Wang Wei

Yinglun Li, Nanpeng Yu, Wei Wang

This paper develops a machine learning-driven portfolio optimization framework for virtual bidding in electricity markets considering both risk constraint and price sensitivity. The algorithmic trading strategy is developed from the perspective of a proprietary trading firm to maximize profit. A recurrent neural network-based Locational Marginal Price (LMP) spread forecast model is developed by leveraging the inter-hour dependencies of the market clearing algorithm. The LMP spread sensitivity with respect to net virtual bids is modeled as a monotonic function with the proposed constrained gradient boosting tree. We leverage the proposed algorithmic virtual bid trading strategy to evaluate both the profitability of the virtual bid portfolio and the efficiency of U.S. wholesale electricity markets. The comprehensive empirical analysis on PJM, ISO-NE, and CAISO indicates that the proposed virtual bid portfolio optimization strategy considering the price sensitivity explicitly outperforms the one that neglects the price sensitivity. The Sharpe ratio of virtual bid portfolios for all three electricity markets are much higher than that of the S&P 500 index. It was also shown that the efficiency of CAISO's two-settlement system is lower than that of PJM and ISO-NE.

Yuanqi Gao, Wei Wang, Nanpeng Yu

Volt-VAR control (VVC) is a critical application in active distribution network management system to reduce network losses and improve voltage profile. To remove dependency on inaccurate and incomplete network models and enhance resiliency against communication or controller failure, we propose consensus multi-agent deep reinforcement learning algorithm to solve the VVC problem. The VVC problem is formulated as a networked multi-agent Markov decision process, which is solved using the maximum entropy reinforcement learning framework and a novel communication-efficient consensus strategy. The proposed algorithm allows individual agents to learn a group control policy using local rewards. Numerical studies on IEEE distribution test feeders show that our proposed algorithm matches the performance of single-agent reinforcement learning benchmark. In addition, the proposed algorithm is shown to be communication efficient and resilient.