Novel Custom Loss Functions and Metrics for Reinforced Forecasting of High and Low Day-ahead Electricity Prices Using CNN-LSTM and Ensemble Learning
Published in Energies, 2024
This paper presents an innovative framework for day-ahead electricity price forecasting (DAEPF) using a Convolutional Neural Network–Long Short-Term Memory (CNN–LSTM) model to predict prices in Kyushu, Japan. It addresses the challenge of zero prices during high RES periods by incorporating a natural logarithm transformation and a novel “policy-versus-policy” strategy. The CNN–LSTM model outperforms a traditional LSTM in both accuracy and computation time. By integrating multimodal features, the model achieves high prediction accuracy, highlighting the benefits of a comprehensive approach to DAEPF.
Recommended citation: Wang Z, Mae M, Yamane T, Ajisaka M, Nakata T, Matsuhashi R, Novel Custom Loss Functions and Metrics for Reinforced Forecasting of High and Low Day-ahead Electricity Prices Using CNN-LSTM and Ensemble Learning. Energies 2024, 17, 2687. https://doi.org/10.3390/en17112687 http://ziyangwangacademics.github.io/files/Energies3.pdf