基于最大Lyapunov指数的市场出清电价预测  

Market clear price forecasting based on maximum Lyapunov exponent

作　　者：杨淑霞[1] 徐琳茜[1] 刘达[1] 韩奇[1] 张丽[1] 丁晖 

机构地区：[1]华北电力大学经济与管理学院,北京102206 [2]中国电监会山东电监办,山东济南250101

出　　处：《中南大学学报（自然科学版）》2011年第12期3791-3796,共6页Journal of Central South University:Science and Technology

基　　金：中央高校基本科研业务费专项资金资助项目(09MR39)

摘　　要：应用相空间重构和最大Lyapunov指数的计算方法对市场出清电价序列特性进行判定。依据最大Lyapunov指数预报模式,构建基于一种新的出清电价预测模型。对某电力市场1999 01 01—1999 08 31的电价进行混沌时间序列判定,采用最大Lyapunov指数预报模型和AR(2)模型进行预测。研究结果表明:采用最大Lyapunov指数预报模型预测所得市场出清电价预测值与实际值的平均绝对误差率为7.234 7%,最大绝对误差率为17.017 5%;采用AR(2)模型预测预测所得市场出清电价预测值与实际值的平均绝对误差率为5.540 8%,最大绝对误差率为11.830 0%;总体上,最大Lyapunov指数预报模型预测结果的精度略比AR(2)模型预测结果的精度低,但绝对误差率大于6%的时点数少于AR(2)的预测数,这表明应用最大Lyapunov指数对出清电价进行预测具有可行性。The reconstruction of phase space and the calculation method of maximum Lyapunov exponent were used to analyze the feature of market clear electricity price series.On the basis of chaotic time series,the maximum Lyapunov exponent forecasting model,i.e,a new promoted power clear price forcasting method was proposed.Then,after determination of the electricity price data from January 1 to August 31 in 1999 of certain electricity market was applied to forecast clear electricity price.The results show that the mean absolute error rate between the forecasting results and actual values is 7.234 7% and maximum absolute error rate is 17.017 5% using the maximum Lyapunov exponent forecasting model.Using AR（2） model,the mean absolute error rate between the forecasting results and actual values is 5.540 8% and the maximum absolute error rate is 11.830 0%.In general,compared with the results of the market clear electricity price predicated by AR（2） model,the predication accuracy based on the maximum Lyapunov exponent forecasting mode is slightly lower than that based on AR（2） model,but its time points when the absolute error rate is less than 6% are higher than the latter,which shows that it is feasible to forecast the clear electricity price by the maximum Lyapunov exponent.

关 键 词：混沌 LYAPUNOV指数 市场出清价 预测 

分 类 号：X196[环境科学与工程—环境科学]