Related papers: Data-Driven Stochastic Optimal Control for Intrada…
This paper studies the problem of stochastic dynamic pricing and energy management policy for electric vehicle (EV) charging service providers. In the presence of renewable energy integration and energy storage system, EV charging service…
This paper proposes a fully data-driven approach for optimal control of nonlinear control-affine systems represented by a stochastic diffusion. The focus is on the scenario where both the nonlinear dynamics and stage cost functions are…
With the rising extension of renewable energies, the intraday electricity markets have recorded a growing popularity amongst traders as well as electric utilities to cope with the induced volatility of the energy supply. Through their short…
This paper presents a continuous-time model of intraday trading, pricing, and liquidity with dynamic TWAP and VWAP benchmarks. The model is solved in closed-form for the competitive equilibrium and also for non-price-taking equilibria. The…
We present a new model for the electricity spot price dynamics, which is able to capture seasonality, low-frequency dynamics and the extreme spikes in the market. Instead of the usual purely deterministic trend we introduce a non-stationary…
This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge…
Quantity and price risks are key uncertainties market participants face in electricity markets with increased volatility, for instance, due to high shares of renewables. From day ahead until real-time, there is a large variation in the best…
We study data-driven learning of robust stochastic control for infinite-horizon systems with potentially continuous state and action spaces. In many managerial settings--supply chains, finance, manufacturing, services, and dynamic…
This is the second part of a two-part paper on data-based distributionally robust stochastic optimal power flow (OPF). The general problem formulation and methodology have been presented in Part I [1]. Here, we present extensive numerical…
Considering that the existing setup of the European electricity markets promotes the spatial coordination of neighbouring power systems only on the day-ahead market stage, regional system operators have to rely mainly on their internal…
Volatile electrical energy prices are a challenge and an opportunity for small and medium-size companies in energy-intensive industries. By using electrical energy storage and/or an adaptation of production processes, companies can…
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy…
Optimal execution, i.e., the determination of the most cost-effective way to trade volumes in continuous trading sessions, has been a topic of interest in the equity trading world for years. Electricity intraday trading slowly follows this…
In two-stage electricity markets, renewable power producers enter the day-ahead market with a forecast of future power generation and then reconcile any forecast deviation in the real-time market at a penalty. The choice of the forecast…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
The problem of dynamic pricing of electricity in a retail market is considered. A Stackelberg game is used to model interactions between a retailer and its customers; the retailer sets the day-ahead hourly price of electricity and consumers…
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…
In this paper we investigate a kind of optimal control problem of coupled forward-backward stochastic system with jumps whose cost functional is defined through a coupled forward-backward stochastic differential equation with Brownian…
Efficiently integrating renewable resources into electricity markets is vital for addressing the challenges of matching real-time supply and demand while reducing the significant energy wastage resulting from curtailments. To address this…
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…