Electricity Prices Forecasting using Artificial Neural Networks

This paper presents the results of the use of training algorithms for recurrent neural networks based on the extended Kalman filter and its use in electric energy price prediction, for both cases: one-step ahead and n-step ahead. In addition, it is included the stability proof using the well-known Lyapunov methodology, for the proposed artificial neural network trained with an algorithm based on the extended Kalman filter. Finally, the applicability of the proposed prediction scheme is shown by mean of the one-step ahead and n-step ahead prediction using data from the European power system.