2008
DOI: 10.5370/jeet.2008.3.1.014
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Electricity Price Prediction Model Based on Simultaneous Perturbation Stochastic Approximation

Abstract: -The paper presents an intelligent time series model to predict uncertain electricity market price in the deregulated industry environment. Since the price of electricity in a deregulated market is very volatile, it is difficult to estimate an accurate market price using historically observed data. The parameter of an intelligent time series model is obtained based on the simultaneous perturbation stochastic approximation (SPSA). The SPSA is flexible to use in high dimensional systems. Since prediction models … Show more

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Cited by 2 publications
(1 citation statement)
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“…SPSA is a global minimisation search method. No matter how large the size of the optimization problem is, SPSA makes only two predictions in each iteration (Ko et al, 2008). This feature distinguishes it from similar algorithms.…”
Section: Spsa and Control Algorithmmentioning
confidence: 99%
“…SPSA is a global minimisation search method. No matter how large the size of the optimization problem is, SPSA makes only two predictions in each iteration (Ko et al, 2008). This feature distinguishes it from similar algorithms.…”
Section: Spsa and Control Algorithmmentioning
confidence: 99%