An Optimized Heterogeneous Structure LSTM Network for Electricity Price Forecasting

Electricity price is an important indicator of the market operation. Accurate prediction of electricity price will facilitate the maximization of economic benefits and reduction of risks to the power market. At the same time, because of the excellent performance of deep learning models, using long-short term memory neural network (LSTM) and other deep learning models to predict time series has gradually become a research hotspot. In this paper, an optimized heterogeneous structure LSTM model is proposed to solve the problems of the single network structure and hyperparameter selection existing in the current research on LSTM. The heterogeneous structure LSTM is constructed based on the decomposed and reconstructed electricity price data, and sequence model-based optimization (SMBO) is used to optimize its hyperparameters. In order to verify the proposed model, online hourly forecasting and day-ahead hourly forecasting are tested on the electricity markets of Pennsylvania-New Jersey-Maryland (PJM). The experimental results show that the performance of the proposed model is much better than that of the general LSTM model and traditional models in accuracy and stability, providing a new idea for the use of LSTM for time series prediction.