Electricity market price forecasting based on weighted nearest neighbors techniques

IEEE Transactions on Power Systems

Volumn 22, Issue 3, 2007, Pages 1294-1301

  Troncoso Lora, Alicia ^a   Riquelme Santos, Jesús M ^b   Gómez Expósito, Antonio ^b   Martínez Ramos, José Luis ^b   Riquelme Santos, José C ^b  

^a UNIVERSIDAD PABLO DE OLAVIDE   (Spain)

^b UNIVERSITY OF SEVILLE   (Spain)

Author keywords

Electricity market prices; Forecasting; Time series; Weighted nearest neighbors

Indexed keywords

COST ACCOUNTING; COSTS; FORECASTING; INDUSTRIAL ECONOMICS; TIME SERIES ANALYSIS;

ELECTRICITY MARKET PRICES; PRICE FORECASTING; WEIGHTED NEAREST NEIGHBORS;

ELECTRIC INDUSTRY;

EID: 34548052040     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2007.901670     Document Type: Article

References (19)

1. J. L. M. Ramos, A. G. Expósito, J. M. R. Santos, A. T. Lora, and A. R. M. Guerra, "Influence of ANN-based market price forecasting uncertainty on optimal bidding," in Proc. PSCC Power System Computation Conf., Sevilla, Spain, Nov. 2002.
2. R. C. García, J. Contreras, M. van Akkeren, J. Batista, and C. García, "A GARCH forecasting model to predict day-ahead electricity prices," IEEE Trans. Power Syst., vol. 20, no. 2, pp. 867-874, May 2005.
3. J. Contreras, R. Espínola, F. J. Nogales, and A. J. Conejo, "ARIMA models to predict next-day electricity prices," IEEE Trans. Power Syst., vol. 18, no. 3, pp. 1014-1020, Aug. 2003.
4. F. J. Nogales, J. Contreras, A. J. Conejo, and R. Espinola, "Forecasting next-day electricity prices by time series models," IEEE Trans. Power Syst., vol. 17, no. 2, pp. 342-348, May 2002.
5. B. R. Szkuta, L. A. Sanabria, and T. S. Dillon, "Electricity price short-term forecasting using artificial neural networks," IEEE Trans. Power Syst., vol. 14, no. 3, pp. 851-857, Aug. 1999.
6. B. Ramsay and A. J. Wang, "A neural network based estimator for electricity spot-pricing with particular reference to weekend and public holidays," Neurocomputing, vol. 23, pp. 47-57, 1998.
7. L. Zhang, P. B. Luh, and K. Kasiviswanathan, "Energy clearing price prediction and confidence interval estimation with cascaded neural networks," IEEE Trans. Power Syst., vol. 18, no. 1, pp. 99-105, Feb. 2003.
8. B. V. Dasarathy, Nearest Neighbour (NN) Norms: NN Pattern Classification Techniques. New York: IEEE Computer Society Press, 1991.
9. S. Dudani, "The distance-weighted K-nearest-neighbor rule," IEEE Trans. Syst., Man, Cybern,, vol. SMC-4, no. 1, pp. 325-327, 1975.
10. A. Troncoso, J. M. Riquelme, J. C. Riquelme, A. Gómez, and J. L. Martínez, "Time-series prediction: Application to the short-term electric energy demand," Lecture Notes in Artific. Intell., vol. 3040, pp. 577-586, 2004.
11. A. Troncoso, J. C. Riquelme, J. L. Martínez, J. M. Riquelme, and A. Gómez, "Influence of kNN-based load forecasting errors on optimal energy production," Lecture Notes in Artific. Intell., vol. 2902, pp. 189-203, 2003.
12. M. B. Kennel, R. Brown, and H. D. I. Abarbanel, "Determining embedding dimension for phase-space reconstruction using a geometrical construction," Phys. Rev. A., vol. 45, no. 6, pp. 3403-3411, 1992.
13. A. J. Conejo, M. A. Plazas, R. Espínola, and A. B. Molina, "Day-ahead electricity price forecasting using the wavelet transform and ARIMA models," IEEE Trans. Power Syst., vol. 20, no. 2, pp. 1035-1042, May 2005.
14. A. M. González, A. M. San Roque, and J. García-González, "Modeling and forecasting electricity prices with input/output hidden markov models," IEEE Trans. Power Syst., vol. 20, no. 1, pp. 13-24, Feb. 2005.
15. Compañía Operadora del Mercado Español de Electricidad (Spanish Market Operator), [Online]. Available: http://www.omel.es
16. A. Troncoso, J. Riquelme, J. Riquelme, J. L. Martínez, and A. Gómez, "Electricity market price forecasting: Neural networks versus weighted-distance k nearest neighbours," Lecture Notes in Comput. Sci., vol. 2453, pp. 321-330, 2002.
17. C. P. Rodriguez and G. J. Anders, "Energy price forecasting in the Ontario competitive power system market," IEEE Trans. Power Syst. vol. 19, no. 1, pp. 366-374, Feb. 2004.
18. IESO. Power to Ontario. On Demand, [Online. Available: http://www.ieso.ca/imoweb/pubs/marketReports/download/HOEP_20051//209.csv
19. G. Gross and F. D. Galiana, "Short-term load forecasting," Proc. IEEE, vol. 75, no. 12, pp. 1558-1573, Dec. 1987.