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The reliable estimation of forecast uncertainties is crucial for risk-sensitive optimal decision making. In this paper, we propose implicit generative ensemble post-processing, a novel framework for multivariate probabilistic electricity…
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of…
Renewable energy productions and electrification of mobility are promising solutions to reduce greenhouse gas emissions. Their effective integration in a power grid encounters several challenges. The uncertain nature of renewable energy…
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce…
In this paper, we investigate the charging scheduling optimization problem for large electric truck fleets operating with dedicated charging infrastructure. A central coordinator jointly determines the charging sequence and power allocation…
In recent years, several applications have been proposed in the context of distribution networks. Many of these can be formulated as an optimal power flow problem, a mathematical optimization program which includes a model of the…
The concept of Energy Hub (EH) has been emerged to accommodate renewable energy sources in a multi-energy system to deploy the synergies between electricity and other energy sources. However, the market mechanisms for the integration of the…
Decision problems encountered in practice often possess a highly dynamic and uncertain nature. In particular fast changing forecasts for parameters (e.g., photovoltaic generation forecasts in the context of energy management) pose large…
This paper proposes a detailed optimal scheduling model of an exemplar multi-energy system comprising combined cycle power plants (CCPPs), battery energy storage systems, renewable energy sources, boilers, thermal energy storage…
Flexible ramping products (FRPs) emerge as a promising instrument for addressing steep and uncertain ramping needs through market mechanisms. Initial implementations of FRPs in North American electricity markets, however, revealed several…
We introduce a new online approach for constructing proposal distributions in particle filters using a forward scheme. Our method progressively incorporates future observations to refine proposals. This is in contrast to backward-scheme…
Consider the problem of pricing options on forwards in energy markets, when spot prices follow a geometric multi-factor model in which several rates of mean reversion appear. In this paper we investigate the role played by slow mean…
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the…
This paper introduces a hybrid framework for portfolio optimization that fuses Long Short-Term Memory (LSTM) forecasting with a Proximal Policy Optimization (PPO) reinforcement learning strategy. The proposed system leverages the predictive…
We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores. We work in a probabilistic framework that uses a collection of simulation scenarios and imposes probability constraints on…
Modern power grids need to cope with increasingly decentralized, volatile energy sources as well as new business models such as virtual power plants constituted from battery swarms. This warrants both, day-ahead planning of larger schedules…
A two-stage multi-period mixed-integer linear stochastic programming model is proposed to assist qualified operators in long-term generation and transmission expansion planning of electricity and gas systems to meet policy objectives. The…
The increasing transmission capacity needs in a future energy system raise the question how associated costs should be allocated to the users of a strengthened power grid. In contrast to straightforward oversimplified methods, a flow…
The increasing penetration of renewable energy poses significant challenges to power grid reliability. There have been increasing interests in utilizing financial tools, such as insurance, to help end-users hedge the potential risk of lost…
In this paper a unifying energy-based approach is provided to the modeling and stability analysis of power systems coupled with market dynamics. We consider a standard model of the power network with a third-order model for the synchronous…