학술논문
Probabilistic Forecasting of Day-Ahead Electricity Prices and their Volatility with LSTMs
Document Type
Conference
Author
Source
2023 IEEE PES Innovative Smart Grid Technologies Europe (ISGT EUROPE) Innovative Smart Grid Technologies Europe (ISGT EUROPE), 2023 IEEE PES. :1-5 Oct, 2023
Subject
Language
Abstract
Accurate forecasts of electricity prices are crucial for the management of electric power systems and the development of smart applications. European electricity prices have risen substantially and became highly volatile after the Russian invasion of Ukraine, challenging established forecasting methods. Here, we present a Long Short-Term Memory (LSTM) model for the German-Luxembourg day-ahead electricity prices addressing these challenges. The recurrent structure of the LSTM allows the model to adapt to trends, while the joint prediction of both mean and standard deviation enables a probabilistic prediction. Using a physics-inspired approach–superstatistics–to derive an explanation for the statistics of prices, we show that the LSTM model faithfully reproduces both prices and their volatility.