Related papers: A Class of Distributions for Linear Demand Markets
With the rapidly increased penetration of renewable generations, incentive-based demand side management (DSM) shows great value on alleviating the uncertainty and providing flexibility for microgrid. However, how to price those demand…
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 present a simple dynamic equilibrium model for an online exchange where both buyers and sellers arrive according to a exogenously defined stochastic process. The structure of this exchange is motivated by the limit order book mechanism…
This paper exploits the Duration-of-Use of the demand patterns as a key concept for dealing with demand side flexibility. Starting from the consideration that fine-grained energy metering is not used at the point of supply of the…
This paper is concerned with the determination of pricing strategies for a firm that in each period of a finite horizon receives replenishment quantities of a single product which it sells in two markets, e.g., a long-distance market and an…
We propose a nonparametric estimator of the empirical distribution function (EDF) of the latent spot variance of the log-price of a financial asset. We show that over a fixed time span our realized EDF (or REDF) -- inferred from noisy…
Globally operating suppliers face the rising challenge of wholesale pricing under scarce data about retail demand, in contrast to better informed, locally operating retailers. At the same time, as local businesses proliferate, markets…
Flexible demand response (DR) resources can be leveraged to accommodate the stochasticity of some distributed energy resources. This paper develops an online learning approach that continuously estimates price sensitivities of residential…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
Classical time series models have serious difficulties in modeling and forecasting the enormous fluctuations of electricity spot prices. Markov regime switch models belong to the most often used models in the electricity literature. These…
The mollified uniform distribution is rediscovered, which constitutes a ``soft'' version of the continuous uniform distribution. Important stochastic properties are presented and used to demonstrate potential fields of applications. For…
In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…
The paper proposes a framework for modeling and analysis of the dynamics of supply, demand, and clearing prices in power system with real-time retail pricing and information asymmetry. Real-time retail pricing is characterized by passing on…
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…
Traditionally, the electric distribution system operates with uniform energy prices across all system nodes. However, as the adoption of distributed energy resources (DERs) propels a shift from passive to active distribution network (ADN)…
Existence of stochastic financial equilibria giving rise to semimartingale asset prices is established under a general class of assumptions. These equilibria are expressed in real terms and span complete markets or markets with withdrawal…
Here, we introduce a new class of Lindley generated distributions which results in more flexible model with increasing failure rate (IFR), decreasing failure rate(DFR) and up-side down hazard functions for different choices of parametric…
Demand response (DR) refers to change in electricity consumption pattern of customers during on-peak hours in lieu of financial gains to reduce stress on distribution systems. Existing dynamic price models have not provided adequate success…
Statistical properties of order-driven double-auction markets with Bid-Ask spread are investigated through the dynamical quantities such as response function. We first attempt to utilize the so-called {\it Madhavan-Richardson-Roomans model}…
The intermittent nature of renewable energy resources creates extra challenges in the operation and control of the electricity grid. Demand flexibility markets can help in dealing with these challenges by introducing incentives for…