Framework for collaborative intelligence in forecasting day-ahead electricity price
Keywords: 
Augmented analytics
Automated machine learning
Ensemble models
Explainable artificial intelligence
Time series decomposition
Time series hybrid models
Issue Date: 
2022
Publisher: 
Elsevier
ISSN: 
0306-2619
Note: 
This is an open access article under the CC BY-NC-ND license
Citation: 
Beltrán, S. (Sergio); Castro, A. (Alain); Irizar, I. (Ion); et al. "Framework for collaborative intelligence in forecasting day-ahead electricity price". Applied Energy. (306), 2022, 118049
Abstract
Electricity price forecasting in wholesale markets is an essential asset for deciding bidding strategies and operational schedules. The decision making process is limited if no understanding is given on how and why such electricity price points have been forecast. The present article proposes a novel framework that promotes human–machine collaboration in forecasting day-ahead electricity price in wholesale markets. The framework is based on a new model architecture that uses a plethora of statistical and machine learning models, a wide range of exogenous features, a combination of several time series decomposition methods and a collection of time series characteristics based on signal processing and time series analysis methods. The model architecture is supported by open-source automated machine learning platforms that provide a baseline reference used for comparison purposes. The objective of the framework is not only to provide forecasts, but to promote a human-in-the-loop approach by providing a data story based on a collection of model-agnostic methods aimed at interpreting the mechanisms and behavior of the new model architecture and its predictions. The framework has been applied to the Spanish wholesale market. The forecasting results show good accuracy on mean absolute error (1.859, 95% HDI [0.575, 3.924] EUR (MWh)−1) and mean absolute scaled error (0.378, 95% HDI [0.091, 0.934]). Moreover, the framework demonstrates its human-centric capabilities by providing graphical and numeric explanations that augments understanding on the model and its electricity price point forecasts.

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