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arXiv 2301.08360q-fin.TRcs.LG
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领域适应学习与模仿:用于电力套利的DRL

Domain-adapted Learning and Imitation: DRL for Power Arbitrage

University College London(伦敦大学学院);Shell Global Solutions International(壳牌全球解决方案国际公司);Shell Shared Service Center Chennai(壳牌金奈共享服务中心);Shell Energy North America(壳牌能源北美公司)

Yuanrong Wang, Vignesh Raja Swaminathan, Nikita P. Granger, Carlos Ros Perez, Christian Michler

AI总结:

针对荷兰电力市场套利问题,提出协作式双智能体强化学习方法,结合领域知识模仿与奖励工程,使累计P&L提升三倍且超越基准策略约50%。

摘要:

本文讨论了荷兰电力市场,该市场由日前市场和类似于拍卖运行的日内平衡市场组成。由于电力供需波动,经常出现不平衡导致两个市场价格不同,从而提供了套利机会。为解决此问题,我们重构了问题,并针对这种欧洲电力套利交易的双层模拟与优化,提出了一种协作式双智能体强化学习方法。我们还引入了两种新实现,旨在通过模仿电力交易员的交易行为来融入领域特定知识。通过利用奖励工程模仿领域专业知识,我们能够改革RL智能体的奖励系统,这改善了训练期间的收敛性并提升了整体性能。此外,订单分层提高了投标成功率,并显著提升了损益(P&L)。我们的研究表明,通过在一般学习问题中利用领域专业知识,性能可以得到大幅提升,最终集成的方法使累计P&L相比原始智能体提高了三倍。此外,我们的方法在保持高效计算性能的同时,比最高基准策略高出约50%。

英文摘要:

In this paper, we discuss the Dutch power market, which is comprised of a day-ahead market and an intraday balancing market that operates like an auction. Due to fluctuations in power supply and demand, there is often an imbalance that leads to different prices in the two markets, providing an opportunity for arbitrage. To address this issue, we restructure the problem and propose a collaborative dual-agent reinforcement learning approach for this bi-level simulation and optimization of European power arbitrage trading. We also introduce two new implementations designed to incorporate domain-specific knowledge by imitating the trading behaviours of power traders. By utilizing reward engineering to imitate domain expertise, we are able to reform the reward system for the RL agent, which improves convergence during training and enhances overall performance. Additionally, the tranching of orders increases bidding success rates and significantly boosts profit and loss (P&L). Our study demonstrates that by leveraging domain expertise in a general learning problem, the performance can be improved substantially, and the final integrated approach leads to a three-fold improvement in cumulative P&L compared to the original agent. Furthermore, our methodology outperforms the highest benchmark policy by around 50% while maintaining efficient computational performance.

机构、总结、中文摘要均由AI分析而来,可能存在错误,请以论文正文为准。

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