Skip to content
Review Open access

Recent Advances in Probabilistic Electricity Price Forecasting: A Review of Methods and Evaluation Metrics

Jul 2026 · Energies · Vol 19, pp. 3552 · 1 citation · 58 references

Abstract

Electricity price forecasting has traditionally relied on point predictions, which provide a single expected value for each future delivery period. However, the high volatility, spikes, heavy tails, negative prices and regime changes observed in modern electricity markets make point forecasts insufficient for many trading, bidding, storage, scheduling and risk-management decisions. This review focuses on probabilistic electricity price forecasting (PEPF), which represents uncertainty through quantiles, prediction intervals, predictive densities and multivariate scenarios. It systematizes recent developments in post-processing methods, Quantile Regression Averaging, conformal prediction, Bayesian and heteroscedastic models, distributional neural networks, copula-based approaches, normalizing flows, generative models and scenario generation. Particular attention is paid to probabilistic forecast evaluation, including proper scoring rules, calibration diagnostics and statistical testing. The review highlights the transition from marginal uncertainty quantification toward coherent multivariate and decision-oriented forecasting, and identifies open challenges related to calibration, dependence modeling, benchmark design, economic value assessment and reproducibility.

Read PDF

Similar papers

Review Open access Aug 2026

Short-Term Electricity Price Forecasting: A Review of Point Forecasting Methods, Metrics, and Empirical Evaluation

Increasing variability in electricity production and demand contributes to greater electricity price volatility across different markets. The effective implementation of business processes related to broadly defined electricity trading therefore requires reliable electricity price forecasts. Consequently, electricity p...

Paweł Piotrowski, M. Kopyt, Grzegorz Dudek et al. · 0 citations
Preprint Oct 2026

A distributional modelling approach with application to electricity price forecasting

The increasing volatility of electricity prices driven by renewable energy integration, market shocks, and regulatory changes has reinforced the need for forecasting methods that go beyond point predictions and accurately describe the full conditional price distribution. This paper applies the Generalised Additive Mode...

A. Ciarreta, Peru Muniain, Ainhoa Zarraga · 0 citations
#artificial intelligence Preprint Sep 2026

Probabilistic electrical power demand forecasting with uncertainty quantification

The majority of research on electricity consumption forecasting has focused on deterministic approaches, which generate a single point estimate for each time step in the forecasting horizon. However, the increasing penetration of renewable energy sources and the growing complexity of modern smart grids have introduced...

Mahesh Neupane, Pragya Dhungana, Pradip Khatri et al. · 0 citations
Open access Aug 2026

Consideration of High Proportion Renewable Energy Penetration in Electricity Spot Market Price Spike Probability Forecasting and Risk Early Warning

This study addresses the critical challenge of price spike forecasting in electricity spot markets by investigating the influence of high renewable energy penetration on market volatility and the cost-sensitive production processes of energy-intensive industries. With the increasing deployment of smart grids, wide-area...

M.-Y. Chen, L. Qi, W.-B. Zheng et al. · 0 citations
#machine learning Preprint Aug 2026

Foundation models for electricity price forecasting and battery arbitrage: Can they replace market-specific forecasting models?

Foundation models promise accurate forecasts with little or no task-specific training, but whether they can replace models designed specifically for electricity price forecasting remains unclear. We compare nine variants from five foundation model families, evaluated in zero-shot mode, with two state-of-the-art electri...

Arkadiusz Lipiecki, Rafał Weron · 2 citations
Aug 2026

Probabilistic electricity price forecasting for profit maximization during energy crisis periods

ABSTRACT In Europe, electricity prices and volatility have risen considerably following the COVID-19 pandemic and energy crisis, increasing the importance of probabilistic forecasting and risk management. This paper proposes a profit-maximization strategy using predictions from LightGBM quantile regression (LightGBM-QR...

Salih Gündüz, Umut Ugurlu, Ilkay Oksuz · 1 citation

We use cookies to run the site and, with your consent, for analytics and to show ads. See our Cookie Policy.