Day-Ahead electricity price forecasting using a CNN-BiLSTM model in conjunction with autoregressive modeling and hyperparameter optimization

• A hybrid DL model (CNN-BiLSTM-AR) is proposed to forecast the electricity price. • Integrating an AR model in parallel with a CNN-BiLSTM enhances the performance. • The influence of incorporating HPO methods like GA, PSO, and RS is investigated. • Performance difference between the models is verified using a statistical test. • Two distinct European datasets used to validate the proposed model performance. The inherent volatility in electricity prices exerts a significant impact on the dynamic nature of the electricity market, shaping the decision-making processes of its stakeholders. Precise Electricity Price Forecasting (EPF) plays a pivotal role in enabling energy suppliers to optimize their bidding strategies, mitigate transactional risks, and capitalize on market opportunities, thereby ensuring alignment with the true economic value of energy transactions. Hence, this study proposes an advanced deep learning model for forecasting electricity prices one day in ahead. The model leverages the synergistic capabilities of Convolutional Neural Networks (CNN) and bidirectional Long Short-Term Memory networks (BiLSTM), operating concurrently with an autoregressive (AR) component, denoted as CNN-BiLSTM-AR. The integration of the AR model alongside CNN-BiLSTM enhances overall performance by exploiting AR’s proficiency in capturing transient linear dependencies. Simultaneously, CNN-BiLSTM excels in assimilating spatial and protracted temporal features. Moreover, the research delves into the implications of incorporating hyperparameter optimization (HPO) techniques, such as Particle Swarm Optimization (PSO), Genetic Algorithm (GA), and Random Search (RS). The effectiveness of the model is evaluated using two distinct European datasets sourced from the UK and German electricity markets. Performance metrics, including Root Mean Square Error (RMSE) and Mean Absolute Error (MAE), serve as benchmarks for assessment. Finally, the findings underscore the notable performance enhancement achieved through the implementation of HPO methods in conjunction with the proposed model. Especially, the PSO-CNN-BiLSTM-AR model demonstrates substantial reductions in RMSE and MAE, amounting to 16.7% and 23.46%, respectively, for the German electricity market.