Data-Driven Forecasting of Electricity Prices in Chile Using Machine Learning

This study proposes and evaluates a data-driven framework for short-term System Marginal Price (SMP) forecasting in the Chilean National Electric System (NES), a power system characterized by high penetration of variable renewable generation and persistent transmission congestion. Using publicly available hourly operational data for 2024, multiple machine learning regressors including Linear Regression (base case), Bayesian Ridge, Automatic Relevance Determination, Decision Trees, Random Forests, and Support Vector Regression are implemented under a node-specific modeling strategy. Two alternative approaches for predictor selection are compared: a system-wide methodology that exploits lagged SMP information from all network nodes; and a spatially filtered methodology that restricts SMP inputs to correlated subsystems identified through nodal correlation analysis. Model robustness is explicitly assessed by reserving January and July as out-of-sample test periods, capturing contrasting summer and winter operating conditions. Forecasting performance is analyzed for representative nodes located in the northern, central, and southern zones of the NES, which exhibit markedly different congestion levels and generation mixes. Results indicate that non-linear and ensemble models, particularly Random Forest and Support Vector Regression, provide the most accurate forecasts in well-connected areas, achieving mean absolute errors close to 10 USD/MWh. In contrast, forecast errors increase substantially in highly congested southern zones, reflecting the structural influence of transmission constraints on price formation. While average performance differences between M1 and M2 are modest, a paired Wilcoxon signed-rank test reveals statistically significant improvements with M2 in highly congested zones, where M2 yields lower absolute errors for most models, despite relying on fewer inputs. These findings highlight the importance of congestion-aware feature selection for reliable price forecasting in renewable-intensive systems.