Abstract:Accurate electricity price forecasting (EPF) is essential for market participants to support operational planning and risk management, yet remains challenging due to strong volatility, nonlinear dynamics, and frequent extreme price spikes. These challenges are particularly pronounced in the Australian National Electricity Market (NEM), where high renewable penetration further increases uncertainty. This paper investigates week-ahead electricity price forecasting and proposes a hybrid KAN+XGBoost framework that integrates Kolmogorov-Arnold Networks (KAN) with tree-based learning. The proposed approach combines the global nonlinear representation capability of KAN with the local robustness of XGBoost to capture both long-term dependencies and short-term price fluctuations. Experiments are conducted on real-world NEM data using an expanding window evaluation strategy. The results demonstrate that the proposed model outperforms benchmark methods, including SARIMAX, Long Short-Term Memory (LSTM), standalone KAN, and XGBoost, reducing MAE by approximately 12% compared to XGBoost and by over 50% compared to a naive baseline. The results suggest that hybrid learning strategies provide an effective and robust solution for electricity price forecasting in highly dynamic electricity markets.
| Comments: | The 24th IEEE International Conference on Industrial Informatics, 2026 |
| Subjects: | Machine Learning (cs.LG); Computational Engineering, Finance, and Science (cs.CE) |
| Cite as: | arXiv:2605.22387 [cs.LG] |
| (or arXiv:2605.22387v1 [cs.LG] for this version) | |
| https://doi.org/10.48550/arXiv.2605.22387 arXiv-issued DOI via DataCite (pending registration) |
From: Hao Wang [view email]
[v1]
Thu, 21 May 2026 12:19:58 UTC (1,585 KB)
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