Related papers: Arbitraging Variable Efficiency Energy Storage usi…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
In this paper we formulate an optimization approach to schedule electrical loads given a short term prediction of time-varying power production and the ability to store only a limited amount of electrical energy. The proposed approach is…
We develop a stochastic approximation-type algorithm to solve finite state/action, infinite-horizon, risk-aware Markov decision processes. Our algorithm has two loops. The inner loop computes the risk by solving a stochastic saddle-point…
We consider joint energy storage management and load scheduling at a residential site with integrated renewable generation. Assuming unknown arbitrary dynamics of renewable source, loads, and electricity price, we aim at optimizing the load…
The provision of renewable electricity is the foundation for a sustainable future. To achieve the goal of sustainable renewable energy, Battery Energy Storage Systems (BESS) could play a key role to counteract the intermittency of solar and…
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…
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…
Peer-to-peer(P2P) energy trading may increase efficiency and reduce costs, but introduces significant challenges for network operators such as maintaining grid reliability, accounting for network losses, and redistributing costs equitably.…
We present a stochastic method for efficiently computing the solution of time-fractional partial differential equations (fPDEs) that model anomalous diffusion problems of the subdiffusive type. After discretizing the fPDE in space, the…
Non-equilibrium phenomena occur not only in physical world, but also in finance. In this work, stochastic relaxational dynamics (together with path integrals) is applied to option pricing theory. A recently proposed model (by Ilinski et…
The co-optimization of behind-the-meter distributed energy resources is considered for prosumers under the net energy metering tariff. The distributed energy resources considered include renewable generations, flexible demands, and battery…
The power networks are evolving with increased active components such as energy storage and flexibility derived from loads such as electric vehicles, heat pumps, industrial processes, etc. Better models are needed to accurately represent…
We consider the problem of energy management in microgrid networks. A microgrid is capable of generating a limited amount of energy from a renewable resource and is responsible for handling the demands of its dedicated customers. Owing to…
This paper studies the efficiency of battery storage operations in electricity markets by comparing the social welfare gain achieved by a central planner to that of a decentralized profit-maximizing operator. The problem is formulated in a…
This paper extends the single-item single-stocking location non-stationary stochastic inventory problem to relax the assumption of independent demand. We present a mathematical programming-based solution method that relaxes the assumption…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time periods/stages (e.g. hundreds), a high-dimensional resource…
In this paper, we propose a new policy iteration algorithm to compute the value function and the optimal controls of continuous time stochastic control problems. The algorithm relies on successive approximations using linear-quadratic…
We determine the variance-optimal hedge when the logarithm of the underlying price follows a process with stationary independent increments in discrete or continuous time. Although the general solution to this problem is known as backward…
This paper presents a millisecond-level look-ahead control algorithm for energy storage with constant space complexity and worst-case linear run-time complexity. The algorithm connects the optimal control with the Lagrangian multiplier…