Journal
ENERGY SCIENCE & ENGINEERING
Volume 10, Issue 7, Pages 1998-2021Publisher
WILEY
DOI: 10.1002/ese3.1122
Keywords
GARCH family models; LSTM; natural gas load; volatility prediction; XGBoost
Categories
Funding
- National Natural Science Foundation of China [62072363]
- Yulin City Science and Technology Plan Project [CXY-2020-063]
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This study proposes a natural gas load volatility prediction model by combining GARCH family models, XGBoost algorithm, and LSTM network. The model demonstrates good performance and accuracy in predicting the volatility of natural gas load, with an average reduction of 45.404% in the evaluation index of mean squared error.
Natural gas load forecasting provides decision-making support for natural gas dispatch and management, pipeline network construction, pricing, and sustainable energy development. To explain the uncertainty and volatility in natural gas load forecasting, this study predicts the natural gas load volatility. As the natural gas load volatility has the time-series features, along with long-term memory, volatility aggregation, asymmetry, and nonnormality, this study proposes a natural gas load volatility prediction model by combining generalized autoregressive conditional heteroscedasticity (GARCH) family models, XGBoost algorithm, and long short-term memory (LSTM) network. The model first takes the GARCH family models parameters of sliding estimation and meteorological factors as the influencing factors of volatility, and then it screens these influencing factors through the extreme gradient boosting (XGBoost) algorithm. Finally, the selected important features are input into the LSTM network to predict the volatility, and the 90% confidence interval of the volatility is calculated. Compared with a variety of single and combined models, the model proposed in this study has an average reduction of 45.404% in the evaluation index of mean squared error. The experimental results show that the model proposed in this study has a good performance and accuracy in predicting the volatility of natural gas load.
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