high priority, which also processes the noise suppression. The

third layer is dense layer, in which each neuron is connected to the neuron of the

other layers. The structure of dense layer is similar to multiple layer perceptron. The

dense layer uses the matrix form of data and converts it into the vector form. The

fourth layer is dropout layer, which is a regularization technique aims to reduce the

complexity of the model with the goal to prevent over ﬁtting.

4 Simulation Results

The ﬁnal results of the prediction have been discussed in this section. Importance of

selected features is calculated by MI. A threshold value is deﬁned for the selection

of the best features. Features that have importance smaller than or equal to a thresh-

old value as shown in Fig. 4, are selected for the prediction results. Some features

are highly important for the prediction, i.e., RT-LMP, RT-EC. Some features have

importance greater than 0.15. However, the value of the threshold is taken as 0.15.

The features that have greater values than the threshold, are dropped. PCA is used

for the extraction, which deals with dimensionality reduction, as shown in Fig. 5.

The appropriate methods for electricity prices have considered the deterministic

patters as well as stochastic components. CNN is used for EPF.

6 Sahiba et.al

Fig. 3: Flow Chart of CNN

Fig. 4: Feature Selection using MI

Short Term Electricity Price Forecasting 7

Fig. 5: Feature Extraction Using PCA

Fig. 6: Electricity Price Forecasting Using CNN

5 Conclusion

CNN is the widely used method for forecasting short term EPF. ANN is used for

classiﬁcation; however, it uses back propagation algorithm, which increases the

complexity of algorithm. ANN takes too many features, which cause the problem of

overﬁtting. ANN can easily trap in local minima. In this paper, we have proposed a

model for short term EPF using CNN with PCA. The proposed model is compared

with benchmark methods from the results and it is concluded that proposed model

performs better than the benchmark method.

8 Sahiba et.al

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