Related papers: A Stochastic Electricity Market Clearing Formulati…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
Pricing storage operation in the real-time market under demand and generation stochasticities is considered. A scenario-based stochastic rolling-window dispatch model is formulated for the real-time market, consisting of conventional…
We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…
We present modeling and analysis of day-ahead spatio-temporal energy markets in which each competitive aggregator aims at making the highest profit by managing a complex mixture of different energy resources, such as conventional…
We consider "time-of-use" pricing as a technique for matching supply and demand of temporal resources with the goal of maximizing social welfare. Relevant examples include energy, computing resources on a cloud computing platform, and…
The marginal price of electricity traditionally depends on the dual variables associated with relevant optimization goals. Particularly, in the optimal power flow realm, prices represent the cost of supplying an additional unit of power at…
We study day-ahead bidding strategies for wind farm operators under a one-price balancing scheme, prevalent in European electricity markets. In this setting, the profit-maximising strategy becomes an all-or-nothing strategy, aiming to take…
We introduce the concept of temporal hierarchy forecasting (THieF) in predicting day-ahead electricity prices and show that reconciling forecasts for hourly products and 2- to 24-hour blocks can significantly (up to 13%) improve accuracy at…
A deterministic trading strategy can be regarded as a signal processing element that uses external information and past prices as inputs and incorporates them into future prices. This paper uses a market maker based method of price…
The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…
In the context of nonlinear prices, the empirical evidence suggests that the consumers have cognitive biases represented in a limited understanding of nonlinear price structures, and they respond to some alternative perceptions of the…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
We propose stochastic control policies to cope with uncertain and variable gas extractions in natural gas networks. Given historical gas extraction data, these policies are optimized to produce the real-time control inputs for nodal gas…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
We introduce the notion of statistical distortion as an essential metric for measuring the effectiveness of data cleaning strategies. We use this metric to propose a widely applicable yet scalable experimental framework for evaluating data…
This paper presents a stochastic model for discrete-time trading in financial markets where trading costs are given by convex cost functions and portfolios are constrained by convex sets. The model does not assume the existence of a cash…
We consider the problem of fair pricing and hedging under small perturbations of the num\'eraire. We show that for replicable claims, the change of num\'eraire affects neither the fair price nor the hedging strategy. For non-replicable…
The expected increase in the penetration of renewables in the approaching decade urges the electricity market to introduce new products - in particular, flexible ramping products - to accommodate the renewables' variability and…
We consider the dividend maximization problem including a ruin penalty in a diffusion environment. The additional penalty term is motivated by a constraint on dividend strategies. Intentionally, we use different discount rates for the…
We consider sequential search by an agent who cannot observe the quality of goods but can acquire information by buying signals from a profit-maximizing principal with limited commitment power. The principal can charge higher prices for…