A Neural Network Approach to High-Dimensional Optimal Switching Problems with Jumps in Energy Markets

We develop a backward-in-time machine learning algorithm that uses a sequence of neural networks to solve optimal switching problems in energy production, where electricity and fossil fuel prices are subject to stochastic jumps. We then apply this algorithm to a variety of energy scheduling problems, including novel high-dimensional energy production problems. Our experimental results demonstrate that the algorithm performs with accuracy and experiences linear to sublinear slowdowns as dimension increases, demonstrating the value of the algorithm for solving high-dimensional switching problems.