A Time Series Decomposition-Based Interpretable Electricity Price Forecasting Method
Electricity price forecasting is of significant practical importance, and improving prediction accuracy has become a key area of focus. Although substantial progress has been made in electricity price forecasting research, the unique characteristics of the electricity market make prices highly sensi...
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| Main Authors: | , , , , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2025-01-01
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| Series: | Energies |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1996-1073/18/3/664 |
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| Summary: | Electricity price forecasting is of significant practical importance, and improving prediction accuracy has become a key area of focus. Although substantial progress has been made in electricity price forecasting research, the unique characteristics of the electricity market make prices highly sensitive to even minor market changes. This results in prices exhibiting long-term trends while also experiencing sharp fluctuations due to sudden events, often leading to extreme values. Furthermore, most current models are “black-box” models, lacking transparency and interpretability. These unique features make electricity price forecasting particularly complex and challenging. This paper introduces a forecasting framework that incorporates the Seasonal Trend decomposition using Loess (STL), Gated Recurrent Unit (GRU), Light Gradient Boosting Machine (LightGBM), and Shapley Additive Explanations (SHAPs) and applies it to forecasting in the electricity markets of the United States and Australia. The proposed forecasting framework significantly improves prediction accuracy compared to nine other baseline models, especially in terms of <i>RMSE</i> and <i>R</i><sup>2</sup> metrics, while also providing clear insights into the factors influencing the forecasts. On the U.S. dataset, the <i>RMSE</i> of this framework is 12.7% lower than that of the second-best model, while, on the Australian dataset, the <i>RMSE</i> of the SLGSEF is 2.58% lower than that of the second-best model. |
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| ISSN: | 1996-1073 |