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There are several approaches to modeling and forecasting time series as applied to prices of commodities and financial assets. One of the approaches is to model the price as a non-stationary time series process with heteroscedastic…
This paper specifies a notation for Markov decision processes.
In this paper we study dynamic pricing mechanisms of financial derivatives. A typical model of such pricing mechanism is the so-called g--expectation defined by solutions of a backward stochastic differential equation with g as its…
Accurate crude oil price prediction is crucial for financial decision-making. We propose a novel reservoir computing model for forecasting crude oil prices. It outperforms popular deep learning methods in most scenarios, as demonstrated…
We present a specialized scenario generation method that utilizes forecast information to generate scenarios for day-ahead scheduling problems. In particular, we use normalizing flows to generate wind power scenarios by sampling from a…
Decarbonizing the global energy supply requires more efficient heating and cooling systems. Model predictive control enhances the operation of cooling and heating systems but depends on accurate system models, often based on control…
Accurate forecasts of electricity spot prices are essential to the daily operational and planning decisions made by power producers and distributors. Typically, point forecasts of these quantities suffice, particularly in the Nord Pool…
Most existing generation scheduling models for power systems under demand uncertainty rely on energy-based formulations with a finite number of time periods, which may fail to ensure that power supply and demand are balanced continuously…
For a Demand Response (DR) program with internet data centers (IDC), the Price-Amount curve that estimates how the potential DR amount depends on the DR price determined by power systems is crucial. Constructing this curve is challenging…
We develop a probabilistic framework for joint simulation of short-term electricity generation from renewable assets. In this paper we describe a method for producing hourly day-ahead scenarios of generated power at grid-scale across…
The ability to accurately forecast power generation from renewable sources is nowadays recognised as a fundamental skill to improve the operation of power systems. Despite the general interest of the power community in this topic, it is not…
Frequency dynamics in power systems reflect active power imbalance in real time, thereby providing an instantaneous signal to inform electricity pricing. However, existing real-time markets operate on much slower timescales and fail to…
The instantaneous power generation from a hydroelectric turbine is proportional to the product of head difference and turbine flow. The equation relating power to hydraulic variables is therefore nonlinear. Hence, optimization problems…
The concepts of probability, statistics and stochastic theory are being successfully used in structural engineering. Markov Chain modelling is a simple stochastic process model that has found its application in both describing stochastic…
With the increasing integration of power plants into the frequency-regulation markets, the importance of optimal trading has grown substantially. This paper conducts an in-depth analysis of their optimal trading behavior in sequential…
In the probabilistic energy forecasting literature, emphasis is mainly placed on deriving marginal predictive densities for which each random variable is dealt with individually. Such marginals description is sufficient for power systems…
We review Markov models of surplus in life insurance based on a counting process following Norberg (1991), uniting probabilistic theory with elements of practice largely drawn from UK experience. First, we organize models systematically…
Markov Decision Processes (MDPs) have been used to formulate many decision-making problems in science and engineering. The objective is to synthesize the best decision (action selection) policies to maximize expected rewards (or minimize…
We study discretizations of polynomial processes using finite state Markov processes satisfying suitable moment matching conditions. The states of these Markov processes together with their transition probabilities can be interpreted as…
This paper presents a comparative analysis of several modelling approaches of key elements used in simulations of power systems with renewable energy sources. Different models of synchronous generators, transmission lines, converters, wind…