Related papers: Arbitraging Variable Efficiency Energy Storage usi…
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 propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
This study investigates a stochastic production planning problem with regime-switching parameters, inspired by economic cycles impacting production and inventory costs. The model considers types of goods and employs a Markov chain to…
Opportunities for stochastic arbitrage in an options market arise when it is possible to construct a portfolio of options which provides a positive option premium and which, when combined with a direct investment in the underlying asset,…
Efficient use of multiple batteries is a practical problem with wide and growing application. The problem can be cast as a planning problem under uncertainty. We describe the approach we have adopted to modelling and solving this problem,…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
Reduced installation and operating costs give energy storage systems an opportunity to participate actively and profitably in electricity markets. In addition to providing ancillary services, energy storage systems can also arbitrage…
In airport operations, optimally using dedicated personnel for baggage handling tasks plays a crucial role in the design of resource-efficient processes. Teams of workers with different qualifications must be formed, and loading or…
The paper suggests a new stochastic model for energy producing, dispatching, and storing in the multi-battery setting that takes into account the topology of the system of the links between the batteries, the transmission and storage…
We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
We consider option pricing using a discrete-time Markov switching stochastic volatility with co-jump model, which can model volatility clustering and varying mean-reversion speeds of volatility. For pricing European options, we develop a…
In this paper, we consider two sequential decision making problems with a convexity structure, namely an energy storage optimization task and a multi-product assembly example. We formulate these problems in the stochastic programming…
We consider the co-optimization of flexible household consumption, electric vehicle charging, and behind-the-meter distributed energy resources under the net energy metering tariff. Using a stochastic dynamic programming formulation, we…
Smart solar inverters can be used to store, monitor and manage a home's solar energy. We describe a smart solar inverter system with battery which can either operate in an automatic mode or receive commands over a network to charge and…
We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…
Stochastic matching is the stochastic version of the well-known matching problem, which consists in maximizing the rewards of a matching under a set of probability distributions associated with the nodes and edges. In most stochastic…
Statistical arbitrage exploits temporal price differences between similar assets. We develop a unifying conceptual framework for statistical arbitrage and a novel data driven solution. First, we construct arbitrage portfolios of similar…
We study the multi-stage stochastic unit commitment problem in which commitment and generation decisions can be made and adjusted in each time period. We formulate this problem as a Markov decision process, which is "weakly-coupled" in the…
Power systems with high penetration of variable renewable generation are vulnerable to periods with low generation. An alternative to retain high dispatchable generation capacity is electric energy storage that enables utilization of…