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We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…

Computational Finance · Quantitative Finance 2020-10-20 René Aid , Andrea Cosso , Huyên Pham

Power system models are a valuable and widely used tool to determine cost-minimal future operation and investment under political or ecological boundary conditions. Yet they are silent about the allocation of costs of single assets, as…

Physics and Society · Physics 2020-10-27 Fabian Hofmann

We study the problem of pricing under a Multinomial Logit model where we incorporate network effects over the consumer's decisions. We analyse both cases, when sellers compete or collaborate. In particular, we pay special attention to the…

Computer Science and Game Theory · Computer Science 2020-05-08 Felipe Maldonado , Gerardo Berbeglia , Pascal Van Hentenryck

The uncertainty of multiple power loads and renewable energy generations (PLREG) in power systems increases the complexity of power flow analysis for decision-makers. The chance-constrained method can be applied to model the optimization…

Optimization and Control · Mathematics 2021-11-12 Ren Hu , Qifeng Li

Recently, we proposed a capacity expansion approach for transmission grids that combines the upgrade of transmission capacity with a transition in system structure to improve grid operation. The key to this concept is a particular hybrid…

Optimization and Control · Mathematics 2018-11-27 Matthias Hotz , Wolfgang Utschick

The existence of multiple solutions to AC optimal power flow (ACOPF) problems has been noted for decades. Existing solvers are generally successful in finding local solutions, which are stationary points but may not be globally optimal. In…

Systems and Control · Electrical Eng. & Systems 2021-02-25 Ling Zhang , Baosen Zhang

We formulate optimization problems to study how data centers might modulate their power demands for cost-effective operation taking into account three key complex features exhibited by real-world electricity pricing schemes: (i)…

Systems and Control · Computer Science 2013-09-05 Cheng Wang , Bhuvan Urgaonkar , Qian Wang , George Kesidis , Anand Sivasubramaniam

We study the structure of locational marginal prices in day-ahead and real-time wholesale electricity markets. In particular, we consider the case of two North American markets and show that the price correlations contain information on the…

Statistical Finance · Quantitative Finance 2022-09-13 Tianyu Cui , Francesco Caravelli , Cozmin Ududec

Traffic management by applying congestion pricing is a measure for mitigating congestion in protected city corridors. As a promising tool, pricing improves the level of service in a network and reduces travel delays. However, real-world…

Robotics · Computer Science 2021-12-14 Alexander Genser , Anastasios Kouvelas

In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…

Optimization and Control · Mathematics 2022-11-18 Vadim Borokhov

This letter deals with the optimization problems of stochastic switching buffer networks, where the switching law is governed by Markov process. The dynamical buffer network is introduced, and its application in modeling the car-sharing…

Systems and Control · Electrical Eng. & Systems 2022-07-19 Chengyan Zhao , Kazunori Sakurama , Masaki Ogura

In this paper we calculate the incremental system production cost associated with a measure of locational power injection uncertainty that can be interpreted as a locational price for tracking power fluctuations. This Locational Price of…

Systems and Control · Electrical Eng. & Systems 2020-01-07 Adria E. Brooks , Bernard C. Lesieutre

We interpret multi-product supply chains (SCs) as coordinated markets; under this interpretation, a SC optimization problem is a market clearing problem that allocates resources and associated economic values (prices) to different…

Optimization and Control · Mathematics 2020-07-03 Philip A. Tominac , Victor M. Zavala

The recent liberalization of the electricity and gas markets has resulted in the growth of energy exchanges and modelling problems. In this paper, we modelize jointly gas and electricity spot prices using a mean-reverting model which fits…

Statistical Finance · Quantitative Finance 2018-02-20 Noufel Frikha , Vincent Lemaire

A significant portion of a consumer's annual electrical costs can be made up of coincident peak charges: a transmission surcharge for power consumed when the entire system is at peak demand. This charge occurs only a few times annually, but…

Optimization and Control · Mathematics 2019-08-05 Chase P. Dowling , Baosen Zhang

Power flow in a low voltage direct current grid (LVDC) is a non-linear problem just as its counterpart ac. This paper demonstrates that, unlike in ac grids, convergence and uniqueness of the solution can be guaranteed in this type of grids.…

Optimization and Control · Mathematics 2017-02-06 Alejandro Garces

Market-based coordination of demand side assets has gained great interests in recent years. In spite of its efficiency, there is a risk that the interaction between the dynamic assets through the price signal could result in an unstable…

Optimization and Control · Mathematics 2017-04-04 Lin Zhao , Wei Zhang

We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a structural approach in order to represent some key…

Mathematical Finance · Quantitative Finance 2017-04-21 Clemence Alasseur , Olivier Feron

Proper traffic simulation of electric vehicles, which draw energy from overhead wires, requires adequate modeling of traction infrastructure. Such vehicles include trains, trams or trolleybuses. Since the requested power demands depend on a…

Optimization and Control · Mathematics 2020-10-08 Jakub Ševčík , Lukáš Adam , Jan Přikryl , Václav Šmídl

Intraday electricity markets play an increasingly important role in balancing the intermittent generation of renewable energy resources, which creates a need for accurate probabilistic price forecasts. However, research to date has focused…

Statistical Finance · Quantitative Finance 2025-04-15 Simon Hirsch , Florian Ziel