Application of the largest Lyapunov exponent and non-linear fractal extrapolation algorithm to short-term load forecasting

► The maximal predictive step size is determined by the largest Lyapunov exponent. ► A proper forecasting step size is applied to load demand forecasting. ► The improved approach is validated by the actual load demand data. ► Non-linear fractal extrapolation method is compared with three forecasting models. ► Performance of the models is evaluated by three different error measures.