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Distributed energy resources (DERs) such as grid-responsive loads and batteries can be harnessed to provide ramping and regulation services across the grid. This paper concerns the problem of optimal allocation of different classes of DERs,…
We solve an expected utility-maximization problem with a Value-at-risk constraint on the terminal portfolio value in an incomplete financial market due to stochastic volatility. To derive the optimal investment strategy, we use the dynamic…
Electrical Distribution Systems are extensively penetrated with Distributed Energy Resources (DERs) to cater the energy demands with the general perception that it enhances the system's resilience. However, integration of DERs may adversely…
We study dynamic pricing of a product with an unknown demand distribution over a finite horizon. Departing from the standard no-regret learning environment in which prices can be adjusted at any time, we restrict price changes to…
Despite the success of demand response programs in retail electricity markets in reducing average consumption, the random responsiveness of consumers to price event makes their efficiency questionable to achieve the flexibility needed for…
This paper studies the problem of optimal investment with CRRA (constant, relative risk aversion) preferences, subject to dynamic risk constraints on trading strategies. The market model considered is continuous in time and incomplete. the…
We build upon previous work out of UC Berkeley's energy, controls, and applications laboratory (eCal) that developed a model for price prediction of the energy day-ahead market (DAM) and a stochastic load scheduling for distributed energy…
Distribution system end users are transforming from passive to active participants, marked by the push towards widespread adoption of edge-level Distributed Energy Resources (DERs). This paper addresses the challenges in distribution system…
Electricity usage is a major portion of utility bills and the best place to start lowering them. An effective home energy management approach is introduced to decrease customers' electricity bills by determining the optimal appliance…
This paper proposes a distributed framework for demand response and user adaptation in smart grid networks. In particular, we borrow the concept of congestion pricing in Internet traffic control and show that pricing information is very…
An asset pricing model using long-run capital share growth risk has recently been found to successfully explain U.S. stock returns. Our paper adopts a recursive preference utility framework to derive an heterogeneous asset pricing model…
The utility company has many motivations for modifying energy consumption patterns of consumers such as revenue decoupling and demand response programs. We model the utility company--consumer interaction as a principal--agent problem. We…
Designing fair compensation mechanisms for demand response (DR) is challenging. This paper models the problem in a game theoretic setting and designs a payment distribution mechanism based on the Shapley Value. As exact computation of the…
Information asymmetry between the Distribution System Operator (DSO) and Distributed Energy Resource Aggregators (DERAs) obstructs designing effective incentives for voltage regulation. To capture this effect, we employ a Stackelberg…
Probabilistic model checking traditionally verifies properties on the expected value of a measure of interest. This restriction may fail to capture the quality of service of a significant proportion of a system's runs, especially when the…
In this work we analytically solve an optimal retirement problem, in which the agent optimally allocates the risky investment, consumption and leisure rate to maximise a gain function characterised by a power utility function of consumption…
We consider the problem of forecasting the aggregate demand of a pool of price-responsive consumers of electricity. The price-response of the aggregation is modeled by an optimization problem that is characterized by a set of marginal…
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…
In electrical distribution grids, the constantly increasing number of power generation devices based on renewables demands a transition from a centralized to a distributed generation paradigm. In fact, power injection from Distributed…
A major challenge to implementing residential demand response is that of aligning the objectives of many households, each of which aims to minimize its payments and maximize its comfort level, while balancing this with the objectives of an…