相关论文: Management of a hydropower system via convex duali…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…
As the penetration of variable renewable powergeneration increases in power systems around the world, systemsecurity is challenged. Ensuring that enough reserve capacity isavailable to balance the increased forecast errors introduced bywind…
In this paper, we study the operational problem of connected hydro power reservoirs which involves sequential decision-making in an uncertain and dynamic environment. The problem is traditionally formulated as a stochastic dynamic program…
Short-term hydro-generation management poses a non-convex or even non-continuous optimization problem. For this reason, the problem of systematically obtaining feasible and economically satisfying solutions has not yet been completely…
This paper studies duality and optimality conditions in general convex stochastic optimization problems introduced by Rockafellar and Wets in 1976. We derive an explicit dual problem in terms of two dual variables, one of which is the…
Nowadays hydroelectric energy is one of the best energy sources: it is cleaner, safer and more programmable than other sources. For this reason, its manage could not be done in an approssimative way, but advance mathematical models must be…
A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…
We present a novel technique to solve the problem of managing optimally a pumped hydroelectric storage system. This technique relies on representing the system as a stochastic optimal control problem with state constraints, these latter…
This paper proposes a general duality framework for the problem of minimizing a convex integral functional over a space of stochastic processes adapted to a given filtration. The framework unifies many well-known duality frameworks from…
We present three large-scale hydropower planning models implemented in our open-source software framework StochasticPrograms.jl developed using the Julia programming langugage. The framework provides an expressive syntax for formulating…
We develop a mathematical framework to jointly schedule water and electricity in a profit-maximizing renewable colocated water desalination plant that integrates both thermal and membrane based technologies. The price-taking desalination…
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optimizing power flows in a static network, and then proceed to…
This paper formalizes an optimal water-power flow (OWPF) problem to optimize the use of controllable assets across power and water systems while accounting for the couplings between the two infrastructures. Tanks and pumps are optimally…
We present a capacity expansion model for deciding the new electricity generation and transmission capacity to complement an existing hydroelectric reservoir system. The objective is to meet a forecast demand at least expected cost, namely…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce…
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…
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 valuations are based on the indifference pricing…
Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces…
We study the convex duality method for robust utility maximization in the presence of a random endowment. When the underlying price process is a locally bounded semimartingale, we show that the fundamental duality relation holds true for a…