A Deep Reinforcement Learning Framework for Continuous Intraday Market Bidding

The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in particular the intraday market are considered a suitable trading f...

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Bibliographic Details
Published in:arXiv.org 2020-04
Main Authors: Boukas, Ioannis, Ernst, Damien, Théate, Thibaut, Bolland, Adrien, Huynen, Alexandre, Buchwald, Martin, Wynants, Christelle, Cornélusse, Bertrand
Format: Article
Language:English
Subjects:
Benchmarks
Decision making
Deep learning
Energy policy
Energy storage
Iterative algorithms
Iterative methods
Markov processes
Renewable energy sources
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Summary:The large integration of variable energy resources is expected to shift a large part of the energy exchanges closer to real-time, where more accurate forecasts are available. In this context, the short-term electricity markets and in particular the intraday market are considered a suitable trading floor for these exchanges to occur. A key component for the successful renewable energy sources integration is the usage of energy storage. In this paper, we propose a novel modelling framework for the strategic participation of energy storage in the European continuous intraday market where exchanges occur through a centralized order book. The goal of the storage device operator is the maximization of the profits received over the entire trading horizon, while taking into account the operational constraints of the unit. The sequential decision-making problem of trading in the intraday market is modelled as a Markov Decision Process. An asynchronous distributed version of the fitted Q iteration algorithm is chosen for solving this problem due to its sample efficiency. The large and variable number of the existing orders in the order book motivates the use of high-level actions and an alternative state representation. Historical data are used for the generation of a large number of artificial trajectories in order to address exploration issues during the learning process. The resulting policy is back-tested and compared against a benchmark strategy that is the current industrial standard. Results indicate that the agent converges to a policy that achieves in average higher total revenues than the benchmark strategy.
ISSN:2331-8422