A New Method for Next-Day Price Forecasting for PJM Electricity Market

Abstract

In the framework of the competitive electricity markets, electricity price forecasting is important for market participants in a deregulated electricity market. Rather than forecasting the value, market participants are sometimes more interested interval of the peak electricity price forecasting. Forecasting the peak price is essential for estimating the uncertainty involved in the price and thus is highly useful for making generation bidding strategies and investment decisions. The choice of the forecasting model becomes the important influence factor how to improve price forecasting accuracy. This paper proposes new approach to reduce the prediction error at occurrence time of the peak electricity price, and aims to enhance the accuracy of the next day electricity price forecasting. In the proposed method, the weekly variation data is used for input factors of the ANN at occurrence time of the peak electricity price in order to catch the price variation. Moreover, learning data for the ANN is selected by rough sets theory at occurrence time of the peak electricity price. This method is examined by using the data of the PJM electricity market. From the simulation results, it is observed that the proposed method provides a more accurate and effective forecasting, which helpful for suitable bidding strategy and risk management tool for market participants in a deregulated electricity market.