A risk analysis method for carbon price prediction with hybrid intelligent model in consideration of variable selection of graphical modeling

Hiroyuki Mori, Wenjun Jiang

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2 Citations (Scopus)

Abstract

This paper proposes a new risk assessment method for short-term carbon price prediction model. In this paper, a hybrid intelligent method of DA clustering and artificial neural network (ANN) is presented as a predictor of short-term carbon price. DA clustering plays a key role to classify input data into clusters. ANN is useful for predicting one-step ahead carbon price at each cluster. Graphical modeling is used to select meaningful input variables and provide more realistic relationship between input and output variables in the prediction model. To evaluate the uncertainty of the day-ahead carbon low, Monte-carol simulation is carried out to generate sufficient realistic pseudo-scenarios with the multivariate normal random number. The proposed method is successfully applied to the real market data.

Original languageEnglish
Title of host publication2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008
Pages1019-1024
Number of pages6
DOIs
Publication statusPublished - 1 Dec 2008
Event2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008 - Singapore, Singapore
Duration: 24 Nov 200827 Nov 2008

Publication series

Name2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008

Conference

Conference2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008
CountrySingapore
CitySingapore
Period24/11/0827/11/08

    Fingerprint

Cite this

Mori, H., & Jiang, W. (2008). A risk analysis method for carbon price prediction with hybrid intelligent model in consideration of variable selection of graphical modeling. In 2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008 (pp. 1019-1024). [4747156] (2008 IEEE International Conference on Sustainable Energy Technologies, ICSET 2008). https://doi.org/10.1109/ICSET.2008.4747156