相关论文: A Value-At-Risk approach for robust management of …
Value-at-risk (VaR), also known as quantile, is a crucial risk measure in finance and other fields. However, optimizing VaR metrics in Markov decision processes (MDPs) is challenging because VaR is non-additive and the traditional dynamic…
The changes in electricity markets expose RES producers and electricity traders to various risks, among which the price and the volume risk play a very important role. In this research, a portfolio building strategies are presented, which…
We show how to value both variable generation and energy storage to enable them to be integrated fairly and optimally into electricity capacity markets. We develop theory based on balancing expected energy unserved against costs of capacity…
The ability to make optimal decisions under uncertainty remains important across a variety of disciplines from portfolio management to power engineering. This generally implies applying some safety margins on uncertain parameters that may…
Value-at-risk (VaR) is an established measure to assess risks in critical real-world applications with random environmental factors. This paper presents a novel VaR upper confidence bound (V-UCB) algorithm for maximizing the VaR of a…
Active voltage control presents a promising avenue for relieving power congestion and enhancing voltage quality, taking advantage of the distributed controllable generators in the power network, such as roof-top photovoltaics. While…
Appropriate risk management is crucial to ensure the competitiveness of financial institutions and the stability of the economy. One widely used financial risk measure is Value-at-Risk (VaR). VaR estimates based on linear and parametric…
This paper addresses allocation methodologies for a risk measure inherited from ruin theory. Specifically, we consider a dynamic value-at-risk (VaR) measure defined as the smallest initial capital needed to ensure that the ultimate ruin…
Day-ahead scheduling of electricity generation or unit commitment is an important and challenging optimization problem in power systems. Variability in net load arising from the increasing penetration of renewable technologies have…
Measuring risk is at the center of modern financial risk management. As the world economy is becoming more complex and standard modeling assumptions are violated, the advanced artificial intelligence solutions may provide the right tools to…
The integration of distributed energy resources, particularly photovoltaic (PV) systems and electric vehicles (EVs), introduces significant uncertainty and complexity into modern energy systems. This paper explores a novel approach to…
We study a linear-quadratic, optimal control problem on a discrete, finite time horizon with distributional ambiguity, in which the cost is assessed via Conditional Value-at-Risk (CVaR). We take steps toward deriving a scalable dynamic…
This paper presents a dynamic pricing and energy management framework for electric vehicle (EV) charging service providers. To set the charging prices, the service providers faces three uncertainties: the volatility of wholesale electricity…
We study issues of robustness in the context of Quantitative Risk Management and Optimization. We develop a general methodology for determining whether a given risk measurement related optimization problem is robust, which we call…
This paper addresses the energy management of a grid-connected renewable generation plant coupled with a battery energy storage device in the capacity firming market, designed to promote renewable power generation facilities in small…
The charging load from Electric vehicles (EVs) is modeled as deferrable load, meaning that the power consumption can be shifted to different time windows to achieve various grid objectives. In local community scenarios, EVs are considered…
In many sequential decision-making problems we may want to manage risk by minimizing some measure of variability in costs in addition to minimizing a standard criterion. Conditional value-at-risk (CVaR) is a relatively new risk measure that…
Real-time coordination of distributed energy resources (DERs) is crucial for regulating the voltage profile in distribution grids. By capitalizing on a scalable neural network (NN) architecture, one can attain decentralized DER decisions to…
We address the problem of maintaining high voltage power transmission networks in security at all time, namely anticipating exceeding of thermal limit for eventual single line disconnection (whatever its cause may be) by running slow, but…
Quantification of risk positions under model uncertainty is of crucial importance from both viewpoints of external regulation and internal management. The concept of model uncertainty, sometimes also referred to as model ambiguity. Although…