Electricity price forecast based on the STL-TCN-NBEATS model

Taking long-term high-frequency electricity price data as the research content, this paper proposes seasonal and trend decomposition using loess-temporal convolutional network-neural basis expansion analysis for an interpretable time series forecasting (STL-TCN-NBEATS) model to solve the problems of low forecast accuracy caused by high volatility, high frequency and nonlinearity and poor interpretability of the deep learning model. By comparing the forecast effects of the temporal convolutional network-long short-term memory (TCN-LSTM), LSTM and other models, the main conclusions are as follows: (1) The hybrid model, STL-TCN-NBEATS, selected in this paper can effectively solve the problem of low forecast accuracy after reasonable selection of model parameters. The evaluation indexes of the root mean square error (RMSE) and the mean absolute percentage error (MAPE) were 3.7441 and 4.5044, respectively, which were 3.1416 and 2.1336 lower than those of the second-best model (TCN-LSTM). Compared with the autoregressive integrated moving average model (ARIMA), the accuracy was improved by approximately 49.18% (RMSE) and 60.35% (MAPE). (2) The STL-TCN-NBEATS model has better feature extraction ability, so it can obtain higher forecast accuracy. Since the construction of the TCN introduces extended causal convolution and residual blocks, the deep learning network model has better processing ability and robustness for large sample time series. Moreover, the NBEATS network structure enables the model to be trained quickly, and the experimental results verify the effectiveness and high accuracy of this method. (3) The model not only has high precision but also has some interpretability. By decomposing time series data into a trend term, period term and remainder term, the NBEATS and the TCN are used to process the trend term, period term and remainder term, respectively, so that the hybrid model can forecast electricity prices according to the traditional time series processing mode.