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In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…
Peer-to-peer energy trading offers a promising solution for enhancing renewable energy utilization and economic benefits within interconnected microgrids. However, existing real-time P2P markets face two key challenges: high computational…
Energy storage can facilitate the integration of renewable energy resources by providing arbitrage and ancillary services. Jointly optimizing energy and ancillary services in a centralized electricity market reduces the system's operating…
In this paper, we propose a bilateral peer-to-peer (P2P) energy trading scheme under single-contract and multi-contract market setups, both as an assignment game, and a special class of coalitional games. {The proposed market formulation…
In electrical distribution grids, the constantly increasing number of power generation devices based on renewables demands a transition from a centralized to a distributed generation paradigm. In fact, power injection from Distributed…
The increasing interconnection of power systems through AC and DC links enables energy storage units to access multiple electricity markets yet most existing arbitrage models remain limited to singlemarket participation This gap restricts…
High performance grid computing is a key enabler of large scale collaborative computational science. With the promise of exascale computing, high performance grid systems are expected to incur electricity bills that grow super-linearly over…
The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday,…
This paper proposes a Separable Projective Approximation Routine-Optimal Power Flow (SPAR-OPF) framework for solving two-stage stochastic optimization problems in power systems. The framework utilizes a separable piecewise linear…
Bilevel programs with spatial price equilibrium constraints are strategic models that consider a price competition at the lower level. These models find application in facility location-price models, optimal bidding in power networks, and…
This paper proposes a two-step framework for techno-economic analysis of a demand-side flexibility service in distribution networks. Step one applies optimization-based modelling to propose a generic problem formulation which determines the…
Water utilities aim to reduce the high electrical costs of Water Distribution Networks (WDNs), primarily driven by pumping. However, pump scheduling is challenging due to model uncertainties and water demand forecast errors. This paper…
The alternating current optimal power flow (AC-OPF) problem is critical to power system operations and planning, but it is generally hard to solve due to its nonconvex and large-scale nature. This paper proposes a scalable decomposition…
We consider a multiperiod stochastic capacitated facility location problem under uncertain demand and budget in each period. Using a scenario tree representation of the uncertainties, we formulate a multistage stochastic integer program to…
We investigate the problem of allocating energy from renewable sources to flexible consumers in electricity markets. We assume there is a renewable energy supplier that provides energy according to a time-varying (and possibly…
We study a class of two-stage stochastic programs, namely, those with fixed recourse matrix and fixed costs, and linear second stage. We show that, under mild assumptions, the problem can be solved with just one scenario, which we call an…
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic optimal control problem with state constraints, these latter…
We explore the use of deep reinforcement learning to provide strategies for long term scheduling of hydropower production. We consider a use-case where the aim is to optimise the yearly revenue given week-by-week inflows to the reservoir…
This paper develops a power management scheme that jointly optimizes the real power consumption of programmable loads and reactive power outputs of photovoltaic (PV) inverters in distribution networks. The premise is to determine the…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…