The need to cope with the rapid transformation of the conventional electrical grid into the future smart grid, with multiple connected microgrids, has led to the investigation of optimal smart grid architectures. The main components of the future smart grids such as generators, substations, controllers, smart meters and collector nodes are evolving; however, truly effective integration of these elements into the microgrid context to guarantee intelligent and dynamic functionality across the whole smart grid remains an open issue. Energy trading is a significant part of this integration. In microgrids, energy trading refers to the use of surplus energy in one microgrid to satisfy the demand of another microgrid or a group of microgrids that form a microgrid community. Different techniques are employed to manage the energy trading process such as optimization-based and conventional game-theoretical methods, which bring about several challenges including complexity, scalability and ability to learn dynamic environments. A common challenge among all of these methods is adapting to changing circumstances. Optimization methods, for example, show promising performance in static scenarios where the optimal solution is achieved for a specific snapshot of the system. However, to use such a technique in a dynamic environment, finding the optimal solutions for all the time slots is needed, which imposes a significant complexity. Challenges such as this can be best addressed using game theory techniques empowered with machine learning methods across grid infrastructure and microgrid communities. In this thesis, novel Bayesian coalitional game theory-based and Bayesian reinforcement learning-based coalition formation algorithms are proposed, which allow the microgrids to exchange energy with their coalition members while minimizing the associated cost and power loss. In addition, a deep reinforcement learning scheme is developed to address the problem of large convergence time resulting from the sizeable state-action space of the methods mentioned above. The proposed algorithms can ideally overcome the uncertainty in the system. The advantages of the proposed methods are highlighted by comparing them with the conventional coalitional game theory-based techniques, Q-learning-based technique, random coalition formation, as well as with the case with no coalitions. The results show the superiority of the proposed methods in terms of power loss and cost minimization in dynamic environments.

Cette thèse s'intéresse à des problèmes de prise de décision séquentielle dans lesquels l'acquisition d'information est une fin en soi. Plus précisément, elle cherche d'abord à savoir comment modifier le formalisme des POMDP pour exprimer des problèmes de collecte d'information et à proposer des algorithmes pour résoudre ces problèmes. Cette approche est alors étendue à des tâches d'apprentissage par renforcement consistant à apprendre activement le modèle d'un système. De plus, cette thèse propose un nouvel algorithme d'apprentissage par renforcement bayésien, lequel utilise des transitions locales optimistes pour recueillir des informations de manière efficace tout en optimisant la performance escomptée. Grâce à une analyse de l'existant, des résultats théoriques et des études empiriques, cette thèse démontre que ces problèmes peuvent être résolus de façon optimale en théorie, que les méthodes proposées sont presque optimales, et que ces méthodes donnent des résultats comparables ou meilleurs que des approches de référence. Au-delà de ces résultats concrets, cette thèse ouvre la voie (1) à une meilleure compréhension de la relation entre la collecte d'informations et les politiques optimales dans les processus de prise de décision séquentielle, et (2) à une extension des très nombreux travaux traitant du contrôle de l'état d'un système à des problèmes de collecte d'informations / The purpose of this dissertation is to study sequential decision problems where acquiring information is an end in itself. More precisely, it first covers the question of how to modify the POMDP formalism to model information-gathering problems and which algorithms to use for solving them. This idea is then extended to reinforcement learning problems where the objective is to actively learn the model of the system. Also, this dissertation proposes a novel Bayesian reinforcement learning algorithm that uses optimistic local transitions to efficiently gather information while optimizing the expected return. Through bibliographic discussions, theoretical results and empirical studies, it is shown that these information-gathering problems are optimally solvable in theory, that the proposed methods are near-optimal solutions, and that these methods offer comparable or better results than reference approaches. Beyond these specific results, this dissertation paves the way (1) for understanding the relationship between information-gathering and optimal policies in sequential decision processes, and (2) for extending the large body of work about system state control to information-gathering problems