基于离散小波变换与时间序列的钱塘江潮位预测

针对钱塘江潮位呈现出的周期性、随机性和波动性,为实现对钱塘江潮位的有效预测,提出一种基于离散小波变换和时间序列的预测方法,即先利用离散小波变换将实测的钱塘江潮位序列进行分解与重构,将非平稳的序列转化为多层较平稳的序列;然后利用时间序列建模方法对分解后的各个序列分别建立时间序列模型,对各层进行动态预测;最后将各层预测值求和作为最终的预测结果。试验表明,所提方法预测的效果明显优于其他混合模型及单一模型,能够提供更加准确的潮位预测。     

基于小波变换与Elman神经网络的短期风速组合预测

风速的准确预测对风电场发电系统的经济和安全运行有着重要的作用。为了克服风速随机性强的缺点,提高短期风速预测的精度,提出了一种将小波变换与Elman神经网络相结合的短期风速组合预测模型。该模型由小波预处理模块和神经网络预测模块组成。首先利用小波预处理模块将风速序列作多尺度分解,重构得到不同频段的子序列,然后利用Elman神经网络模块分别对其训练和预测。实际风速预测结果表明,与单一的Elman和ARMA法相比,该组合预测模型的预测精度有较大的改善,可以用于风电场短期风速的预测。     

基于子波变换的降雨氧同位素时间序列分解及重构

引入子渡变换法对香港站29 a月平均降雨δsO时间序列进行了分析,并对分解后的序列进行了重构.结果表明,重构后序列与原序列吻合,且香港站降雨氧同位素时间序列存在两个时间尺度上(65、12个月)的周期性变化规律,该法有效可行,可供借鉴.     

Short-term electricity demand and gas price forecasts using wavelet transforms and adaptive models

This paper presents some forecasting techniques for energy demand and price prediction, one day ahead. These techniques combine wavelet transform (WT) with fixed and adaptive machine learning/time series models (multi-layer perceptron (MLP), radial basis functions, linear regression, or GARCH). To create an adaptive model, we use an extended Kalman filter or particle filter to update the parameters continuously on the test set. The adaptive GARCH model is a new contribution, broadening the applicability of GARCH methods. We empirically compared two approaches of combining the WT with prediction models: multicomponent forecasts and direct forecasts. These techniques are applied to large sets of real data (both stationary and non-stationary) from the UK energy markets, so as to provide comparative results that are statistically stronger than those previously reported. The results showed that the forecasting accuracy is significantly improved by using the WT and adaptive models. The best models on the electricity demand/gas price forecast are the adaptive MLP/GARCH with the multicomponent forecast; their NMSEs are 0.02314 and 0.15384 respectively.     

奇异谱分析-支持向量回归机耦合模型在月降水量预测中的应用

降水通常是一个地区水资源的主要补给来源,其准确预测对于水资源量的预测等十分重要。为提高降水量的预测精度,以吉林省西部某气象站为例,采用奇异谱分析对月降水量数据进行预处理,提取出多个独立的子序列,再利用支持向量回归机对不同子序列单独建立预测模型,对不同子序列预测模型的输出值求和即可得到该耦合模型的预测值,并利用该耦合模型(SSA-SVR)与小波分析-支持向量回归机耦合模型(WA-SVR)以及在原始降水量数据基础上建立的支持回归机预测模型(SVR)对其月降水量进行步长为1个月、3个月以及6个月的预测。结果表明,三种模型中,SSA-SVR模型的预测值与实测值最为接近,预测精度更高。     

An effective and robust decomposition-ensemble energy price forecasting paradigm with local linear prediction

Energy price time series exhibit nonlinear and nonstationary features, which make accurate forecasting energy prices challenging. In this paper, we propose a novel decomposition-ensemble forecasting paradigm based on ensemble empirical mode decomposition (EEMD) and local linear prediction (LLP). The EEMD is used to decompose energy price time series into components, including several intrinsic mode functions and one residual with a simplified structure. Motivated by the findings of the fully local characteristics of a time series decomposed by the EEMD, we adopt the LLP technique to forecast each component. The forecasting results of all the components are aggregated as a final forecast. For validation, three types of energy price time series, crude oil, electricity and natural gas prices, are studied. The experimental results indicate that the proposed model achieves an improvement in terms of both level forecasting and direction forecasting. The performance of the proposed model is also validated through comparison with several energy price forecasting approaches from the literature. In addition, the robustness and the effects of the parameter settings of LLP are investigated. We conclude the proposed model is easy to implement and efficient for energy price forecasting.     

Forecasting electricity price and demand using a hybrid approach based on wavelet transform,ARIMA and neural networks

Demand and price forecasting are extremely important for participants in energy markets. Most research work in the area predicts demand and price signals separately. In this paper, a model is presented which predicts electricity demand and price simultaneously. The model combines wavelet transforms, ARIMA models and neural networks. Both time domain and wavelet domain variables are considered in the feature set for price and demand forecasting. The best input set is selected by two‐step correlation analysis. The proposed model is better adapted to real conditions of an energy market since the forecast features for price and demand are not assumed as known values but are predicted by the model, thus accounting for the interactions of the demand and price forecast processes. The forecast accuracy of the proposed method is evaluated using data from the Finnish energy market, which is part of the Nordic Power Pool. The results show that the proposed model provides significant improvement in both demand and price prediction accuracy compared with models using a separate frameworks approach. Copyright © 2013 John Wiley & Sons, Ltd.     

基于小波分析的并行膜混合核支持向量机月度负荷预测

针对现代电力系统月负荷数据的趋势增长性和波动性的非线性特征,提出了一种基于小波变换的混合支持向量机负荷预测模型。通过小波变换将负荷序列分解为不同尺度的子序列,考虑负荷的季节波动性,将温度因素作为输入变量,构建混合核函数LWPSO-LSSVM。将负荷子序列分别放入膜系统的基本膜中进行并行预测,然后对子序列预测数据进行重构得到预测结果。利用四川省某地区电网负荷数据进行应用研究,结果表明所提出的模型较传统核函数支持向量机预测精度和效率有明显提高。     

A hybrid short-term electricity price forecasting framework: Cuckoo search-based feature selection with singular spectrum analysis and SVM

Under the liberalization and deregulation of the power industry, price forecasting has become a cornerstone for market participants' decision-making such as bidding strategies and purchase plans. However, the exclusive nonlinearity dynamics of electricity price is a challenge problem that largely affects forecasting accuracy. To address this task, this paper presents a hybrid forecasting framework for short-term electricity price forecasting by exploiting and mining the important information hidden in the electricity price signal. Moreover, a hybrid feature selection method (HFS) is introduced into the forecasting strategy. To exhibit the dynamical characteristics of electricity price, we primarily perform a singular spectrum analysis (SSA)-based systematic analysis process by using the merit of SSA and analyzing the multiple seasonal patterns of short-term electricity price series, providing a meaningful representation of the hidden patterns and time-varying volatility of electricity price series. Aiming at selecting the key features, the candidate variables are constructed considering the dynamic behavior of price series; further, to capture the optimal features from the candidates, the correlation threshold θ is defined for the adjustable parameters in HFS and optimally determined by the intelligent search algorithm. Additionally, triangulation based on the Pearson, Spearman and Kendall rank correlation coefficient is performed to strengthen the reliability of the proposed method. The proposed hybrid forecasting framework is validated in the New South Wales electricity market, which demonstrates that the developed approach is truly better than the benchmark models used and a reliable and promising tool for short-term electricity price forecasting.     

Wind speed forecast model for wind farm based on a hybrid machine learning algorithm

This paper presents a new strategy for wind speed forecasting based on a hybrid machine learning algorithm, composed of a data filtering technique based on wavelet transform (WT) and a soft computing model based on the fuzzy ARTMAP (FA) network. The prediction capability of the proposed hybrid WT+FA model is demonstrated by an extensive comparison with some other existing wind speed forecasting methods. The results show a significant improvement in forecasting error through the application of a proposed hybrid WT+FA model. The proposed wind speed forecasting strategy is applied to real data acquired from the North Cape wind farm located in PEI, Canada.     

基于改进经验小波变换和最小二乘支持向量机的短期风速预测

针对原始风速信号非线性和非平稳性的特征,提出一种新的改进经验小波变换(IEWT)方法,该方法可将风速信号分解成一组有限带宽的子序列,以降低其不稳定性。在此基础上,结合最小二乘支持向量机(LSSVM),提出基于改进经验小波变换和最小二乘支持向量机(IEWT-LSSVM)的短期风速预测方法,并通过模拟退火粒子群优化算法(SAPSO)对相空间重构参数以及LSSVM模型的2个超参数进行共同优化。最后以华北某风电场采集的风速信号为算例,结果表明基于IEWT-LSSVM的预测模型能有效追踪风速信号的变化,在单步预测和多步预测上均具有较高的预测精度。     

Erratum: A wavelet‐based approach for large wind power ramp characterization

The large and rapid variations (ramp events) of wind power output experienced in wind farms and portfolios represent one of the main challenges facing short‐term wind power forecasting. In countries with high wind power penetration, a ramp event forecasting tool is required by transmission system operators and energy traders to schedule ancillary services properly and minimize economic penalties in liberalized electricity markets, respectively. From the forecaster/modeller's point of view, locating ramp events within a wind power time series is important, because it allows them to regard meteorological processes and operational states of the wind farm in the proper time periods to analyse the ramp causes. This work introduces the ramp function as a means of characterizing the ramp performance of a wind power time series. The underlying idea is that a ramp event is characterized by high‐power output gradients evaluated under different time scales. The ramp function is based on the wavelet transform and provides a continuous index related to the ramp intensity at each time step, which permits to take into account the fuzzy limits of the ramp notion, as well as the development of new approaches to wind power ramp analysis that are not feasible from a binary classification standpoint. Several advantages of the ramp function for end‐users are outlined, and applications concerning different aspects of ramp forecasting are described for several wind farms located in Spain. Copyright © 2013 John Wiley & Sons, Ltd.     

Wavelet transform and neural networks for short-term electrical load forecasting

Demand forecasting is key to the efficient management of electrical energy systems. A novel approach is proposed in this paper for short term electrical load forecasting by combining the wavelet transform and neural networks. The electrical load at any particular time is usually assumed to be a linear combination of different components. From the signal analysis point of view, load can also be considered as a linear combination of different frequencies. Every component of load can be represented by one or several frequencies. The process of the proposed approach first decomposes the historical load into an approximate part associated with low frequencies and several detail parts associated with high frequencies through the wavelet transform. Then, a radial basis function neural network, trained by low frequencies and the corresponding temperature records is used to predict the approximate part of the future load. Finally, the short term load is forecasted by summing the predicted approximate part and the weighted detail parts. The approach has been tested by the 1997 data of a practical system. The results show the application of the wavelet transform in short term load forecasting is encouraging.     

A hybrid statistical method to predict wind speed and wind power

Accurate forecasting of wind speed and wind power is important for the safety of renewable energy utilization. Compared with physical methods, statistical methods are usually simpler and more suitable for small farms. Based on the methods of wavelet and classical time series analysis, a new short-term forecasting method is proposed. Simulation upon actual time data shows that: (1) the mean relative error in multi-step forecasting based on the proposed method is small, which is better than classical time series method and BP network method; (2) the proposed method is robust in dealing with jumping data; and (3) the proposed method is applicable to both wind speed and wind power forecasting.     

基于有偏t分布ARMAX模型的短期电价预测

基于正态分布假设的时间序列分析模型不能有效地处理电价的有偏厚尾性,在对电力市场现货电价的影响因素和波动规律综合分析的基础上,提出了一种基于有偏学生t分布ARMAX模型的短期电价预测方法.该方法可同时考虑电价分布的有偏厚尾性、多重周期性及其与负荷之间的非线性相关性.对PJM电力市场历史数据的算例研究表明,该方法计算量小,待估参数少.     

Multiscale lead-lag relationships in oil and refined product return dynamics: A symbolic wavelet transfer entropy approach

This study sheds new light on the lead-lag relationships between crude oil and refined product return dynamics in the time and the frequency space. For this purpose, a novel methodology is introduced. Based on information theoretic measures and continuous wavelet transform, symbolic wavelet transfer entropy detects non-linear lead-lag relationships in the sense of Granger causality across multiple scales. Between petroleum prices, we find bidirectional causalities across the investment horizons. Further evidence is provided for asymmetric price transmission amongst crude oil and the refined products with respect to increasing and decreasing petroleum prices. Across the analyses, we observe that product price dynamics, economic crises, geopolitical risks, natural catastrophes and other market perturbations affect the price discovery in heterogenous investment horizons.     

基于有偏t分布ARIVIAX模型的短期电价预测

基于正态分布假设的时间序列分析模型不能有效地处理电价的有偏厚尾性,在对电力市场现货电价的影响因素和波动规律综合分析的基础上,提出了一种基于有偏学生t分布ARMAX模型的短期电价预测方法。该方法可同时考虑电价分布的有偏厚尾性、多重周期性及其与负荷之间的非线性相关性。对PJM电力市场历史数据的算例研究表明,该方法计算量小,待估参数少。     

Forecasting aggregated wind power production of multiple wind farms using hybrid wavelet‐PSO‐NNs

This paper describes the problem of short‐term wind power production forecasting based on meteorological information. Aggregated wind power forecasts are produced for multiple wind farms using a hybrid intelligent algorithm that uses a data filtering technique based on wavelet transform (WT) and a soft computing model (SCM) based on neural network (NN), which is optimized by using particle swarm optimization (PSO) algorithm. To demonstrate the effectiveness of the proposed hybrid intelligent WT + NNPSO model, which takes into account the interactions of wind power, wind speed, wind direction, and temperature in the forecast process, the real data of wind farms located in the southern Alberta, Canada, are used to train and test the proposed model. The test results produced by the proposed hybrid WT + NNPSO model are compared with other SCMs as well as the benchmark persistence method. Simulation results demonstrate that the proposed technique is capable of performing effectively with the variability and intermittency of wind power generation series in order to produce accurate wind power forecasts. Copyright © 2014 John Wiley & Sons, Ltd.     

Short-term wind power forecasting in Portugal by neural networks and wavelet transform

This paper proposes artificial neural networks in combination with wavelet transform for short-term wind power forecasting in Portugal. The increased integration of wind power into the electric grid, as nowadays occurs in Portugal, poses new challenges due to its intermittency and volatility. Hence, good forecasting tools play a key role in tackling these challenges. Results from a real-world case study are presented. A comparison is carried out, taking into account the results obtained with other approaches. Finally, conclusions are duly drawn.     

A deep learning ensemble approach for crude oil price forecasting

As crude oil price is influenced by numerous factors, capturing its behavior precisely is quite challenging, and thus leads to the difficulty of forecasting. In this study, a deep learning ensemble approach is proposed to deal with this problem. In our approach, two techniques are utilized. One is an advanced deep neural network model named stacked denoising autoencoders (SDAE) which is used to model the nonlinear and complex relationships of oil price with its factors. The other is a powerful ensemble method named bootstrap aggregation (bagging) which generates multiple data sets for training a set of base models (SDAEs). Our approach combines the merits of these two techniques and is especially suitable for oil price forecasting. In the empirical study, the WTI crude oil price series are investigated and 198 economic series are used as exogenous variables. Our approach is tested against some competing approaches and shows superior forecasting ability that is statistically proved by three tests.