Related papers: Optimal pricing for electricity retailers based on…
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which…
In this paper we consider the problem of pricing multiple differentiated products. This is challenging as a price change in one product, not only changes the demand of that particular product, but also the demand for the other products. To…
An informed seller designs a dynamic mechanism to sell an experience good. The seller has partial information about the product match, which affects the buyer's private consumption experience. We characterize equilibrium mechanisms of this…
In this paper analytic formulas for electricity derivatives are calculated. To this end, we assume that electricity spot prices follow a 3-regime Markov regime-switching model with independent spikes and drops and periodic transition…
In this paper an adaptive load management system that uses predictive control optimization is introduced. This price elastic system is able to optimize the consumption of power and is fully autonomous and responsive to market clearing…
Data centers are becoming a major consumer of electricity on the grid, with cooling accounting for about 40\% of that energy. As electricity prices vary throughout the day and year, there is a need for cooling strategies that adapt to these…
We formulate the optimal energy arbitrage problem for a piecewise linear cost function for energy storage devices using linear programming (LP). The LP formulation is based on the equivalent minimization of the epigraph. This formulation…
The time at which renewable (e.g., solar or wind) energy resources produce electricity cannot generally be controlled. In many settings, however, consumers have some flexibility in their energy consumption needs, and there is growing…
Volatile electrical energy prices are a challenge and an opportunity for small and medium-size companies in energy-intensive industries. By using electrical energy storage and/or an adaptation of production processes, companies can…
This paper studies the optimal investment problem with random endowment in an inventory-based price impact model with competitive market makers. Our goal is to analyze how price impact affects optimal policies, as well as both pricing rules…
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…
We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first…
This paper studies the problem of procuring diverse resources in a forward market to cover a set $\bf{E}$ of uncertain demand signals $\bf{e}$. We consider two scenarios: (a) $\bf{e}$ is revealed all at once by an oracle (b) $\bf{e}$…
Optimizing the total cost of power systems is a common tool for network operation and planning. Besides valuable information about how to run and possibly expand a power system, the optimization provides an optimal Locational Marginal Price…
The rapid deployment of distributed energy resources (DERs) is one of the essential efforts to mitigate global climate change. However, a vast number of small-scale DERs are difficult to manage individually, motivating the introduction of…
In this study, an optimization problem is proposed in order to obtain the maximum economic benefit from wind farms with variable and intermittent energy generation in the day ahead and balancing electricity markets. This method, which is…
Electricity price prediction plays a vital role in energy storage system (ESS) management. Current prediction models focus on reducing prediction errors but overlook their impact on downstream decision-making. So this paper proposes a…
Efficient markets are characterised by profit-driven participants continuously refining their positions towards the latest insights. Margins for profit generation are generally small, shaping a difficult landscape for automated trading…
This paper proposes a novel method for demand forecasting in a pricing context. Here, modeling the causal relationship between price as an input variable to demand is crucial because retailers aim to set prices in a (profit) optimal manner…
We adopt the perspective of an aggregator, which seeks to coordinate its purchase of demand reductions from a fixed group of residential electricity customers, with its sale of the aggregate demand reduction in a two-settlement wholesale…