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Can deep reinforcement learning algorithms be exploited as solvers for optimal trading strategies? The aim of this work is to test reinforcement learning algorithms on conceptually simple, but mathematically non-trivial, trading…

Mathematical Finance · Quantitative Finance 2020-04-10 Ayman Chaouki , Stephen Hardiman , Christian Schmidt , Emmanuel Sérié , Joachim de Lataillade

This thesis develops data-driven machine learning algorithms to managing and optimizing the next-generation highly complex cyberphysical systems, which desperately need ground-breaking control, monitoring, and decision making schemes that…

Machine Learning · Computer Science 2022-02-14 Alireza Sadeghi

For self-scheduling cascaded hydropower (S-CHP) facilities, medium-term planning is a critical step that coordinates water availability over the medium-term horizon, providing water usage guidance for their short-term operations in…

Systems and Control · Electrical Eng. & Systems 2025-01-10 Xianbang Chen , Yikui Liu , Neng Fan , Lei Wu

Long-term planning of a robust power system requires the understanding of changing demand patterns. Electricity demand is highly weather sensitive. Thus, the supply side variation from introducing intermittent renewable sources, juxtaposed…

Machine Learning · Computer Science 2022-09-13 Reshmi Ghosh , Michael Craig , H. Scott Matthews , Constantine Samaras , Laure Berti-Equille

Order Picker Routing is a critical issue in Warehouse Operations Management. Due to the complexity of the problem and the need for quick solutions, suboptimal algorithms are frequently employed in practice. However, Reinforcement Learning…

Machine Learning · Computer Science 2024-02-07 George Dunn , Hadi Charkhgard , Ali Eshragh , Sasan Mahmoudinazlou , Elizabeth Stojanovski

We propose a framework for applying reinforcement learning to contextual two-stage stochastic optimization and apply this framework to the problem of energy market bidding of an off-shore wind farm. Reinforcement learning could potentially…

Systems and Control · Electrical Eng. & Systems 2023-12-19 David Cole , Himanshu Sharma , Wei Wang

Deep reinforcement learning (DRL) has recently been adopted in a wide range of physics and engineering domains for its ability to solve decision-making problems that were previously out of reach due to a combination of non-linearity and…

Computational Physics · Physics 2024-06-19 Paul Garnier , Jonathan Viquerat , Jean Rabault , Aurélien Larcher , Alexander Kuhnle , Elie Hachem

Optimal execution is an important problem faced by any trader. Most solutions are based on the assumption of constant market impact, while liquidity is known to be dynamic. Moreover, models with time-varying liquidity typically assume that…

Trading and Market Microstructure · Quantitative Finance 2024-02-21 Andrea Macrì , Fabrizio Lillo

Semiconductor manufacturing is a notoriously complex and costly multi-step process involving a long sequence of operations on expensive and quantity-limited equipment. Recent chip shortages and their impacts have highlighted the importance…

Artificial Intelligence · Computer Science 2023-02-15 Pierre Tassel , Benjamin Kovács , Martin Gebser , Konstantin Schekotihin , Patrick Stöckermann , Georg Seidel

Reinforcement learning can interact with the environment and is suitable for applications in decision control systems. Therefore, we used the reinforcement learning method to establish a foreign exchange transaction, avoiding the…

Machine Learning · Computer Science 2020-06-05 Yun-Cheng Tsai , Chun-Chieh Wang

Some applications of deep learning require not only to provide accurate results but also to quantify the amount of confidence in their prediction. The management of an electric power grid is one of these cases: to avoid risky scenarios,…

Machine Learning · Computer Science 2023-08-25 Michele Guerra , Simone Scardapane , Filippo Maria Bianchi

Electrical power systems are increasing in size, complexity, as well as dynamics due to the growing integration of renewable energy resources, which have sporadic power generation. This necessitates the development of near real-time power…

Machine Learning · Computer Science 2023-03-02 Ognjen Kundacina , Gorana Gojic , Mile Mitrovic , Dragisa Miskovic , Dejan Vukobratovic

Buildings sector is one of the major consumers of energy in the United States. The buildings HVAC (Heating, Ventilation, and Air Conditioning) systems, whose functionality is to maintain thermal comfort and indoor air quality (IAQ), account…

Systems and Control · Electrical Eng. & Systems 2021-03-24 Chi Zhang , Sanmukh R. Kuppannagari , Rajgopal Kannan , Viktor K. Prasanna

This paper describes the application of reinforcement learning (RL) to multi-product inventory management in supply chains. The problem description and solution are both adapted from a real-world business solution. The novelty of this…

Machine Learning · Computer Science 2020-06-09 Nazneen N Sultana , Hardik Meisheri , Vinita Baniwal , Somjit Nath , Balaraman Ravindran , Harshad Khadilkar

Reinforcement learning (RL) is a promising approach for optimizing HVAC control. RL offers a framework for improving system performance, reducing energy consumption, and enhancing cost efficiency. We benchmark two popular classical and deep…

Machine Learning · Computer Science 2023-08-11 Marshall Wang , John Willes , Thomas Jiralerspong , Matin Moezzi

With large-scale integration of renewable generation and distributed energy resources, modern power systems are confronted with new operational challenges, such as growing complexity, increasing uncertainty, and aggravating volatility.…

Machine Learning · Computer Science 2022-02-28 Xin Chen , Guannan Qu , Yujie Tang , Steven Low , Na Li

Recent techniques in dynamical scheduling and resource management have found applications in warehouse environments due to their ability to organize and prioritize tasks in a higher temporal resolution. The rise of deep reinforcement…

Machine Learning · Computer Science 2022-03-08 Stelios Stavroulakis , Biswa Sengupta

This paper presents a capacity-constrained incentive-based demand response approach for residential smart grids. It aims to maintain electricity grid capacity limits and prevent congestion by financially incentivising end users to reduce or…

Machine Learning · Computer Science 2026-02-19 Shafagh Abband Pashaki , Sepehr Maleki , Amir Badiee

Deep Reinforcement learning is a branch of unsupervised learning in which an agent learns to act based on environment state in order to maximize its total reward. Deep reinforcement learning provides good opportunity to model the complexity…

Statistical Finance · Quantitative Finance 2021-08-05 Zhaolu Dong , Shan Huang , Simiao Ma , Yining Qian

Imagine a patient in critical condition. What and when should be measured to forecast detrimental events, especially under the budget constraints? We answer this question by deep reinforcement learning (RL) that jointly minimizes the…

Machine Learning · Computer Science 2019-06-11 Chun-Hao Chang , Mingjie Mai , Anna Goldenberg
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