Related papers: Data-Driven Stochastic Optimal Control for Intrada…
The paper suggests a new stochastic model for energy producing, dispatching, and storing in the multi-battery setting that takes into account the topology of the system of the links between the batteries, the transmission and storage…
Pronounced variability due to the growth of renewable energy sources, flexible loads, and distributed generation is challenging residential distribution systems. This context, motivates well fast, efficient, and robust reactive power…
We develop a novel observation-driven model for high-frequency prices. We account for irregularly spaced observations, simultaneous transactions, discreteness of prices, and market microstructure noise. The relation between trade durations…
This paper proposes a system-wide optimal resource dispatch strategy that enables a shift from a primarily energy cost-based approach, to a strategy using simultaneous price signals for energy, power and ramping behavior. A formal method to…
This paper develops a unified methodology for probabilistic analysis and optimal control design for jump diffusion processes defined by polynomials. For such systems, the evolution of the moments of the state can be described via a system…
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…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
Future IoT networks consist of heterogeneous types of IoT devices (with various communication types and energy constraints) which are assumed to belong to an IoT service provider (ISP). To power backscattering-based and wireless-powered…
The fundamental lemma by Jan C. Willems and co-authors enables the representation of all input-output trajectories of a linear time-invariant system by measured input-output data. This result has proven to be pivotal for data-driven…
We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future…
We investigate propagation of convexity and convex ordering on a typical discrete-time stochastic optimal control problem, namely the pricing of swing option. The dynamics of the underlying asset is modelled by the Euler scheme of a…
We examine the novel problem of the estimation of transaction arrival processes in the intraday electricity markets. We model the inter-arrivals using multiple time-varying parametric densities based on the generalized F distribution…
In this paper, we propose a two-stage electricity market framework to explore the participation of distributed energy resources (DERs) in a day-ahead (DA) market and a real-time (RT) market. The objective is to determine the optimal bidding…
This paper studies how platform design shapes strategic behavior in decentralized electricity trading. We develop a finite-horizon dynamic game in which photovoltaic- and battery-equipped players ("prosumers") trade on a platform that maps…
The paper develops a typical management problem of a large power producer (i.e., he can partly influence the market price). In particular, he routinely needs to decide how much of his generation it is preferable to commit to fixed price…
A smart grid connects wind or solar or storage farms, fossil fuel plants, industrialor commercial loads, or load serving entities, modeled as stochastic dynamical systems. In each time period, they consume or supply electrical energy, with…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
This paper is concerned with stochastic impulse control problems in which the running cost changes depending on the impulse control. Because of such a dependence, it brings several difficulties when the usual dynamic programming principle…
Previous research primarily characterized price movements according to time intervals, resulting in temporal discontinuity and overlooking crucial activities in financial markets. Directional Change (DC) is an alternative approach to…
We propose a stochastic volatility model for time series of curves. It is motivated by dynamics of intraday price curves that exhibit both between days dependence and intraday price evolution. The curves are suitably normalized to…