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Competition has been introduced in the electricity markets with the goal of reducing prices and improving efficiency. The basic idea which stays behind this choice is that, in competitive markets, a greater quantity of the good is exchanged…
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the…
Future electricity distribution grids will host a considerable share of variable renewable energy sources and local storage resources. Moreover, they will face new load structures due for example to the growth of the electric vehicle…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
Along with the energy transition, the energy markets change their organization toward more decentralized and self-organized structures, striving for locally optimal profits. These tendencies may endanger the physical grid stability. One…
Community electricity storage systems for multiple applications promise benefits over household electricity storage systems. More economical flexibility options such as demand response and sector coupling might reduce the market size for…
The increasing reliance on renewable energy generation means that storage may well play a much greater role in the balancing of future electricity systems. We show how heterogeneous stores, differing in capacity and rate constraints, may be…
Mobile edge computing (MEC) has emerged as one of the key technical aspects of the fifth-generation (5G) networks. The integration of MEC with resource-constrained unmanned aerial vehicles (UAVs) could enable flexible resource provisioning…
The transition to a fully decarbonised electricity system depends on integrating new technologies that ensure reliability alongside sustainability. However, missing risk markets hinder investment in reliability-enhancing technologies by…
Probabilistic forecasting in combination with stochastic programming is a key tool for handling the growing uncertainties in future energy systems. Derived from a general stochastic programming formulation for the optimal scheduling and…
Maximizing robustness and minimizing cost are common objectives in the design of infrastructure networks. However, most infrastructure networks evolve and operate in a highly decentralized fashion, which may significantly impact the…
The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…
European electricity markets have been complex since their inception. Policies and technologies advancing renewable integration, consumer empowerment, flexibility, and electrification are reshaping generation and consumption, increasing…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
Harnessing the demand-side flexibility in building and mobility sectors can help to better integrate renewable energy into power systems and reduce global CO2 emissions. Enabling this sector coupling can be achieved with advances in energy…
Incentivizing flexible consumption of end-users is key to maximizing the value of local exchanges within Renewable Energy Communities. If centralized coordination for flexible resources planning raises concerns regarding data privacy and…
Motivated by the asset-liability management of a nuclear power plant operator, we consider the problem of finding the least expensive portfolio, which outperforms a given set of stochastic benchmarks. For a specified loss function, the…
To enable the participation of stochastic distributed energy resources in ancillary service markets, the Danish transmission system operator, Energinet, mandates that flexibility providers satisfy a minimum 90% reliability requirement for…