Related papers: Data-Driven Stochastic Optimal Control for Intrada…
To accommodate the advent of microgrids (MG) managing distributed energy resources (DER) in distribution systems, an interactive two-stage joint retail electricity market mechanism is proposed to provide an effective platform for these…
Maintaining energy balance and economical operation is significant for multi-energy systems such as the energy hub. However, it is usually challenged by the frequently changing and unpredictable uncertainties at different timescales. Under…
We propose a data-based method to solve a multi-stage stochastic optimal power flow (OPF) problem based on limited information about forecast error distributions. The framework explicitly combines multi-stage feedback policies with any…
Optimal control theory deals with finding protocols to steer a system between assigned initial and final states, such that a trajectory-dependent cost function is minimized. The application of optimal control to stochastic systems is an…
Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…
In day-ahead electricity markets based on uniform marginal pricing, small variations in the offering and bidding curves may substantially modify the resulting market outcomes. In this work, we deal with the problem of finding the optimal…
This paper studies the dynamic programming principle using the measurable selection method for stochastic control of continuous processes. The novelty of this work is to incorporate intermediate expectation constraints on the canonical…
This paper investigates the robustness of stochastic optimal control for controlled regime switching diffusions. We consider systems driven by both continuous fluctuations and discrete regime changes, allowing for model misspecification in…
We study a stochastic optimal control problem for jump-diffusion systems whose drift coefficient is piecewise Lipschitz continuous and exhibits threshold-induced discontinuities. Such dynamics naturally arise in applications with…
We introduce and study a non-equilibrium continuous-time dynamical model of the price of a single asset traded by a population of heterogeneous interacting agents in the presence of uncertainty and regulatory constraints. The model takes…
This paper introduces a jump-diffusion pricing model specifically designed for algorithmic trading and high-frequency trading (HFT). The model incorporates independent jump and diffusion processes, providing a more precise representation of…
This paper proposes a control strategy for a Reverse Fuel Cell used to manage a Renewable Energy Community. A two-stage scenario-based Model Predictive Control algorithm is designed to define the best economic strategy to be followed during…
Proceeding from the concept of rational expectations, a new dynamic model of supply and demand in a single market with one supplier, one buyer, and one kind of commodity is developed. Unlike the cob-web dynamic theories with adaptive…
Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…
Electrified heating systems with thermal storage, such as electric boilers and heat pumps, represent a major source of demand-side flexibility. Under current electricity market designs, balance responsible parties (BRPs) operating such…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
This paper focuses on price-based residential demand response implemented through dynamic adjustments of electricity prices during DR events. It extends existing DR models to a stochastic framework in which customer response is represented…
There are numerous industrial settings in which a decision maker must decide whether to enter into long-term contracts to guarantee price (and hence cash flow) stability or to participate in more volatile spot markets. In this paper, we…
Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…
Throughout this paper, we focused our aim on the problem of optimal control under a risk-sensitive performance functional, where the system is given by a fully coupled forward-backward stochastic differential equation with jump. The risk…