利用多因素小波变换和多变量时间序列模型的日前电价预测.pdfVIP

第30 卷 第1 期 中 国 电 机 工 程 学 报 Vol.30 No.1 Jan.5, 2010 2010 年1 月5 日 Proceedings of the CSEE ©2010 Chin.Soc.for Elec.Eng. 103 0258-8013 (2010) 01-0103-08 F 123.9 TM 73 A 470 40 文章编号： 中图分类号： ； 文献标志码： 学科分类号： ⋅ 利用多因素小波变换和多变量时间 序列模型的日前电价预测 谭忠富，张金良 (华北电力大学电力能源经济研究所，北京市 昌平区 102206) Day-ahead Electricity Price Forecasting Based on Multi-factor Wavelet Analysis and Multivariate Time Series Models TAN Zhong-fu, ZHANG Jin-liang (Institute of Electricity Energy Economics, North China Electric Power University, Changping District, Beijing 102206, China) ABSTRACT: The electricity market prices are highly volatile, 负荷、细节负荷。用概貌电价和概貌负荷作变量建立多元时 seasonal and stochastic. The previous literature shows that it is 间序列模型，预测未来概貌电价；用单变量时间序列模型预 difficult to improve the accuracy of price forecasting by 测未来细节电价。将概貌电价和细节电价的预测结果求和作 applying one model alone. Hence a novel hybrid model for 为最终的预测电价。采用上述方法对美国加州电力市场日前 day-ahead electricity price forecasting was presented in this 电价进行预测，并与对比模型进行了详细的比较分析，结果 paper. The proposed model is based on multi-factor wavelet 表明该方法能够提供更准确的预测电价。 analysis and multivariate time series models. Historical prices 关键词：小波变换；日前电价预测；电力市场；市场出清 and loads were decomposed and reconstructed into 电价 approximate price series, detailed price series, approximate load series and detailed load series. The future approximate 0 引言 prices were forecasted by mult