Arbitrage of Energy Storage in Electricity Markets with Deep Reinforcement Learning

28 Apr 2019  ·  Hanchen Xu, Xiao Li, Xiangyu Zhang, Junbo Zhang ·

In this letter, we address the problem of controlling energy storage systems (ESSs) for arbitrage in real-time electricity markets under price uncertainty. We first formulate this problem as a Markov decision process, and then develop a deep reinforcement learning based algorithm to learn a stochastic control policy that maps a set of available information processed by a recurrent neural network to ESSs' charging/discharging actions. Finally, we verify the effectiveness of our algorithm using real-time electricity prices from PJM.

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