A Novel Hybrid Approach for Non-Stationary Electricity Price Forecasting

With the implementation of market-oriented electricity trading in an increasing number of countries, accurate electricity price forecasting can not only help participants in the electricity market to make more reasonable decisions but also enable regulators to have a more reliable regulatory basis. Therefore, it is necessary to propose an appropriate electricity price forecasting method. In view of the insufficiency of the traditional models in dealing with nonlinear and non-stationary data, to improve the detection ability of the model for hidden information in data and considering the high randomness of electricity price data, this paper proposes an electricity price forecasting method based on singular spectrum analysis (SSA) to decompose the original sequence and combines it with an extreme learning machine (ELM) optimized by the grey wolf optimizer (GWO). First, SSA is used to decompose the original sequence, and then the ELM is used to predict each subsequence and add them, in which the number of neurons in the hidden layer of each ELM is jointly optimized by the GWO. To verify the effectiveness of the SSA–GWO–ELM model, a total of 2106 days of electricity price data in Victoria, Australia, were selected for modeling. The results show that the prediction accuracy of the model proposed in this paper is significantly higher than that of the other comparison models, and the R2 score is as high as 0.989, which is 0.017 higher than that of the suboptimal SSA–ELM. It can also maintain strong robustness and high prediction accuracy for heterogeneous data on power demand. SSA has the potential for real-time prediction, which can provide reliable data support for electricity market participants and supervisors.