Artificial Neural Network-based Electricity Price Forecasting for Smart Grid Deployment

A deregulated electricity market is one of the keystones of up-and-coming smart grid deployments. In such a market, forecasting electricity prices is essential to helping stakeholders with the decision making process. Electricity price forecasting is an inherently difficult problem due to its special characteristics of dynamicity and nonstationarity. In our research, we use an Artificial Neural Network (ANN) model on carefully crafted input features for forecasting hourly electricity prices for the next 24 hours. The input features are selected from a pool of features derived from information such as past electricity price data, weather data, and calendar data. A wrapper method for feature selection is used in which the ANN model is continuously trained and updated in order to select the best feature set. The performance of the proposed method is evaluated and compared with the published results of the state-of-the-art Pattern Sequence-based Forecasting (PSF) method on the same data sets and our method is observed to provide superior results.