Electricity Price Modeling Using Support Vector Machines by Considering Oil and Natural Gas Price Impacts
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Date
2015
Authors
Shiri, Ali
Afshar, Mohammad
Rahimi-Kian, Ashkan
Maham, Behrouz
Journal Title
Journal ISSN
Volume Title
Publisher
2015 IEEE International Conference on Smart Energy Grid Engineering (SEGE)
Abstract
Accurate electricity price prediction is one of the most important parts of decision making for electricity market participants to make reasonable competing strategies. Support Vector Machine (SVM) is a novel algorithm based on a predictive modeling method and a powerful classification method in machine learning and data mining. Most of SVM-based and non-SVM-based models ignore other important factors in the electricity price dynamics and electricity price models are built regard to just historical electricity prices; However, electricity price has a strong correlation with other variables like oil and natural gas price. In this paper, single SVM model is used to combine diverse influential variables as 1-Historical Electricity Price of Germany 2-GASPOOL price as first natural gas reference price 3-Net-Connect-Germany (NCG) price as second natural gas reference price 4- West Texas Intermediate (WTI) daily price as US oil benchmark. The simulation results show that using oil and natural gas prices can improve SVM model prediction ability compared to the SVM models built on mere historical electricity price.
Description
Keywords
Support vector machines, Predictive models, Forecasting, Hidden Markov models, Training, Natural gas, Time series analysis
Citation
Ali Shiriz, Mohammad Afshar, Ashkan Rahimi-Kian and Behrouz Maham; 2015; Electricity Price Modeling Using Support Vector Machines by Considering Oil and Natural Gas Price Impacts; 2015 IEEE International Conference on Smart Energy Grid Engineering (SEGE); http://nur.nu.edu.kz/handle/123456789/2024