相关论文: Estimating the Competitive Storage Model with Stoc…

In this paper, we address an optimal management problem of community energy storage in the real-time electricity market under a stochastic renewable environment. In a real-time electricity market, complete market information may not be…

A stochastic mode reduction strategy is applied to multiscale models with a deterministic energy-conserving fast sub-system. Specifically, we consider situations where the slow variables are driven stochastically and interact with the fast…

Stochastic methods are a crucial area in contemporary climate research and are increasingly being used in comprehensive weather and climate prediction models as well as reduced order climate models. Stochastic methods are used as…

Based on the existing literature, this article presents the different ways of choosing the parameters of stochastic volatility models in general, in the context of pricing financial derivative contracts. This includes the use of stochastic…

This paper explores the application of Hidden Markov Models (HMM) and Long Short-Term Memory (LSTM) neural networks for economic forecasting, focusing on predicting CPI inflation rates. The study explores a new approach that integrates…

In this paper we investigate a dynamic pricing model for constant demand elasticity where customers have a probability distribution on the number of items they order. This is a generalization from standard models which restrict customers to…

Our research aims to find the best model that uses companies projections and sector performances and how the given company fares accordingly to correctly predict equity share prices for both short and long term goals.

We consider the problem of supply and demand balancing that is stated as a minimization problem for the total expected revenue function describing the behavior of both consumers and suppliers. In the considered market model we assume that…

Translating metabolic networks into dynamic models is difficult if kinetic constants are unknown. Structural Kinetic Modelling (SKM) replaces reaction elasticities by independent random numbers. Here I propose a variant that accounts for…

This paper proposes a market mechanism for multi-interval electricity markets with generator and storage participants. Drawing ideas from supply function bidding, we introduce a novel bid structure for storage participation that allows…

The rapid expansion of digital commerce platforms has amplified the strategic importance of coordinated pricing and inventory management decisions among competing retailers. Motivated by practices on leading e-commerce platforms, we analyze…

The formalism of state estimation and hidden Markov models (HMMs) can simplify and clarify the discussion of stochastic thermodynamics in the presence of feedback and measurement errors. After reviewing the basic formalism, we use it to…

Stochastic dynamical systems arise naturally across nearly all areas of science and engineering. Typically, a dynamical system model is based on some prior knowledge about the underlying dynamics of interest in which probabilistic features…

We consider stochastic volatility models under parameter uncertainty and investigate how model derived prices of European options are affected. We let the pricing parameters evolve dynamically in time within a specified region, and…

Recently, the volatility associated with marginal prices has increased due to large scale integration of renewable generation. Price volatility is undesirable from a consumer perspective. To address this issue, we present a framework for…

In this paper, an approach to estimating a nonlinear deterministic model is presented. We introduce a stochastic model with extremely small variances so that the deterministic and stochastic models are essentially indistinguishable from…

Electric power systems are increasingly turning to energy storage systems to balance supply and demand. But how much storage is required? What is the optimal volume of storage in a power system and on what does it depend? In addition, what…

When agents trade in a Duality-based Cost Function prediction market, they collectively implement the learning algorithm Follow-The-Regularized-Leader. We ask whether other learning algorithms could be used to inspire the design of…

State Space Models (SSMs), particularly recent selective variants like Mamba, have emerged as a leading architecture for sequence modeling, challenging the dominance of Transformers. However, the success of these state-of-the-art models…

We consider a market in which both suppliers and consumers compete for a product via scalar-parameterized supply offers and demand bids. Scalar-parameterized offers/bids are appealing due to their modeling simplicity and desirable…