Related papers: A Stochastic Electricity Market Clearing Formulati…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
We study social choice rules under the utilitarian distortion framework, with an additional metric assumption on the agents' costs over the alternatives. In this approach, these costs are given by an underlying metric on the set of all…
Electricity price forecasting supports decision-making in energy markets and asset operation. Probabilistic forecasts are increasingly adopted to explicitly quantify uncertainty, typically issued as quantile predictions or ensembles of the…
We propose a new forward electricity market framework that admits heterogeneous market participants with second-order cone strategy sets, who accurately express the nonlinearities in their costs and constraints through conic bids, and a…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
The European Power Exchange has introduced day-ahead auctions and continuous trading spot markets to facilitate the insertion of renewable electricity. These markets are designed to balance excess or lack of power in short time periods,…
Regulators and utilities have been exploring hourly retail electricity pricing, with several existing programs providing day-ahead hourly pricing schedules. At the same time, customers are deploying distributed energy resources and smart…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
Market equilibria of matching markets offer an intuitive and fair solution for matching problems without money with agents who have preferences over the items. Such a matching market can be viewed as a variation of Fisher market, albeit…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
The study of Day-Ahead prices in the electricity market is one of the most popular problems in time series forecasting. Previous research has focused on employing increasingly complex learning algorithms to capture the sophisticated…
Electricity markets typically clear in two stages: a day-ahead market and a real-time market. In this paper, we propose market mechanisms for a two-stage multi-interval electricity market with energy storage, generators, and demand…
Flexibility markets can be introduced as a tool for the distribution system operator (DSO) to avoid high costs and public opposition against new network investments. Continuous flexibility markets have the advantage of allowing more…
This paper deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed…
In many markets, like electricity or cloud computing markets, providers incur large costs for keeping sufficient capacity in reserve to accommodate demand fluctuations of a mostly fixed user base. These costs are significantly affected by…
We propose a novel machine learning approach for probabilistic forecasting of hourly day-ahead electricity prices. In contrast with the recent advances in data-rich probabilistic forecasting, which approximates distributions with few…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
Duality of linear programming is a standard approach to the classical weighted maximum matching problem. From an economic perspective, the dual variables can be regarded as prices of products and payoffs of buyers in a two-sided matching…
Flaws of a continuous limit order book mechanism raise the question of whether a continuous trading session and a periodic auction session would bring better efficiency. This paper wants to go further in designing a periodic auction when…