Related papers: A Chance-Constrained Stochastic Electricity Market
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
The global increase in energy consumption and demand has forced many countries to transition into including more diverse energy sources in their electricity market. To efficiently utilize the available fuel resources, all energy sources…
The interdependence of electricity and natural gas markets is becoming a major topic in energy research. Integrated energy models are used to assist decision-making for businesses and policymakers addressing challenges of energy transition…
The availability of historical data related to electricity day-ahead prices and to the underlying price formation process is limited. In addition, the electricity market in Europe is facing a rapid transformation, which limits the…
The interdependency of power systems and natural gas systems is being reinforced by the emerging power-to-gas facilities (PtGs), and the existing gas-fired generators. To jointly improve the efficiency and security under diverse…
Although the specific structures of electricity markets are diverse around the world, they were all conceived on the premise of predictable, controllable generation with nonnegligible marginal costs. Recent changes, specifically, the…
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 propose a real-time nodal pricing mechanism for cost minimization and voltage control in a distribution network with autonomous distributed energy resources and analyze the resulting market using stochastic game theory. Unlike existing…
Optimal scheduling of batteries has significant potential to reduce electricity costs and to enhance grid resilience. However, effective battery scheduling must account for both physical constraints as well as uncertainties in consumption…
Electricity markets differ in their ability to meet power imbalances in short notice in a controlled fashion. Relatively flexible markets have the ability to ramp up (or down) power flows across interties without compromising their ability…
The determination of acceptability prices of contingent claims requires the choice of a stochastic model for the underlying asset price dynamics. Given this model, optimal bid and ask prices can be found by stochastic optimization. However,…
Increased penetration of wind energy will make electricity market prices more volatile. As a result, market participants will bear increased financial risks, which impact investment decisions and in turn, makes it harder to achieve…
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…
In energy systems with high shares of weather-driven renewable power sources, gas-fired power plants can serve as a back-up technology to ensure security of supply and provide short-term flexibility. Therefore, a tighter coordination…
The European Union Emission Trading Scheme (EU ETS) is a cornerstone of the EU's strategy to fight climate change and an important device for plummeting greenhouse gas (GHG) emissions in an economically efficient manner. The power industry…
The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
Two-stage electricity market clearing is designed to maintain market efficiency under ideal conditions, e.g., perfect forecast and nonstrategic generation. This work demonstrates that the individual strategic behavior of inelastic load…
Aggregators of consumer energy resources (CERs) like rooftop solar and battery energy storage (BES) face challenges due to their inherent uncertainties. A sensible approach is to use stochastic optimization to handle such uncertainties,…
We test whether the futures prices of some commodity and energy markets are determined by stochastic rules or exhibit nonlinear deterministic endogenous fluctuations. As for the methodologies, we use the maximal Lyapunov exponents (MLE) and…