Predicting energy prices based on a novel hybrid machine learning: Comprehensive study of multi-step price forecasting

Kailing Yang, Xi Zhang, Haojia Luo, Xianping Hou, Yu Lin, Jingyu Wu and Liang Yu

Energy, 2024, vol. 298, issue C

Abstract: Accurate prediction of energy prices is crucial to the development of energy security and environmental policies in various countries. This paper proposes a novel multi-step prediction hybrid model with genetic algorithm for variational mode decomposition, improved complete ensemble empirical modal decomposition with adaptive noise, bidirectional gated recurrent unit, temporal convolutional network, and multi-layer perceptron (GVMD-ICEEMDAN-BIGRU-TCN-MLP) for predicting carbon and natural gas futures prices. First genetic algorithm (GA) is used to fix the parameters of VMD model, the carbon and natural gas prices are decomposed into subsequences. Then the difference between the original series and the VMD after decomposition is further decomposed into subseries using ICEEMDAN. Next, the highest frequency series is predicted using the MLP model, and other subsequences are predicted using the BIGRU-TCN model. Finally, each predicted value is added linearly to determine the final result of steps 1, 3, and 5 of the entire forecasting process. According to the experimental results, it is shown that the model has lower prediction errors than the comparison model under mean absolute error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE), coefficient of determination (R2), and modified Diebold-Mariano test (MDM). The good prediction results of the novel hybrid model are demonstrated in multi-step ahead integrated prediction experiments, especially in the experiments with 1-step ahead prediction, as well as in the experiments with varying training ratios.

Keywords: Energy price forecasts; Variational mode decomposition; Machine learning modeling; Multi-step ahead forecasting (search for similar items in EconPapers)
Date: 2024
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:298:y:2024:i:c:s0360544224010946

DOI: 10.1016/j.energy.2024.131321

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