This paper considers a demand response agent that must find a near-optimal sequence of decisions based on sparse observations of its environment. Extracting a relevant set of features from these observations is a challenging task and may require substantial domain knowledge. One way to tackle this problem is to store sequences of past observations and actions in the state vector

making it high dimensional

and apply techniques from deep learning. This paper investigates the capabilities of different deep learning techniques

such as convolutional neural networks and recurrent neural networks

to extract relevant features for finding near-optimal policies for a residential heating system and electric water heater that are hindered by sparse observations. Our simulation results indicate that in this specific scenario

feeding sequences of time-series to an Long Short-Term Memory (LSTM) network

which is a specific type of recurrent neural network

achieved a higher performance than stacking these time-series in the input of a convolutional neural network or deep neural network.