Abstract
Due to focal liberality in electricity market projection, researchers try to suggest powerful and successful price forecasting algorithms. Since, the accurate information of future makes best way for market participants so as to increases their profit using bidding strategies, here suggests an algorithm for electricity price anticipation. To cover this goal, separate an algorithm into three steps, namely; pre-processing, learning and tuning. The pre-processing part consists of Wavelet Packet Transform (WPT) to analyze price signal to high and low frequency subseries and Variational Mutual Information (VMI) to select valuable input data in order to helps the learning part and decreases the computation burden. Owing to the learning part, a new Least squares support vector machine based self-adaptive fuzzy kernel (LSSVM-SFK) is proposed to extract best map pattern from input data. A new modified HBMO is introduced to optimally set LSSVM-SFK variables such as bias, weight, etc. To improve the performances of HBMO, two modifications are proposed that has high stability in HBMO. Suggested forecasting algorithm is examined on electricity markets that has acceptable efficiency than other models.