相关论文: Baseline hydropower generation offer curves
In high performance computing, scheduling of tasks and allocation to machines is very critical especially when we are dealing with heterogeneous execution costs. Simulations can be performed with a large variety of environments and…
This paper presents a new dynamic pricing model (a.k.a. real-time pricing) that reflects startup costs of generators. Dynamic pricing, which is a method to control demand by pricing electricity at hourly (or more often) intervals, has been…
In the information-based pricing framework of Brody, Hughston and Macrina, the market filtration $\{ \mathcal F_t\}_{t\geq 0}$ is generated by an information process $\{ \xi_t\}_{t\geq0}$ defined in such a way that at some fixed time $T$ an…
In this paper, we introduce a suite of models for price-aware automated market making platforms willing to optimize their quotes. These models incorporate advanced price dynamics, including stochastic volatility, jumps, and microstructural…
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded…
Forecasting oil production from oilfields with multiple wells is an important problem in petroleum and geothermal energy extraction, as well as energy storage technologies. The accuracy of oil forecasts is a critical determinant of economic…
Accurate prediction of electricity prices plays an essential role in the electricity market. To reflect the uncertainty of electricity prices, price intervals are predicted. This paper proposes a novel prediction interval construction…
The information needed for fundamental modelling of the power markets -- the efficiency, start-up, fixed, and variable operating costs of each power plant -- is not publicly available. These parameters are usually estimated by considering…
Energy is a critical driver of modern economic systems. Accurate energy price forecasting plays an important role in supporting decision-making at various levels, from operational purchasing decisions at individual business organizations to…
In the context of energy transition, industrial plants that heavily rely on electricity face more and more price volatility. To continue operating in these conditions, the directors become continually more willing to increase their…
We introduce Generator Matching, a modality-agnostic framework for generative modeling using arbitrary Markov processes. Generators characterize the infinitesimal evolution of a Markov process, which we leverage for generative modeling in a…
In this paper, we have studied option pricing methods that are based on a Bayesian Markov-Switching Vector Autoregressive (MS-BVAR) process using a risk-neutral valuation approach. A BVAR process, which is a special case of the Bayesian…
We propose a numerical technique for parameter inference in Markov models of biological processes. Based on time-series data of a process we estimate the kinetic rate constants by maximizing the likelihood of the data. The computation of…
The prediction of electrical power in combined cycle power plants is a key challenge in the electrical power and energy systems field. This power output can vary depending on environmental variables, such as temperature, pressure, and…
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…
A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov…
Continuous-time optimization models have successfully been used to capture the impact of ramping limitations in power systems. In this paper, the continuous-time framework is adapted to model flexible hydropower resources interacting with…
Markovian-regime-switching (MRS) models are commonly used for modelling economic time series, including electricity prices where independent regime models are used, since they can more accurately and succinctly capture electricity price…
Power flow calculation in EMS is required to accommodate a large and complex power system. To achieve a faster than real-time calculation, a graph based power flow calculation is proposed in this paper. Graph database and graph computing…
Power producers use a wide range of decision support systems to manage and plan for sales in the day-ahead electricity market, and they are often faced with the challenge of choosing the most advantageous bidding strategy for any given day.…