Wind power forecasting is very crucial for power system planning and scheduling. Deep neural networks (DNNs) are widely used in forecasting applications due to their exceptional performance. However, the DNNs’ architectural configuration has a significant impact on their performance, and the selection of proper hyper-parameters determines the success or failure of these models. Therefore, one of the challenging issues in DNNs is how to assess their hyper-parameter values effectively. Most of the previous researches in the literature have tuned the DNNs’ hyper-parameters manually, which is a weak and time-consuming task. Using optimization/evolutionary algorithms is an effective way to obtain the optimal values of DNNs’ hyper-parameters automatically. In this article, we propose a novel evolutionary algorithm that is based on the grasshopper optimization algorithm (GOA) improved by adding two evolutionary operators, opposition-based learning and chaos theory, to the optimization process. Overall, a novel probabilistic wind power forecasting model named neural GOA deep auto-regressive (NGOA-DeepAr) is proposed based on an auto-regressive recurrent neural network in which the proposed evolutionary algorithm has optimized its hyper-parameters. The performance of the proposed NGOA-DeepAr model is tested on two different datasets: One is the publicly available GEFCom-2014 dataset and the other is the Australian Energy Market Operator dataset. The prediction interval coverage probability and pinball loss for the two datasets are [0.902,0.320] and [0.933,1.4885] , respectively. According to the experimental findings, our proposed NGOA-DeepAr is much faster in learning and outperforms the benchmark DNNs and the other neuroevolutionary models.
