Distributional neural networks for electricity price forecasting. (arXiv:2207.02832v1 [q-fin.ST])

We present a novel approach to probabilistic electricity price forecasting
(EPF) which utilizes distributional artificial neural networks. The novel
network structure for EPF is based on a regularized distributional multilayer
perceptron (DMLP) which contains a probability layer. Using the TensorFlow
Probability framework, the neural network's output is defined to be a
distribution, either normal or potentially skewed and heavy-tailed Johnson's SU
(JSU). The method is compared against state-of-the-art benchmarks in a
forecasting study. The study comprises forecasting involving day-ahead
electricity …

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