Research on Electricity Price Forecasting Based on Chaos Theory

He-rui Cui, Xiuli Song
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引用次数: 10

Abstract

Electricity price forecasting has attracted much interest in current literature. Many models and methods have been presented in the past, but most of them regarded the electricity price system as the linear system and using the linear theory to predict. In fact, electricity price system is a nonlinear system. According to its characteristics of complexity and non-linearity; this paper proposed a new electricity price forecasting model based on chaos theory. The proposed method makes use of chaos time series analysis to capture characteristics of complicated price behavior. First the chaotic characteristic of electricity price was verified based on phase-space reconstitution of time series by means of Lyapunov exponent. Then the improved add-weighted one-rank multi-steps prediction model is applied to a short-term electricity price forecasting. Comparing electricity price time series with historical date by chaos theory, the results indicated that it will be a bright merit to use chaos theory predicting electricity price of electricity industry.
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基于混沌理论的电价预测研究
电价预测在当前的文献中引起了很大的兴趣。过去已经提出了许多模型和方法,但大多数都将电价系统视为线性系统,并使用线性理论进行预测。事实上,电价系统是一个非线性系统。根据其复杂性和非线性的特点;本文提出了一种新的基于混沌理论的电价预测模型。该方法利用混沌时间序列分析来捕捉复杂的价格行为特征。首先利用李雅普诺夫指数对时间序列进行相空间重构,验证了电价的混沌特性;然后将改进的加权一阶多步预测模型应用于短期电价预测。用混沌理论对电价时间序列与历史数据进行比较,结果表明混沌理论在电力行业电价预测中具有明显的优越性。
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