Model Predictive Control-Guided Reinforcement Learning for Implicit Balancing

Abstract: In Europe, profit-seeking balance responsible parties can deviate in real time from their day-ahead nominations to assist transmission system operators in maintaining the supply-demand balance. Model predictive control (MPC) strategies to exploit these implicit balancing strategies capture arbitrage opportunities, but fail to accurately capture the price-formation process in the European imbalance markets and face high computational costs. Model-free reinforcement learning (RL) methods are fast to execute, but require data-intensive training and usually rely on real-time and historical data for decision-making. This paper proposes an MPC-guided RL method that combines the complementary strengths of both MPC and RL. The proposed method can effectively incorporate forecasts into the decision-making process (as in MPC), while maintaining the fast inference capability of RL. The performance of the proposed method is evaluated on the implicit balancing battery control problem using Belgian balancing data from 2023. First, we analyze the performance of the standalone state-of-the-art RL and MPC methods from various angles, to highlight their individual strengths and limitations. Next, we show an arbitrage profit benefit of the proposed MPC-guided RL method of 16.15% and 54.36%, compared to standalone RL and MPC.