Related papers: Pricing Real-time Stochastic Storage Operations
We propose a state-space model (SSM) for commodity prices that combines the competitive storage model with a stochastic trend. This approach fits into the economic rationality of storage decisions, and adds to previous deterministic trend…
In recent years, there has been a significant focus on advancing the next generation of power systems. Despite these efforts, persistent challenges revolve around addressing the operational impact of uncertainty on predicted data,…
Distribution locational marginal prices (DLMPs) facilitate the efficient operation of low-voltage electric power distribution systems. We propose an approach to internalize the stochasticity of renewable distributed energy resources (DERs)…
The problem of multi-area interchange scheduling in the presence of stochastic generation and load is considered. A new interchange scheduling technique based on a two-stage stochastic minimization of overall expected operating cost is…
Ridesharing markets are complex: drivers are strategic, rider demand and driver availability are stochastic, and complex city-scale phenomena like weather induce large scale correlation across space and time. At the same time, past work has…
We provide an explicit characterization of the optimal market making strategy in a discrete-time Limit Order Book (LOB). In our model, the number of filled orders during each period depends linearly on the distance between the fundamental…
Large-scale integration of renewable energy sources (RES) brings huge challenges to the power system. A cost-effective reserve deployment and uncertainty pricing mechanism are critical to deal with the uncertainty and variability of RES. To…
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study events of the form $\mathbb{P} \Big ( \mathbf{LMP} \notin…
In Part II of this two-part paper, we analyze the marginal prices derived in Part I of this two-part paper within a robust optimization framework. The load and generation are priced at Locational Marginal Price (LMP) while the uncertainty…
The problem of characterizing impacts of data quality on real-time locational marginal price (LMP) is considered. Because the real-time LMP is computed from the estimated network topology and system state, bad data that cause errors in…
Pumped storage hydro units (PSHU) are great sources of flexibility in power systems. This is especially valuable in modern systems with increasing shares of intermittent renewable resources. However, the flexibility from PSHUs, particularly…
Wind energy has emerged as one of the most vital and economically viable forms of renewable energy. The integration of wind energy sources into power grids across the globe has been increasing substantially, largely due to the higher levels…
The increasing penetration of renewable energy in recent years has led to more uncertainties in power systems. These uncertainties have to be accommodated by flexible re- sources (i.e. upward and downward generation reserves). In this…
Introduction of market mechanisms in distribution systems is currently subject to extensive studies. One of the challenges facing Distribution Market Operators (DMOs) is to implement a fair and economically efficient pricing mechanism that…
Traditionally, the electric distribution system operates with uniform energy prices across all system nodes. However, as the adoption of distributed energy resources (DERs) propels a shift from passive to active distribution network (ADN)…
The increasing reliance on dynamic pricing models, such as spot instances, in public cloud environments presents new challenges for workload scheduling and reliability. While these models offer cost advantages, they introduce volatility and…
This paper examines the marginal value of mobile energy storage, i.e., energy storage units that can be efficiently relocated to other locations in the power network. In particular, we formulate and analyze the joint problem for operating…
An effective distribution electricity market (DEM) is required to manage the rapidly growing small-scale distributed energy resources (DERs) in distribution systems (DSs). This paper proposes a day-ahead DEM clearing and pricing mechanism…
With the rapidly growing demand for the cloud services, a need for efficient methods to trade computing resources increases. Commonly used fixed-price model is not always the best approach for trading cloud resources, because of its…
There is growing interest in the use of grid-level storage to smooth variations in supply that are likely to arise with increased use of wind and solar energy. Energy arbitrage, the process of buying, storing, and selling electricity to…