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This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…

This paper presents a medium-term self-scheduling optimization of pumped hydro storage power plants with detailed consideration of short-term flexibility. A decomposition of the problem into inter- and intrastage subproblems, where the…

We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…

In this paper, we study the operational problem of connected hydro power reservoirs which involves sequential decision-making in an uncertain and dynamic environment. The problem is traditionally formulated as a stochastic dynamic program…

Maximizing revenue for grid-scale battery energy storage systems in continuous intraday electricity markets requires strategies that are able to seize trading opportunities as soon as new information arrives. This paper introduces and…

We consider the residential energy storage management system with integrated renewable generation, with the availability of bidirectional energy flow from and to the grid thorough buying and selling. We propose a real-time bidirectional…

Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…

Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…

The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…

The co-optimization of behind-the-meter distributed energy resources is considered for prosumers under the net energy metering tariff. The distributed energy resources considered include renewable generations, flexible demands, and battery…

Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…

We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…

In this study, an optimization problem is proposed in order to obtain the maximum economic benefit from wind farms with variable and intermittent energy generation in the day ahead and balancing electricity markets. This method, which is…

With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…

Rough stochastic volatility models have attracted a lot of attentions recently, in particular for the linear option pricing problem. In this paper, starting with power utilities, we propose to use a martingale distortion representation of…

This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…

Wind integration in power grids is very difficult, essentially because of the uncertain nature of wind speed. Forecasting errors on output from wind turbines may have costly consequences. For instance, power might be bought at highest price…

We develop a mathematical model for intraday dispatch of co-located wind-battery energy assets. Focusing on the primary objective of firming grid-side actual production vis-a-vis the preset day-ahead hourly generation targets, we conduct a…

The rapid expansion of wind and solar energy leads to an increasing volatility in the electricity generation. Previous studies have shown that storage devices provide an opportunity to balance fluctuations in the power grid. An economical…

In this paper, we consider a financial market with assets exposed to some risks inducing jumps in the asset prices, and which can still be traded after default times. We use a default-intensity modeling approach, and address in this…