Related papers: An optimal trading problem in intraday electricity…
There is a growing interest in the integration of energy infrastructures to increase systems' flexibility and reduce operational costs. The most studied case is the synergy between electric and heating networks. Even though integrated heat…
Renewable Energy Sources play a key role in smart energy systems. To achieve 100% renewable energy, utilizing the flexibility potential on the demand side becomes the cost-efficient option to balance the grid. However, it is not trivial to…
An increasing share of energy is produced from renewable sources by many small producers. The efficiency of those sources is volatile and, to some extent, random, exacerbating the problem of energy market balancing. In many countries, this…
In order to deal with market power that sporadically results from contingencies (e.g., severe weather, plant outages) most electricity markets have institutions in charge of monitoring market performance and mitigating market power. The…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
Over the past years, distributed energy resources (DER) have been the object of many studies, which recognise and establish their emerging role in the future of power systems. However, the implementation of many scenarios and mechanism are…
The exponential growth of renewable energy capacity has brought much uncertainty to electricity prices and to electricity generation. To address this challenge, the energy exchanges have been developing further trading possibilities,…
We propose a multivariate elastic net regression forecast model for German quarter-hourly electricity spot markets. While the literature is diverse on day-ahead prediction approaches, both the intraday continuous and intraday call-auction…
Recent trends express the impact of prosumers and small energy resources and storages in distribution systems, due to the increasing uptake of renewable resources. This research studies the effect of coordination of distributed resources…
Electricity market design that accounts for grid constraints such as voltage and thermal limits at the distribution level can increase opportunities for the grid integration of Distributed Energy Resources (DERs). In this paper, we consider…
We consider a retailer who buys energy in the wholesale market and resells it to final consumers. The retailer has to decide when to intervene to change the price he asks to his customers, in order to maximize his income. We model the…
The price of electricity is far more volatile than that of other commodities normally noted for extreme volatility. Demand and supply are balanced on a knife-edge because electric power cannot be economically stored, end user demand is…
The problem of heat system pricing is considered. A direct extension of locational marginal prices (LMP) in electricity markets to heat systems may lead to revenue inadequate issues. The underlying reason for such a problem is that, unlike…
The electricity industry has been one of the first to face technological changes motivated by sustainability concerns. Whilst efficiency aspects of market design have tended to focus upon market power concerns, the new policy challenges…
We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…
Trading frictions are stochastic. They are, moreover, in many instances fast-mean reverting. Here, we study how to optimally trade in a market with stochastic price impact and study approximations to the resulting optimal control problem…
As energy markets begin clearing at sub-hourly rates, their interaction with load control systems becomes a potentially important consideration. A simple model for the control of thermal systems using market-based power distribution…
As the share of variable renewable energy sources increases in the electricity mix, new solutions are needed to build a flexible and reliable grid. Energy arbitrage with battery storage systems supports renewable energy integration into the…
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…
We consider the coupled problems of optimal thermostat programming and optimal pricing of electricity. Our framework consists of a single user and a single provider (a regulated utility). The provider sets prices for the user, who pays for…