Model updated

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9th November 2023

Summary

The retraining process resulted in two new models, one for PD and one for 7day price forecast. After considerable experimentation we retrained the price forecasting models with a considerable using existing features and hyper parameter settings. The increase in accuracy (using Absolute Mean Error, AME) was between 10% and 15% (with the exception of SA which was 50%). (see validation results table below comparing the previous models with the new models).

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• Both PD and 7day price forecast models were trained on data between 01-1011-2020 and 01-11-2023.

  • The market suspension period and a period after the Callide explosion were removed from the training data.

New features (input data) exceptions

• The feature set is consistent with the previous

• Validation set 1st November 7th November.

• A new “recent prices feature” was added to give the model some context for the current pricing environment. This feature is the median price for a window around the forecast time for the most recent three days. For example, for a forecast occurring in 2 days at 11am, the model generated the median value for prices between 10am-12pm for the three days before the forecast was run.

• A number of additional experiments were conducted on the 7 day forecast model, with the major modifications including:

• The 50th percent probability of demand features were augmented with 10th percent probability of demand data

• The new recent prices features mentioned previously

• A new time of day feature

A new weekday/weekend feature

the same as the previous model. The main benefit of the new model is that more recent market data are consumed in the training process. The training does not weight the most recent market data.

• A number of experiments were conducted by changing the feature list and some hyper parameters however this didn’t not achieve a significant benefit to the model tests. Hence for consistency we have not made changes to the model other than extending the training period to the most recent market data. Unlike the August model update included significant changes to both the feature set and the hyper parameters.

• Validation set is from the 1st of November to the 7th of November. Oddly enough the impact of the Melbourne Cup did not have a significant impact on the performance metrics.

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