Short-term Electricity Price Forecasting Based on Empirical Mode Decomposition and Deep Neural Network

Abstract

Accurate short-term price forecasting is crucial for the power system and electricity market. This paper proposes a hybrid short-term electricity price forecasting model based on empirical mode decomposition (EMD) and deep neural network (DNN). Firstly, EMD is used to denoise the data set. Next, the reconstructed data are input into the DNN composed of a convolutional neural network (CNN) and long-short-term memory (LSTM) neural network to analyze the characteristics and output the prediction results. Finally, the superiority of this model is verified by comparing the electricity price data of the Australian electricity market with a single LSTM network, EMD-CNN model, and CNN-LSTM model.