With the rising extension of renewable energies, the intraday electricity markets have recorded a growingpopularity amongst traders as well as electric utilities to cope with the induced volatility of the energysupply...With the rising extension of renewable energies, the intraday electricity markets have recorded a growingpopularity amongst traders as well as electric utilities to cope with the induced volatility of the energysupply. Through their short trading horizon and continuous nature, the intraday markets offer the abilityto adjust trading decisions from the day-ahead market or reduce trading risk in a short-term notice. Producersof renewable energies utilize the intraday market to lower their forecast risk, by modifying their providedcapacities based on current forecasts. However, the market dynamics are complex due to the fact that thepower grids have to remain stable and electricity is only partly storable. Consequently, robust and intelligenttrading strategies are required that are capable to operate in the intraday market. In this work, we proposea novel autonomous trading approach based on Deep Reinforcement Learning (DRL) algorithms as a possiblesolution. For this purpose, we model the intraday trade as a Markov Decision Process (MDP) and employ theProximal Policy Optimization (PPO) algorithm as our DRL approach. A simulation framework is introducedthat enables the trading of the continuous intraday price in a resolution of one minute steps. We test ourframework in a case study from the perspective of a wind park operator. We include next to general tradeinformation both price and wind forecasts. On a test scenario of German intraday trading results from 2018,we are able to outperform multiple baselines with at least 45.24% improvement, showing the advantage of theDRL algorithm. However, we also discuss limitations and enhancements of the DRL agent, in order to increasethe performance in future works.展开更多
文摘With the rising extension of renewable energies, the intraday electricity markets have recorded a growingpopularity amongst traders as well as electric utilities to cope with the induced volatility of the energysupply. Through their short trading horizon and continuous nature, the intraday markets offer the abilityto adjust trading decisions from the day-ahead market or reduce trading risk in a short-term notice. Producersof renewable energies utilize the intraday market to lower their forecast risk, by modifying their providedcapacities based on current forecasts. However, the market dynamics are complex due to the fact that thepower grids have to remain stable and electricity is only partly storable. Consequently, robust and intelligenttrading strategies are required that are capable to operate in the intraday market. In this work, we proposea novel autonomous trading approach based on Deep Reinforcement Learning (DRL) algorithms as a possiblesolution. For this purpose, we model the intraday trade as a Markov Decision Process (MDP) and employ theProximal Policy Optimization (PPO) algorithm as our DRL approach. A simulation framework is introducedthat enables the trading of the continuous intraday price in a resolution of one minute steps. We test ourframework in a case study from the perspective of a wind park operator. We include next to general tradeinformation both price and wind forecasts. On a test scenario of German intraday trading results from 2018,we are able to outperform multiple baselines with at least 45.24% improvement, showing the advantage of theDRL algorithm. However, we also discuss limitations and enhancements of the DRL agent, in order to increasethe performance in future works.
