Kalman Filter based Electricity Market States Forecasting: A State-Space Framework


Gaining money and high profit is the dream of electricity market investors; however, it requires accurate financial knowledge and price forecasting ability. Most of the investors are used the electricity market historical information for forecasting power generation, consumption, and utility price. Unfortunately, electricity market time-series profile is high volatility and change over time, so the factual data cannot accurately reflect the electricity market states such as power consumption and generation. In the literature, there is no systematic way or suitable models that can fit, analyze, and predict electricity market system states over time. Interestingly, this paper proposes an electricity market state-space model which is obtained by a set of electricity market differential equations. After simplifying of these equations, the continuous-time electricity market state-space model is derived. Using discrete-time step size parameter, the continuous-time system is discretised. Furthermore, the noisy measurements are obtained by a set of smart sensors. Finally, the Kalmna filter based electricity market state forecasting algorithm is developed based on noisy measurements. Simulation results show that the proposed algorithm can properly forecast the electricity market states. Consequently, this kind of model and algorithm can help to develop the electricity market simulator and assist investor to participate/invest electricity market regardless of the world economic downtown.

Meeting Name

IEEE 9th Annual International Conference on CYBER Technology in Automation, Control, and Intelligent Systems, CYBER 2019 (2019: Jul. 29-Aug. 2, Suzhou, China)


Electrical and Computer Engineering


National Science Foundation, Grant NRF-2019R1C1C1007277

Keywords and Phrases

Energy Consumption; Kalman Filter; Power Generation; Price Forecasting; State-Space Electric Market

International Standard Book Number (ISBN)


Document Type

Article - Conference proceedings

Document Version


File Type





© 2020 Institute of Electrical and Electronics Engineers (IEEE), All rights reserved.

Publication Date

16 Apr 2020