Cost-sensitive weighting and imbalance-reversed bagging for streaming imbalanced and concept drifting in electricity pricing classification

In data streaming environments such as a smart grid, it is impossible to restrict each data chunk to have the same number of samples in each class. Hence, in addition to the concept drift, classification problems in streaming data environments are inherently imbalanced. However, streaming imbalanced and concept drifting problems in the power system and smart grid have rarely been studied. Incremental learning aims to learn the correct classification for the future unseen samples from the given streaming data. In this paper, we propose a new incremental ensemble learning method to handle both concept drift and class imbalance issues. The class imbalance issue is tackled by an imbalance-reversed bagging method that improves the true positive rate while maintains a low false positive rate. The adaptation to concept drift is achieved by a dynamic cost-sensitive weighting scheme for component classifiers according to their classification performances and stochastic sensitivities. The proposed method is applied to a case study for the electricity pricing in Australia to predict whether the price of New South Wales will be higher or lower than that of Victorias in a 24-h period. Experimental results show the effectiveness of the proposed algorithm with statistical significance in comparison to the state-of-the-art incremental learning methods.