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In face of the pressing need of decarbonization in the power sector, the re-design of electricity market is necessary as a Marco-level approach to accommodate the high penetration of renewable generations, and to achieve power system…

Energy market rules should incentivize market participants to behave in a market and grid conform way. However, they can also provide incentives for undesired and unexpected strategies if the market design is flawed. Multi-agent…

Transmission expansion planning in electricity markets is tightly coupled with the strategic bidding behaviors of generation companies. This paper proposes a Reinforcement Learning (RL)-based co-optimization framework that simultaneously…

In response to the increasing complexity of electricity markets due to low-carbon requirements and the integration of sustainable energy sources, this paper proposes a dynamic quantum computing enhanced bilevel optimization model for…

Market makers play an important role in providing liquidity to markets by continuously quoting prices at which they are willing to buy and sell, and managing inventory risk. In this paper, we build a multi-agent simulation of a dealer…

This paper introduces a deep reinforcement learning (RL) framework for optimizing the operations of power plants pairing renewable energy with storage. The objective is to maximize revenue from energy markets while minimizing storage…

Most of the current game-theoretic demand-side management methods focus primarily on the scheduling of home appliances, and the related numerical experiments are analyzed under various scenarios to achieve the corresponding Nash-equilibrium…

The increasing penetration of renewable generations, along with the deregulation and marketization of power industry, promotes the transformation of power market operation paradigms. The optimal bidding strategy and dispatching methodology…

We study a Markov matching market involving a planner and a set of strategic agents on the two sides of the market. At each step, the agents are presented with a dynamical context, where the contexts determine the utilities. The planner…

Reinforcement learning agent-based simulation (RL-ABS) has become an important tool for electricity market mechanism analysis and evaluation. In the modeling of monotone, bounded, multi-segment stepwise bids, existing methods typically let…

Execution algorithms are vital to modern trading, they enable market participants to execute large orders while minimising market impact and transaction costs. As these algorithms grow more sophisticated, optimising them becomes…

Sequential decision making, commonly formalized as Markov Decision Process (MDP) optimization, is a important challenge in artificial intelligence. Two key approaches to this problem are reinforcement learning (RL) and planning. This paper…

Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…

In this paper we design hybrid control policies for hybrid systems whose mathematical models are unknown. Our contributions are threefold. First, we propose a framework for modelling the hybrid control design problem as a single Markov…

This paper establishes a new and comprehensive theoretical analysis for the application of reinforcement learning (RL) in high-frequency market making. We bridge the modern RL theory and the continuous-time statistical models in…

Unlike traditional reinforcement learning (RL), market-based RL is in principle applicable to worlds described by partially observable Markov Decision Processes (POMDPs), where an agent needs to learn short-term memories of relevant…

This thesis presents the results of a comprehensive research project focused on applying Reinforcement Learning (RL) to the problem of market making in financial markets. Market makers (MMs) play a fundamental role in providing liquidity,…

The decentralisation and unpredictability of new renewable energy sources require rethinking our energy system. Data-driven approaches, such as reinforcement learning (RL), have emerged as new control strategies for operating these systems,…

An increasing share of energy is produced from renewable sources by many small producers. The efficiency of those sources is volatile and, to some extent, random, exacerbating the problem of energy market balancing. In many countries, this…

Reinforcement Learning has emerged as a promising framework for developing adaptive and data-driven strategies, enabling market makers to optimize decision-making policies based on interactions with the limit order book environment. This…