Related papers: Risk- and Variance-Aware Electricity Pricing
The accelerated penetration rate of renewable energy sources (RES) brings environmental benefits at the expense of increasing operation cost and undermining the satisfaction of the N-1 security criterion. To address the latter issue, this…
High penetration of renewable energy sources and the increasing share of stochastic loads require the explicit representation of uncertainty in tools such as the optimal power flow (OPF). Current approaches follow either a linearized…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
Despite significant economic and ecological effects, a higher level of renewable energy generation leads to increased uncertainty and variability in power injections, thus compromising grid reliability. In order to improve power grid…
High Voltage Direct Current (HVDC) systems interconnect AC grids to increase reliability, connect offshore wind generation, and enable coupling of electricity markets. Considering the growing uncertainty in power infeed and the complexity…
Renewable energy sources (RES) are increasingly integrated into power systems to support the United Nations' Sustainable Development Goals of decarbonization and energy security. However, their low inertia and high uncertainty pose…
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…
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 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…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
It is of growing concern to ensure the resilience in electricity infrastructure systems to extreme weather events with the help of appropriate hardening measures and new operational procedures. An effective mitigation strategy requires a…
Existing electricity market designs assume risk neutrality and lack risk-hedging instruments, which leads to suboptimal market outcomes and reduces the overall market efficiency. This paper enables risk-trading in the chance-constrained…
There is an emerging need for efficient solutions to stochastic AC Optimal Power Flow ({AC-}OPF) to ensure optimal and reliable grid operations in the presence of increasing demand and generation uncertainty. This paper presents a highly…
Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…
Over the last few decades, electricity markets around the world have adopted multi-settlement structures, allowing for balancing of supply and demand as more accurate forecast information becomes available. Given increasing uncertainty due…
We consider some crucial problems related to the secure and reliable operation of power systems with high renewable penetrations: how much reserve should we procure, how should reserve resources distribute among different locations, and how…
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,…
There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
The effective management of stochastic characteristics of renewable power generations is vital for ensuring the stable and secure operation of power systems. This paper addresses the task of optimizing the chance-constrained…
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…