VMD-ATT-LSTM electricity price prediction based on grey wolf optimization algorithm in electricity markets considering renewable energy

Yuzhen Xu, Xin Huang, Xidong Zheng, Ziyang Zeng and Tao Jin

Renewable Energy, 2024, vol. 236, issue C

Abstract: Electricity price prediction is essential for the optimal dispatch in power markets, with accurate prediction models being critical for efficient power system operations and market trading decisions. Deep learning networks, with their powerful nonlinear modeling capabilities, have shown promising results in electricity price forecasting. However, their design techniques, especially the selection of network parameters, remain challenging. This indicates that the optimization and exploration of deep learning networks in electricity price forecasting models require further investigation. This paper innovatively proposes a forecasting model that uniquely integrates Variational Mode Decomposition (VMD), Grey Wolf Optimization (GWO), Attention Mechanism (ATT), and Long Short-Term Memory Network (LSTM), optimizing the model from three different perspectives. First, during the data preprocessing phase, the training set is subjected to VMD to reduce noise, thereby enhancing the capture of multi-scale characteristics inherent in electricity price time series. The ATT layer is integrated to adaptively allocate weights, enhancing the model's focus on significant features. The GWO is applied to optimize hyperparameters of the LSTM, accelerating convergence and improving iteration accuracy, thereby reducing model error. A series of experiments were conducted using multiple regional electricity price datasets, evaluated with several metrics including RMSE. The results validated the effectiveness of the proposed three modules in improving the performance of the time series network, with VMD making the most significant contribution. Among all models, VMD-GWO-ATT-LSTM consistently outperformed others, demonstrating its effectiveness and robustness in electricity price forecasting.

Keywords: Electricity price prediction; Long-short term memory; Attention mechanism; Grey wolf optimization algorithm; Variational mode decomposition (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:renene:v:236:y:2024:i:c:s0960148124014769

DOI: 10.1016/j.renene.2024.121408

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