Flexible electricity price forecasting by switching mother wavelets based on wavelet transform and Long Short-Term Memory

Abstract

Under dynamic pricing, stable and accurate electricity price forecasting on the demand side is essential for efficient energy management. We have developed a new electricity price forecasting model that provides consistently accurate forecasts. The base prediction model decomposes the time series using wavelet transform and then predicts it by Long Short-Term Memory. Previous studies using this model have always decomposed time series in the same way without changing the mother wavelet. However, this makes it difficult to respond to changes in time series that vary daily or seasonally. Therefore, we periodically switch the mother wavelet, i.e., flexibly change the time series decomposition method, to achieve stable and highly accurate electricity price forecasting. In an experiment, the model improved prediction accuracy by up to 42.8% compared to prediction with a fixed mother wavelet. Experimental results show that the proposed flexible forecasting method can consistently provide highly accurate forecasts.