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We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…
Users can now give back energies to the grid using distributed resources. Proper incentive mechanisms are required for such users, also known as prosumers, in order to maximize the sell-back amount while maintaining the retailer's profit.…
The customer baseline is required to assign rebates to participants in baseline-based demand response (DR) programs. The average baseline method has been widely accepted in practice due to its simplicity and reliability. However, the…
Demand response management has become one of the key enabling technologies for smart grids. Motivated by the increasing demand response incentives offered by service operators, more customers are subscribing to various demand response…
Supply Shortage Outages are a major concern during peak demand for developing countries. In the Philippines, commercial loads have unused backup generation of up to 3000 MW, at the same time there are shortages of as much as 700 MW during…
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of the optimal consumption is obtained for…
This paper addresses the energy management of a grid-connected renewable generation plant coupled with a battery energy storage device in the capacity firming market, designed to promote renewable power generation facilities in small…
In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in a day-ahead (DA) market and a real-time (RT) market. The objective is to determine the optimal bidding…
Demand-side load reduction is a key benefit of Smart Grids. However, existing demand response optimization (DR) programs fail to effectively leverage the near-realtime information available from smart meters and Building Area Networks to…
The increasing demand for electricity and the aging infrastructure of power distribution systems have raised significant concerns about future system reliability. Failures in distribution systems, closely linked to system usage and…
Extreme events, exacerbated by climate change, pose significant risks to the energy system and its consumers. However there are natural limits to the degree of protection that can be delivered from a centralised market architecture.…
Power companies such as Southern California Edison (SCE) uses Demand Response (DR) contracts to incentivize consumers to reduce their power consumption during periods when demand forecast exceeds supply. Current mechanisms in use offer…
This paper presents a data-driven, distributionally robust chance-constrained optimization method for estimating the real and reactive power controllability of aggregated distributed energy resources (DER). At the DER-level, a…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
We consider insurance derivatives depending on an external physical risk process, for example a temperature in a low dimensional climate model. We assume that this process is correlated with a tradable financial asset. We derive optimal…
Flexibility in power demand, diverse usage patterns and storage capability of plug-in electric vehicles (PEVs) grow the elasticity of residential electricity demand remarkably. This elasticity can be utilized to form the daily aggregated…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
We study an asset allocation stochastic problem with restriction for a defined-contribution pension plan during the accumulation phase. We consider a financial market with stochastic interest rate, composed of a risk-free asset, a real zero…
A community integrated energy system (CIES) is an important carrier of the energy internet and smart city in geographical and functional terms. Its emergence provides a new solution to the problems of energy utilization and environmental…
Currently, system operators implement demand response by dispatching controllable loads for economic reasons in day-ahead scheduling. Particularly, demand shifting from peak hours when the cost of electricity is higher to non-peak hours to…