Related papers: Pricing Real-time Stochastic Storage Operations
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
Electricity markets typically clear in two stages: a day-ahead market and a real-time market. In this paper, we propose market mechanisms for a two-stage multi-interval electricity market with energy storage, generators, and demand…
In this paper, we address an optimal management problem of community energy storage in the real-time electricity market under a stochastic renewable environment. In a real-time electricity market, complete market information may not be…
This paper proposes an agent-based model that combines both spot and balancing electricity markets. From this model, we develop a multi-agent simulation to study the integration of the consumers' flexibility into the system. Our study…
Resource allocation for cloud services is a complex task due to the diversity of the services and the dynamic workloads. One way to address this is by overprovisioning which results in high cost due to the unutilized resources. A much more…
We consider a dynamic pricing problem in network revenue management where customer behavior is predicted by a choice model, i.e., the multinomial logit (MNL) model. The problem, even in the static setting (i.e., customer demand remains…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
Fair distribution of benefits in electric power systems is a pertinent energy policymaking problem; however, these efforts cannot be easily quantified in power system engineering studies. Therefore, we propose locational marginal burden…
This paper presents an integrated model for bidding energy storage in day-ahead and real-time markets to maximize profits. We show that in integrated two-stage bidding, the real-time bids are independent of day-ahead settlements, while the…
We consider fixed load power market with non-convexities originating from start-up and no-load costs of generators. The convex hull (minimal uplift) pricing method results in power prices minimizing the total uplift payments to generators,…
Demand dispatch is the science of extracting virtual energy storage through the automatic control of deferrable loads to provide balancing or regulation services to the grid, while maintaining consumer-end quality of service (QoS). The…
We consider a market where a finite number of players trade an asset whose supply is a stochastic process. The price formation problem consists of finding a price process that ensures that when agents act optimally to minimize their trading…
Tandem queueing systems are widely-used stochastic models that arise from many real-life service operations systems. Motivated by the desire to understand the trade-off between the performance and complexity of policies for…
The rapid expansion of wind and solar energy leads to an increasing volatility in the electricity generation. Previous studies have shown that storage devices provide an opportunity to balance fluctuations in the power grid. An economical…
Since the 1990s, widespread introduction of central (wholesale) electricity markets has been seen across multiple continents, driven by the search for efficient operation of the power grid through competition. The increase of renewables has…
Price differentiation is a common strategy in many markets. In this paper, we study a static multiproduct price optimization problem with demand given by a discrete mixed multinomial logit model. By considering a mixed logit model that…
Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding…
This paper presents an analytical method for calculating the operational value of an energy storage device under multi-stage price uncertainties. Our solution calculates the storage value function from price distribution functions directly…
This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…
Current reserve procurement approaches ignore the stochastic nature of reserve asset availability itself and thus limit the type and volume of reserve offers. This paper develops a reliability-aware probabilistic approach that allows…