Related papers: Data-Driven Stochastic Optimal Control for Intrada…
In this work, we extend the data-driven It\^{o} stochastic differential equation (SDE) framework for the pathwise assessment of short-term forecast errors to account for the time-dependent upper bound that naturally constrains the…
This paper investigates optimal execution strategies in intraday energy markets through a mutually exciting Hawkes process model. Calibrated to data from the German intraday electricity market, the model effectively captures key empirical…
This two-part paper addresses the design of retail electricity tariffs for distribution systems with distributed energy resources such as solar power and storage. In particular, the optimal design of dynamic two-part tariffs for a regulated…
In the present paper, we study the optimal execution problem under stochastic price recovery based on limit order book dynamics. We model price recovery after execution of a large order by accelerating the arrival of the refilling order,…
In this study, a stochastic power management strategy for in-wheel motor electric vehicles (IWM-EV) is proposed to reduce the energy consumption and increase the driving range by considering the unpredictable nature of the driving power…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
Intra-day price spreads are of interest to electricity traders, storage and electric vehicle operators. This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast the German…
We study the problem of dynamically trading futures in a regime-switching market. Modeling the underlying asset price as a Markov-modulated diffusion process, we present a utility maximization approach to determine the optimal futures…
Stochastic optimal control problems have a long tradition in applied probability, with the questions addressed being of high relevance in a multitude of fields. Even though theoretical solutions are well understood in many scenarios, their…
This paper considers optimal control of dynamical systems which are represented by nonlinear stochastic differential equations. It is well-known that the optimal control policy for this problem can be obtained as a function of a value…
We consider the residential energy storage management system with integrated renewable generation, with the availability of bidirectional energy flow from and to the grid thorough buying and selling. We propose a real-time bidirectional…
We present an online stochastic model predictive control framework for demand charge management for a grid-connected consumer with attached electrical energy storage. The consumer we consider must satisfy an inflexible but stochastic…
Electricity is traded on various markets with different time horizons and regulations. Short-term intraday trading becomes increasingly important due to the higher penetration of renewables. In Germany, the intraday electricity price…
This paper studies the optimal output-feedback control of a linear time-invariant system where a stochastic event-based scheduler triggers the communication between the sensor and the controller. The primary goal of the use of this type of…
Optimal scheduling of batteries has significant potential to reduce electricity costs and to enhance grid resilience. However, effective battery scheduling must account for both physical constraints as well as uncertainties in consumption…
In energy systems with high shares of weather-driven renewable power sources, gas-fired power plants can serve as a back-up technology to ensure security of supply and provide short-term flexibility. Therefore, a tighter coordination…
We study the problem of forecasting and optimally trading day-ahead versus real-time (DART) price spreads in U.S. wholesale electricity markets. Building on the framework of Galarneau-Vincent et al., we extend spike prediction from a single…
We consider the problem of stochastic optimal control, where the state-feedback control policies take the form of a probability distribution and where a penalty on the entropy is added. By viewing the cost function as a Kullback- Leibler…