相关论文: Baseline hydropower generation offer curves

We consider pricing weather derivatives for use as protection against weather extremes. The method described utilizes results from spatial statistics and extreme value theory to first model extremes in the weather as a max-stable process,…

Our paper aims to model and forecast the electricity price by taking a completely new perspective on the data. It will be the first approach which is able to combine the insights of market structure models with extensive and modern…

We consider a sequential decision making process, such as renewable energy trading or electrical production scheduling, whose outcome depends on the future realization of a random factor, such as a meteorological variable. We assume that…

This paper deals with unconstrained discounted continuous-time Markov decision processes in Borel state and action spaces. Under some conditions imposed on the primitives, allowing unbounded transition rates and unbounded (from both above…

This paper has been withdrawn by the authors. We present a framework for sequential decision making in problems described by graphical models. The setting is given by dependent discrete random variables with associated costs or revenues. In…

This paper introduces an information-based model for the pricing of storable commodities such as crude oil and natural gas. The model uses the concept of market information about future supply and demand as a basis for valuation. Physical…

The use of photovoltaic (PV) sources is becoming very popular in smart grid for their ecological benefits, with higher scalability and utilization for local generation and delivery. PV can also potentially avoid the energy losses that are…

This paper considers two important problems -- on the supply-side and demand-side respectively and studies both in a unified framework. On the supply side, we study the problem of energy sharing among microgrids with the goal of maximizing…

A continuous-time Markov chain rate change formula for simulation, model selection, filtering and theory is proven. It is used to develop Markov chain importance sampling, rejection sampling, branching particle filtering algorithms and…

The theory of linear stochastic thermodynamics is developed for periodically driven systems in contact with a single reservoir. Appropriate thermodynamic forces and fluxes are identified, starting from the entropy production for a Markov…

Photovoltaic (PV) power is affected by weather conditions, making the power generated from the PV systems uncertain. Solving this problem would help improve the reliability and cost effectiveness of the grid, and could help reduce reliance…

The objective of the paper is to price weather contracts using temperature as the underlying process when the later follows a mean-reverting dynamics driven by a time-changed Brownian motion coupled to a Gamma Levy subordinator and…

For the challenging task of modeling multivariate time series, we propose a new class of models that use dependent Mat\'ern processes to capture the underlying structure of data, explain their interdependencies, and predict their unknown…

We propose a general framework for the simultaneous modeling of equity, government bonds, corporate bonds and derivatives. Uncertainty is generated by a general affine Markov process. The setting allows for stochastic volatility, jumps, the…

Electricity price forecasting approaches generally fall into two categories: data-driven models, which learn from historical patterns, or fundamental models, which simulate market mechanisms. We propose a novel and highly efficient…

We study optimal control of Markov processes with age-dependent transition rates. The control policy is chosen continuously over time based on the state of the process and its age. We study infinite horizon discounted cost and infinite…

These lecture notes introduce the statistical analysis of continuous-time generative models built from Markov dynamics. We begin with the stochastic-calculus foundations of score-based diffusion models, including time reversal, score…

The increasing importance of renewable energy, especially solar and wind power, has led to new forces in the formation of electricity prices. Hence, this paper introduces an econometric model for the hourly time series of electricity prices…

In this paper we propose a quadratic programming model that can be used for calculating the term structure of electricity prices while explicitly modeling startup costs of power plants. In contrast to other approaches presented in the…

Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…