A whale optimization algorithm-based multivariate exponential smoothing grey-holt model for electricity price forecasting

Abstract

Accurately forecasting electricity prices is essential for a variety of stakeholders in the energy sector, including market investors, policymakers, and consumers. However, existing forecasting techniques are often limited by complex parametric estimates and strict restrictions on input variables. This paper proposes a Whale Optimization Algorithm (WOA)-based multivariate exponential smoothing Grey-Holt (GMHES) model for electricity price forecasting. The proposed WOA-GMHES(1,N) model uses historical data to learn the underlying trends and patterns of electricity prices. The WOA algorithm is used to optimize the model parameters, which are adaptively adjusted to reflect the changing dynamics of the electricity market. The proposed model is evaluated on real high- and low-voltage electricity price data from Cameroon. The results show that the novel WOA-GMHES(1,N) model outperforms competing models, achieving RMSE and SMAPE scores of 0.1359 and 0.61%, respectively. This novel model is also computationally efficient, requiring less than 1.3 s to generate a forecast. The proposed WOA-GMHES(1,N) model is a promising novel approach for electricity price forecasting. The model is accurate, efficient, and flexible, making it a valuable tool for a variety of stakeholders in the energy sector.