Related papers: Optimal control of storage for arbitrage, with app…
Storage is vital to power systems as it provides the urgently needed flexibility to the system. Meanwhile, it can contribute more than flexibility. In this paper, we study the possibility of utilizing storage system for carbon emission…
The present paper provides a study of high-dimensional statistical arbitrage that combines factor models with the tools from stochastic control, obtaining closed-form optimal strategies which are both interpretable and computationally…
This paper presents an integrated model for bidding energy storage in day-ahead and real-time markets to maximize profits. We show that in integrated two-stage bidding, the real-time bids are independent of day-ahead settlements, while the…
In a continuous-time model with multiple assets described by c\`{a}dl\`{a}g processes, this paper characterizes superhedging prices, absence of arbitrage, and utility maximizing strategies, under general frictions that make execution prices…
The control of ensembles of dynamical systems is an intriguing and challenging problem, arising for example in quantum control. We initiate the investigation of optimal control of ensembles of discrete-time systems, focusing on minimising…
In the wake of the highly electrified future ahead of us, the role of energy storage is crucial wherever distributed generation is abundant, such as in microgrid settings. Given the variety of storage options that are becoming more and more…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
Future power grids will entail large fleets of storage devices capable of scheduling their charging/discharging profiles so as to achieve lower peak demand and reduce energy bills, by shifting absorption times in sync with the availability…
Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…
Despite being optimized, the information processing of biological organisms exhibits significant variability in its complexity and capability. One potential source of this diversity is the limitation of resources required for information…
We consider the Brownian market model and the problem of expected utility maximization of terminal wealth. We, specifically, examine the problem of maximizing the utility of terminal wealth under the presence of transaction costs of a…
This paper examines the value of storage in securing reliability of a system with uncertain supply and demand, and supply friction. The storage is frictionless as a supply source, but once used, it cannot be filled up instantaneously. The…
In the field of microgrids with a significant integration of Renewable Energy Sources, the efficient and practical power storage systems requirement is causing DC microgrids to gain increasing attention. However, uncertainties in power…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
The paper considers the optimal control problem of inventory of a discrete product in regeneration scheme with a Poisson flow of customer requirements. In the system deferred demand is allowed, the volume of which is limited by a given…
Microscopic machines utilize free energy to create and maintain out-of-equilibrium organization in virtually all living things. Often this takes the form of converting the free energy stored in nonequilibrium chemical potential differences…
Electricity storage is crucial for a successful transition towards carbon-neutral energy production. Despite considerable research and a number of promising future alternatives such as hydrogen, battery storages currently remain the first…
Within the context of renewable energy communities, this paper focuses on optimal operation of producers equipped with energy storage systems in the presence of demand response. A novel strategy for optimal scheduling of the storage systems…
This paper presents an analytical method for calculating the operational value of an energy storage device under multi-stage price uncertainties. Our solution calculates the storage value function from price distribution functions directly…