In the electricity market, the accuracy of electricity price forecasting is significant for real-time control; however, the complexity and volatility of electricity prices make this a challenge. Existing forecasting models focus on deterministic forecasting and rarely address the uncertainty in electricity price forecasting. Therefore, this study fills this knowledge gap by introducing a novel combined probability forecasting system (CPFS) and creatively incorporating probability density estimation based on kernel functions in a multi-objective optimization algorithm. In addition, to effectively integrate the forecasting components, the tuna optimization algorithm was enhanced to overcome the limitations of traditional multi-objective optimization algorithms. Finally, the validity of the CPFS is confirmed through two electricity price cases, considering three equally important aspects: reliability, resolution, and sharpness. From a comprehensive perspective, CPFS outperformed the most advanced benchmark by more than 5.66% and 38.93% in AIS and by more than 13.41% and 3.55% in quantile loss on the NSW and Singapore datasets, respectively. The experimental results demonstrate that the CPFS provides an effective range for electricity price fluctuations. Furthermore, given that probabilistic forecasting is essential for risk management, it offers important implications for the electricity market.
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