A proposed grey model for short-term electricity price forecasting in competitive power markets

In order to improve the performance of traditional grey models for short-term electricity price prediction in competitive power markets, a novel grey model, named PGM(1,2,a,b), is proposed in this paper. In the proposed model, the reference sequence is determined with correlation method. Furthermore, considering the limitation of the least square method (LSM), particle swarm optimization algorithm (PSO) is adopted to identify the parameters instead of LSM. To demonstrate the superiority of the proposed model, public available data coming from Nordpool, California, and Ontario power markets were used for training and testing. Simulation results show that the proposed model is capable of forecasting short-term electricity price efficiently and accurately.