使用N维朗格温方程和神经常规微分方程进行预测
Antonio Malpica-Morales1, Miguel A Durán-Olivencia1,2, Serafim Kalliadasis1
1Department of Chemical Engineering, Imperial College, London SW7 2AZ, United Kingdom.
这项研究引入了一种新的框架,将兰杰文方程 (LE) 与神经普通微分方程 (NODE) 结合起来,以准确预测非静止电价. 该模型有效地捕捉了复杂的价格动态,在前一天市场预测中表现优于现有的方法.
科学领域:
- 能源经济学 能源经济学
- 时间序列分析时间序列分析
- 计算金融是指计算金融.
背景情况:
- 预测电价对于竞争性市场至关重要.
- 现有的方法往往无法同时解决多个非静态特征.
- 非静止价格行为很常见,但研究不足.
研究的目的:
- 开发一个系统的框架来建模和预测非静止电价.
- 为了解决价格时间序列中的并发多个非静态效应.
- 为了提高前一天电价预测的准确性.
主要方法:
- 一个数据驱动模型,将一个N维朗格温方程 (LE) 与一个神经常规微分方程 (NODE) 结合起来.
- 该LE模型静止价格行为,而NODE学习和预测由非静止引起的偏差.
- 该框架重建了LE遗漏的非静态组件.
主要成果:
- 联合的LE-NODE框架有效地捕捉了固定和非固定电价动态.
- 节点补充了LE,增强其模拟复杂价格行为的能力.
- 该模型在各种非静止场景中展示了强度和可靠性.
结论:
- 拟议的框架为准确预测电价提供了一个全面的策略.
- 它成功地应对了电力市场中并发的非静态特征的挑战.
- 这种方法为市场参与者和研究人员提供了可靠的工具.
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