ANN-based Short-Term Load Forecasting
in Electricity Markets
Hong Chen Claudio A. Cañizares
University of Waterloo
Department of Electrical & Computer Engineering
Waterloo, ON, Canada N2L 3G1
Abstract—This paper proposes an Artificial Neu-
ral Network (ANN)-based short-term load forecasting
technique that considers electricity price as one of the
main characteristics of the system load, demonstrating
the importance of considering pricing when predicting
loading in today’s electricity markets. Historical load
data from the Ontario Hydro system as well as pricing
information from the neighboring system are used for
testing, showing the good performance of the proposed
method.
Keywords: Short-term load forecasting, electricity
markets, spot prices, Artificial Neural Networks
(ANN)
I. Introduction
Short-Term Load Forecasting (STLF) is basically aimed
at predicting system load with a leading time of one hour to
seven days, which is necessary for adequate scheduling and
operation of power systems. STLF traditionally has been
an essential component of Energy Management Systems
(EMS) [1, 2, 3], as it provides the input data for load flow
and contingency analysis.
With the worldwide deregulation of the power industry,
load forecasting is becoming even more important, not only
for system operators, but also for market operators, trans-
mission owners, and any other market participants, so that
adequate energy transactions can be scheduled, and ap-
propriate operational plans and bidding strategies can be
established. Thus, load forecasting has also become an im-
portant component of energy brokerage systems [4]. In this
new context, high forecasting accuracy and speed are re-
quired not only for reliable system operation, but also for
adequate market operation, as both under-forecasts and
over-forecasts would result in increased operational costs
and loss of revenue.
To achieve high forecasting accuracy and speed, which
are the two most important requirements of STLF, it is
important to analyze the load characteristics and identify
the main factors affecting the load. In electricity markets,
in addition to the traditional load affecting factors such as
season, day type and weather, electricity price, which is
voluntary and may have a complicated relationship with
system load, is also becoming an important factor influ-
encing the load. In this paper, the effect of pricing on the
STLF of the Ontario Hydro system is examined, showing
that better results are obtained when this factor is consid-
ered in the forecasting method.
Various forecasting techniques have been applied to
STLF to improve accuracy and efficiency. In general,
STLF techniques can be classified as either traditional or
modern [5]. Traditional statistical load forecasting tech-
niques, such as regression [6], time series [7], pattern
recognition [8], Kalman filters [9], etc., have been used
Ajit Singh
in practice for a long time, showing the forecasting accu-
racy that is system dependent. These traditional methods
can be combined using weighted multi-model forecasting
techniques, showing adequate results in practical systems
[10]. However, these methods cannot properly represent
the complex nonlinear relationships that exist between the
load and a series of factors that influence it, which are typ-
ically dependent on system changes (e.g., season or time
of day).
Modern load forecasting techniques, such as expert sys-
tems [11], Artificial Neural Networks (ANN) [1, 12, 13, 14],
fuzzy logic [15], wavelets [16], have been developed re-
cently, showing encouraging results. Among them, ANN
methods are particularly attractive, as they have the abil-
ity to handle the nonlinear relationships between load and
the factors affecting it directly from historical data and
without having to select a given model. Different types
of ANNs have been applied to STLF; for example, multi-
layer feed-forward with one hidden layer [12], recurrent
[14], and functional links [13]. In this paper, the more
common multi-layer feed-forward ANN is used for STLF.
The paper is structured as follows: In Section II, the
load characteristics and the factors that influence it are
discussed. The ANN forecasting model and procedure used
here are described in Section III. In Section IV, the histor-
ical data from Ontario Hydro system is used to test the
proposed STLF technique. Finally, in Section V, the main
contributions of this paper are highlighted and possible
research directions are discussed.
II. Load Characteristics
Traditionally, system load at any given time is assumed
to be a combination of four separate components, i.e.,
L = Ln + Lw + Ls + Lr (1)
where
L stands for the total system load;
Ln represents the “normal” part of the load, which is a
set of standardized load shapes for each “type” of day
that has been identified as occurring throughout the
year;
Lw corresponds to the weather-sensitive part of the load,
which is tightly coupled to the season of the year;
Ls stands for the special event part, which is the occur-
rence of an unusual or special event leading to a sig-
nificant deviation from the typical load behavior;
Lr corresponds to a random part, which is an “unex-
plained” component usually represented as zero mean
white noise.
 x1 Forecasted Load
Wj1 Y1 Y2 Y3 Ym

x2 Wj2 ... Output layer

xk Wjk fj Oj
...
Wjn ... Hidden layer
xn
Fig. 1. Mathematical model of an ANN neuron.

... Input layer

In the present competitive electricity markets, system
load may also be significantly affected by prices. Since elec-
tricity must be produced and consumed instantaneously,
and there are only limited transfer capabilities of transmis-
sion systems [17], electricity prices vary depending on place
and time, presenting relatively high variations as compared
to other commodities. Consumers, especially price-elastic
consumers, can adjust their consumption behavior accord-
ing to the price information to achieve maximum benefits.
Hence, price should be factored in the relationship between
system load and its influencing factors, i.e.,
L = f (day,weather,special,price,random) (2)
where f (·) is a highly nonlinear function that is difficult to
represent explicitly, and hence forecasting the system load
accurately with traditional statistical methods is a rather
complex problem.
III. STLF Modeling and Procedure
ANN-based methods are a good choice to study the
STLF problem, as these techniques are characterized by
not requiring explicit models to represent the complex re-
lationship between the load and the factors that determine
it.
This section discusses the ANN model and the procedure
used here for STLF.
A. Modeling
1. Neuron model ANNs are made up of a number
of simple and highly interconnected Processing Elements
(PE), called neurons, as depicted in Fig. 1 [18]. Its math-
ematical model is expressed as

the weights and biases calculated in each layer.
Oj = fj (wjk xk ) (3)
k
where
Oj is the output of a neuron;
fj is a transfer function, which is differentiable and non-
decreasing, usually represented using a sigmoid func-
tion, such as a logistic sigmoid, a tangent sigmoid,
etc.;
wjk is an adjustable weight that represents the connection
strength;
X1 X2 X3 Xn
Load affecting factors
Fig. 2. Schematic of the three layer feed-forward ANN for STLF.
2. Network Architecture The three-layer fully con-
nected feed-forward neural network depicted in Fig. 2 is
used here; it includes an input layer, one hidden layer
and an output layer [19]. Signal propagation is allowed
only from the input layer to the hidden layer and from
the hidden layer to the output layer. Input variables come
from historical data corresponding to the factors that affect
the load. The outputs are the desired forecasting results,
which in this case are m = 24, i.e., one for each hour of
the day.
The number of inputs, the number of hidden nodes,
transfer functions, scaling schemes, and training methods
affect the forecasting performance and hence need to be
chosen carefully.
3. Training ANN training basically consists on de-
termining the network parameters such as weights and
others, that allow achieving the desired objective based
on the available training sets. Usually, multi-layer feed-
forward neural networks are trained in a supervised man-
ner. Back-propagation is used as the training method here
[18], which is an iterative procedure that has three steps
during each iteration:
1. Forward: The outputs are calculated for given inputs.
2. Backward: The errors at the output layer are prop-
agated backwards toward the input layer, with the
partial derivatives of the performance with respect to
3. Weight adjustment: A multivariate nonlinear numeric
optimization algorithm finds the weights that mini-
mize the error based on the gradient.
Training stops when the performance has been mini-
mized to the goal, the performance gradient falls below
a minimum gradient, the maximum number of epochs is
reached, or the maximum amount of time has been ex-
ceeded.
The error function used in the back-propagation training
process is the sum-squared error, i.e.,
1


E= (tpj − Opj )2 (4)
2 p j

xk is the input of a neuron. where tpj and Opj are the target output and the actual
output j for input pattern p, respectively.
 Input variable selection follows:
(k)
(k)
Xi = (Xi − X̃i )/Si
(k)
(k) (7)
Oi = (Oi − Õi )/SOi
Data Pre-processing
where Si and SOi are the estimates of the standard devia-
tion of input and output i, respectively, and X̃i and Õi are
Scaling the average values of the corresponding input and output.
The error function has different minimum values for the
Traing data set two different scaling schemes.
Training 4. Training Each layer’s weights and biases are ini-
tialized when the neural network is set up. The network
adjusts the connection strength among the internal net-
Simulation work nodes until the proper transformation that links past
inputs and outputs from the training cases is learned. Data
windows are used for training and moved one day ahead.
Post-Processing 5. Simulation Using the trained neural network, the
forecasting output is simulated using the input patterns.
6. Post-Processing The neural network output need
Error analysis de-scaling to generate the desired forecasted loads. If nec-
essary, special events can be considered at this stage.
Fig. 3. ANN-based demand forecasting procedure. 7. Error Analysis As characteristics of load vary,
error observations are important for the forecasting pro-
cess. Hence, the following Mean Absolute Percentage Er-
ror (MAPE) ε and Root Mean Square Error (RMSE) σ
The learning function used in the training process is are used here for after-the-fact error analysis:
a gradient descent with momentum weight/bias function,
which allows to calculate the weight change for a given N
neuron. It is expressed as 1
|Xt − Xf |
ε= ∗ 100 (8)
N i=1 Xt
dW = mc ∗ dWprev + (1 − mc ) ∗ lr ∗ gW (5)

 N
1

σ=
where dWprev is the previous weight change, gW is the
weight gradient with respect to the performance, lr is the (Xt − Xf )2 (9)
N i=1
learning rate, and mc is the momentum. Different learning
rates and momentum affect the convergence properties. where Xt is the actual load and Xf is the forecasted load.
B. Forecasting Procedure
IV. Test Results
The STLF procedure for the chosen ANN model is
shown in Fig. 3. The historical data of Ontario system load for May 1999
1. Input Variable Selection Input variables such as was used for testing the proposed ANN-based STLF. Due
load, day type, temperature and spot prices of the previ- to the demerger of Ontario Hydro in early 1999, Ontario
ous day, and day type, temperature and spot prices of the electricity prices may be assumed to have had no ma-
forecasting day are initially chosen. jor impact on the load of interest. However, due to the
large power exchange between Pennsylvania-New Jersey-
2. Data Pre-processing Improperly recorded data Maryland (PJM) and Ontario, and the fact that PJM has
and observation error are inevitable. Hence, bad and ab- operated a large energy spot market for a while, one may
normal data are identified and discarded or adjusted using reasonably assume that these prices may have had a sig-
a statistical method to avoid contamination of the model nificant impact on the overall Ontario Hydro system load
[3]. for the period of interest. Thus, PJM electricity spot price
3. Scaling Since the variables have very different data for the corresponding time period is used here as the
ranges, the direct use of network data may cause conver- price input for the forecasting process.
gence problems. Two scaling schemes are used and com- A neural network with 100 inputs, 48 hidden nodes, and
pared. In the first scheme, all input Xi and output Oi 24 outputs, with the second scaling scheme as previously
variables are scaled to be in the [0, 1] range; hence, the described, is used here. A tangent sigmoid function was
input and output variables are scaled as follows: chosen as the transfer function for the hidden layer, and
a linear function for the output layer. This particular

(k) (k) (k)
ANN was chosen based on several tests with different num-
Xi = Xi /max(Xi ) ber of inputs, hidden nodes, transfer functions and scaling

(k) (k) (k) (6) schemes.
Oi = Oi /max(Oi ) The training performance for both a learning rate lr and
a momentum mc set at 0.6 is shown in Fig. 4. The fast
where k is the index of input and output vectors/patterns. convergence without oscillation is due to the relative large
In the second scheme, the input and output variables values of lr and mc , which were chosen based on multiple
are scaled to be in the [−c, c] range, where c is a positive tests carried out with different values of these two param-
number. The inputs and outputs in this case are scaled as eters.
 Performance is 0.00999021, Goal is 0.01
1
10

4
x 10
1.7
forecasted demand
actual demand

0 1.6
10
Training−Blue Goal−Black

1.5

demand (MW)
1.4

−1
10

1.3

1.2

−2
10
0 100 200 300 400 500 600 700 800 900 1.1
928 Epochs 0 5 10 15 20 25
hour

Fig. 4. Training performance of the chosen ANN. Fig. 6. Forecasting results for Saturday May 29, 1999.
4
x 10
1.55
forecasted demand
actual demand
1.5

1.45

1.4
demand (MW)

1.35

0.035
1.3
0.03

1.25 0.025

0.02
error

1.2
0.015

1.15 0.01

0.005
1.1
0 5 10 15 20 25
hour 0
25
20 30
25
Fig. 5. Forecasting results for Monday May 24, 1999. 15
20
10 15
5 10
5
0 0
hour
date

The STLF results for Monday May 24, 1999 and Satur-
day May 29, 1999 are depicted in Figs. 5 and 6; observe the Fig. 7. Absolute percentage errors for the May 1999 load data set.
satisfactory forecasted results. The adequate performance
of the proposed STLF is also illustrated in the absolute
percentage error plot for each hour on each day of May
1999 shown in Fig. 7; the MAPE is 0.0048 (0.48%) and
the maximum absolute error is 0.03 (3%).
If price effects are not considered, the number of iter-
ations required to achieve the same forecasting accuracy
practically doubled, as shown in Table I. If the ANN pa- TABLE I
Comparison of the Number of Iterations
rameters obtained from the training process in both cases,
i.e., with and without price consideration, are used for fu-
ture STLF, better forecasting results can be obtained by lr ,mc without price with price
including price factor, as shown in Fig. 8. In other words, lr =0.6 1790 1079
the PJM energy spot market prices do have an influence mc =0.4
on the Ontario Hydro’s system load, and better overall lr =0.6 2278 1065
STLF performance can be achieved when the price effect mc =0.5
is considered. lr =0.6 1711 927
mc =0.6
V. Conclusions lr =0.6 4170 1131
mc =0.7
An ANN-based STLF method that uses a three layer
feed-forward neural network and a back-propagation train-
ing method is presented here, so that electricity prices
can be considered as one of the main factors affecting the
 4
x 10
2 [5] I. Moghram and S. Rahman, “Analysis and Evaluation of Five
1.9
1.8
1.7
demand (MW)
1.6
1.5
1.4
actual demand
forecasted (without price)
1.3 forecasted (with price)
1.2
0 5 10 15
hour
Fig. 8. Comparison of the forecasting results for June 1, 1999. This
data is not used in the ANN training.
load in deregulated markets. The load-price relationship is
highly nonlinear and difficult to model directly; hence, by
considering price as another input to a neural network, it
is shown here that it is possible to readily account for the
impact of price on system load, without the need for deter-
mining an actual nonlinear function to represent this rela-
tionship. The historical load data for the Ontario Hydro
system as well as the prices from the neighboring electricity
market were used in this paper for testing, demonstrating
that price does have an impact on the performance of a
STLF technique.
Since the relationship between electricity price and load
is complex and dynamic, further research is needed to
study how different customers’ price response character-
istics and locations affect load forecasting. STLF could
be performed considering smaller areas and various large
consumers to achieve higher forecasting accuracy.
VI. Acknowledgements
The authors would like to thank Mr. Derek Beamer of
Ontario’s Independent Electricity Market Operator (IMO)
for providing data and valuable suggestions.
This research has been possible thanks to funding pro-
vided by NSERC and the E&CE Department of the Uni-
versity of Waterloo.
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Hong Chen received her Bachelor (1992) and Master(1995) de-
gree in Electrical Engineering from Southeast University in China.
She worked in NARI (Nanjing Automation Research Institute,
P.R.China) from 1995 to 1998, and was engaged in developing EMS
power application software. Now she is a Ph.D. student in the De-
partment of Electrical & Computer Engineering at the University
of Waterloo and doing research on electricity markets and computer
applications in power systems.
Claudio A. Cañizares received in April 1984 the Electrical Engi-
neer diploma from the Escuela Politécnica Nacional (EPN), Quito-
Ecuador, where he held different teaching and administrative po-
sitions from 1983 to 1993. His MS (1988) and PhD (1991) de-
grees in Electrical Engineering are from the University of Wisconsin–
Madison. Dr. Cañizares is currently an Associate Professor at the
University of Waterloo, E&CE Department, and his research activi-
ties are mostly concentrated in studying stability, modeling and com-
putational issues in ac/dc/FACTS systems.
Ajit Singh completed his B.Sc. degree in Electronics and Com-
munication Engineering (1979) at BIT, India, and M.Sc. (1986) and
Ph.D. (1991) degrees in Computing Science at University of Alberta,
Canada. From 1980 to 1983, he worked at the R & D department of
Operations Research Group, the representative company for Sperry
Univac Computers in India. From 1990 to 1992, he was involved with
the design of telecommunication systems at Bell-Northern Research,
Ottawa. He is currently an Associate Professor at Department of
Electrical and Computer Engineering, University of Waterloo. Dr.
Singh has published several research papers in the areas of software
engineering, network computing, database systems, and artificial in-
telligence.