A survey of stochastic modelling approaches for liberalised electricity markets
DOI10.1016/J.EJOR.2009.11.007zbMATH Open1205.91125OpenAlexW2056784518MaRDI QIDQ992645FDOQ992645
Authors: Dominik Möst, Dogan Keles 
Publication date: 9 September 2010
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.ejor.2009.11.007
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- scientific article; zbMATH DE number 1984256
uncertainty modellingstochastic processesstochastic programmingOR in energyenergy system modelsenergy systems analysis
Economic time series analysis (91B84) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to operations research and mathematical programming (90-02) Production models (90B30)
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Cited In (31)
- Modeling and forecasting electricity demand. A risk management perspective
- Electricity swing option pricing by stochastic bilevel optimization: a survey and new approaches
- Clean Valuation with Regard to EU Emission Trading
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- Fix-and-optimize procedures for solving the long-term unit commitment problem with pumped storages
- Electricity market stochastic dynamic model and its mean stability analysis
- Quantum probes for fractional Gaussian processes
- Stochasticity in electric energy systems planning
- Combined scheduling and capacity planning of electricity-based ammonia production to integrate renewable energies
- Integrating intermittent renewable wind generation -- a stochastic multi-market electricity model for the European electricity market
- Optimization of Risk Management Problems in Generation and Trading Planning
- Uncertain bidding zone configurations: the role of expectations for transmission and generation capacity expansion
- Electricity futures price models: calibration and forecasting
- The effect of long-term expansion on the evolution of electricity price: numerical analysis of a theoretically optimised electricity market
- Heuristic decision rules for short-term trading of renewable energy with co-located energy storage
- Stochastic modelling of volatility and inter-relationships in the Australian electricity markets
- Decision making under uncertainty in electricity markets
- Medium-term planning for thermal electricity production
- Sell or store? An ADP approach to marketing renewable energy
- Worst-case modelling for management decisions under incomplete information, with application to electricity spot markets
- An energy system optimization model accounting for the interrelations of multiple stochastic energy prices
- Statistical properties and economic implications of jump-diffusion processes with shot-noise effects
- Uncertainty in the electric power industry. Methods and models for decision support
- On multiple criteria decision support for suppliers on the competitive electric power market
- Robustness of capacity markets: a stochastic dynamic capacity investment model
- Stochastic optimization of trading strategies in sequential electricity markets
- Minimizing price‐risk exposure for deregulated electricity market participants
- Two-stage stochastic, large-scale optimization of a decentralized energy system: a case study focusing on solar PV, heat pumps and storage in a residential quarter
- A review of the operations literature on real options in energy
- Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data
- Application of continuous stochastic processes in energy market models
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