Hybrid model using three-stage algorithm for simultaneous load and price forecasting

Short-term load and price forecasting is an important issue in the optimal operation of restructured electric utilities. This paper presents a new intelligent hybrid three-stage model for simultaneous load and price forecasting. The proposed algorithm uses wavelet and Kalman machines for the first stage load and price forecasting. Each of the load and price data is decomposed into different frequency components, and Kalman machine is used to forecast each frequency components of load and price data. Then a Kohonen Self Organizing Map (SOM) finds similar days of load frequency components and feeds them into the second stage forecasting machine. In addition, mutual information based feature selection is used to find the relevant price data and rank them based on their relevance. The second stage uses Multi-Layer Perceptron Artificial Neural Network (MLP-ANN) and Adaptive Neuro-Fuzzy Inference System (ANFIS) for forecasting of load and price frequency components, respectively. The third stage machine uses the second stage outputs and feeds them into its MLP-ANN and ANFIS machines to improve the load and price forecasting accuracy. The proposed three-stage algorithm is applied to Nordpool and mainland Spain power markets. The obtained results are compared with the recent load and price forecast algorithms, and showed that the three-stage algorithm presents a better performance for day-ahead electricity market load and price forecasting.