Electricity Price Prediction Using Encoder-Decoder Recurrent Neural Networks in Turkish Dayahead Market, Turkiye Gun Oncesi Elektrik Piyasasinda Kodlayici Kod Cozucu Temelli Yinelemeli Sinir Aglariyla Fiyat Tahmini

Abstract

Forecasting electricity prices accurately is an essential requirement for the players in the market. The sequential data of electricity poses many challenges such as seasonality and high volatility. Recently, recurrent neural network based methods have showed great success in forecasting time series type problems. In this paper, we propose to use an encoder-decoder recurrent neural network for forecasting hourly electricity prices in the Turkish Day-ahead Market. The approach involves two recurrent neural networks, one to encode the source sequence, called the encoder, and a second to decode the encoded source sequence into the target sequence, called the decoder. We trained and tested our framework on the Turkish electricity price data from 2013 to 2016 and report the accuracy of various recurrent neural network models in terms of mean absolute error. The encoder-decoder recurrent neural networks achieved better accuracy compared to classical recurrent neural networks. © 2021 Elsevier B.V., All rights reserved.