Electricity price forecasting on the day-ahead market using machine learning

Léonard Tschora, Erwan Pierre, Marc Plantevit and Céline Robardet

Applied Energy, 2022, vol. 313, issue C, No S0306261922002057

Abstract: The price of electricity on the European market is very volatile. This is due both to its mode of production by different sources, each with its own constraints (volume of production, dependence on the weather, or production inertia), and by the difficulty of its storage. Being able to predict the prices of the next day is an important issue, to allow the development of intelligent uses of electricity. In this article, we investigate the capabilities of different machine learning techniques to accurately predict electricity prices. Specifically, we extend current state-of-the-art approaches by considering previously unused predictive features such as price histories of neighboring countries. We show that these features significantly improve the quality of forecasts, even in the current period when sudden changes are occurring. We also develop an analysis of the contribution of the different features in model prediction using Shap values, in order to shed light on how models make their prediction and to build user confidence in models.

Keywords: Electricity price forecasting; Machine learning; Forecast evaluation; Open-access benchmark; Explainable AI (XAI) (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (31)

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DOI: 10.1016/j.apenergy.2022.118752

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