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A survey of stochastic modelling approaches for liberalised electricity markets

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  1. Didier Nibbering & Coos van Buuren & Wei Wei, 2021. "Real Options Valuation of Wind Energy Based on the Empirical Production Uncertainty," Monash Econometrics and Business Statistics Working Papers 19/21, Monash University, Department of Econometrics and Business Statistics.
  2. Govorukha, Kristina & Mayer, Philip & Rübbelke, Dirk & Vögele, Stefan, 2020. "Economic disruptions in long-term energy scenarios – Implications for designing energy policy," Energy, Elsevier, vol. 212(C).
  3. Joachim Geske and Richard Green, 2020. "Optimal Storage, Investment and Management under Uncertainty: It is Costly to Avoid Outages!," The Energy Journal, International Association for Energy Economics, vol. 0(Number 2), pages 1-28.
  4. Raviv, Eran & Bouwman, Kees E. & van Dijk, Dick, 2015. "Forecasting day-ahead electricity prices: Utilizing hourly prices," Energy Economics, Elsevier, vol. 50(C), pages 227-239.
  5. Savvidis, Georgios & Siala, Kais & Weissbart, Christoph & Schmidt, Lukas & Borggrefe, Frieder & Kumar, Subhash & Pittel, Karen & Madlener, Reinhard & Hufendiek, Kai, 2019. "The gap between energy policy challenges and model capabilities," Energy Policy, Elsevier, vol. 125(C), pages 503-520.
  6. Kraft, Emil & Russo, Marianna & Keles, Dogan & Bertsch, Valentin, 2023. "Stochastic optimization of trading strategies in sequential electricity markets," European Journal of Operational Research, Elsevier, vol. 308(1), pages 400-421.
  7. Islyaev, Suren & Date, Paresh, 2015. "Electricity futures price models: Calibration and forecasting," European Journal of Operational Research, Elsevier, vol. 247(1), pages 144-154.
  8. Md. Nasimul Islam Maruf, 2019. "Sector Coupling in the North Sea Region—A Review on the Energy System Modelling Perspective," Energies, MDPI, vol. 12(22), pages 1-35, November.
  9. Farrokhifar, Meisam & Nie, Yinghui & Pozo, David, 2020. "Energy systems planning: A survey on models for integrated power and natural gas networks coordination," Applied Energy, Elsevier, vol. 262(C).
  10. Haugen, Mari & Blaisdell-Pijuan, Paris L. & Botterud, Audun & Levin, Todd & Zhou, Zhi & Belsnes, Michael & Korpås, Magnus & Somani, Abhishek, 2024. "Power market models for the clean energy transition: State of the art and future research needs," Applied Energy, Elsevier, vol. 357(C).
  11. Fileccia, Gaetano & Sgarra, Carlo, 2018. "A particle filtering approach to oil futures price calibration and forecasting," Journal of Commodity Markets, Elsevier, vol. 9(C), pages 21-34.
  12. Thomas Mobius & Mira Watermeyer & Oliver Grothe & Felix Musgens, 2023. "Enhancing Energy System Models Using Better Load Forecasts," Papers 2302.11017, arXiv.org.
  13. Scarcioffolo, Alexandre Ribeiro & Perobelli, Fernanda Finotti Cordeiro & Chimeli, Ariaster Baumgratz, 2018. "Counterfactual comparisons of investment options for wind power and agricultural production in the United States: Lessons from Northern Ohio," Energy Economics, Elsevier, vol. 74(C), pages 299-309.
  14. Segnon Mawuli & Lau Chi Keung & Wilfling Bernd & Gupta Rangan, 2022. "Are multifractal processes suited to forecasting electricity price volatility? Evidence from Australian intraday data," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 26(1), pages 73-98, February.
  15. Francesco Caravelli & James Requeima & Cozmin Ududec & Ali Ashtari & Tiziana Di Matteo & Tomaso Aste, 2015. "Multi-scaling of wholesale electricity prices," Papers 1507.06219, arXiv.org.
  16. Luis M. Abadie & José M. Chamorro, 2014. "Valuation of Wind Energy Projects: A Real Options Approach," Energies, MDPI, vol. 7(5), pages 1-38, May.
  17. Finke, Jonas & Bertsch, Valentin, 2023. "Implementing a highly adaptable method for the multi-objective optimisation of energy systems," Applied Energy, Elsevier, vol. 332(C).
  18. Jan Abrell & Friedrich Kunz, 2015. "Integrating Intermittent Renewable Wind Generation - A Stochastic Multi-Market Electricity Model for the European Electricity Market," Networks and Spatial Economics, Springer, vol. 15(1), pages 117-147, March.
  19. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Ortlieb, Sebastian & Fichtner, Wolf, 2013. "A combined modeling approach for wind power feed-in and electricity spot prices," Energy Policy, Elsevier, vol. 59(C), pages 213-225.
  20. Keles, Dogan & Genoese, Massimo & Möst, Dominik & Fichtner, Wolf, 2012. "Comparison of extended mean-reversion and time series models for electricity spot price simulation considering negative prices," Energy Economics, Elsevier, vol. 34(4), pages 1012-1032.
  21. Jan Abrell & Hannes Weigt, 2016. "Investments in a Combined Energy Network Model: Substitution between Natural Gas and Electricity?," The Energy Journal, , vol. 37(4), pages 63-86, October.
  22. Spodniak, Petr & Bertsch, Valentin, 2017. "Determinants of power spreads in electricity futures markets: A multinational analysis," Papers WP580, Economic and Social Research Institute (ESRI).
  23. Stephan Nagl & Michaela Fürsch & Dietmar Lindenberger, 2013. "The Costs of Electricity Systems with a High Share of Fluctuating Renewables: A Stochastic Investment and Dispatch Optimization Model for Europe," The Energy Journal, , vol. 34(4), pages 151-180, October.
  24. Spodniak, Petr & Bertsch, Valentin, 2020. "Is flexible and dispatchable generation capacity rewarded in electricity futures markets? A multinational impact analysis," Energy, Elsevier, vol. 196(C).
  25. Alexander J. M. Kell & Matthew Forshaw & A. Stephen McGough, 2019. "ElecSim: Monte-Carlo Open-Source Agent-Based Model to Inform Policy for Long-Term Electricity Planning," Papers 1911.01203, arXiv.org.
  26. Moreno, Manuel & Serrano, Pedro & Stute, Winfried, 2011. "Statistical properties and economic implications of jump-diffusion processes with shot-noise effects," European Journal of Operational Research, Elsevier, vol. 214(3), pages 656-664, November.
  27. Barry Anderson & Emanuele Borgonovo & Marzio Galeotti & Roberto Roson, 2014. "Uncertainty in Climate Change Modeling: Can Global Sensitivity Analysis Be of Help?," Risk Analysis, John Wiley & Sons, vol. 34(2), pages 271-293, February.
  28. Kovacevic, Raimund M. & Pflug, Georg Ch., 2014. "Electricity swing option pricing by stochastic bilevel optimization: A survey and new approaches," European Journal of Operational Research, Elsevier, vol. 237(2), pages 389-403.
  29. Riepin, Iegor & Möbius, Thomas & Müsgens, Felix, 2021. "Modelling uncertainty in coupled electricity and gas systems—Is it worth the effort?," Applied Energy, Elsevier, vol. 285(C).
  30. Alexander Franz & Julia Rieck & Jürgen Zimmermann, 2019. "Fix-and-optimize procedures for solving the long-term unit commitment problem with pumped storages," Annals of Operations Research, Springer, vol. 274(1), pages 241-265, March.
  31. Schulte Beerbühl, S. & Fröhling, M. & Schultmann, F., 2015. "Combined scheduling and capacity planning of electricity-based ammonia production to integrate renewable energies," European Journal of Operational Research, Elsevier, vol. 241(3), pages 851-862.
  32. Kuttner, Leopold, 2022. "Integrated scheduling and bidding of power and reserve of energy resource aggregators with storage plants," Applied Energy, Elsevier, vol. 321(C).
  33. Dillig, Marius & Jung, Manuel & Karl, Jürgen, 2016. "The impact of renewables on electricity prices in Germany – An estimation based on historic spot prices in the years 2011–2013," Renewable and Sustainable Energy Reviews, Elsevier, vol. 57(C), pages 7-15.
  34. Mirakyan, Atom & De Guio, Roland, 2015. "Modelling and uncertainties in integrated energy planning," Renewable and Sustainable Energy Reviews, Elsevier, vol. 46(C), pages 62-69.
  35. Santos, Maria João & Ferreira, Paula & Araújo, Madalena, 2016. "A methodology to incorporate risk and uncertainty in electricity power planning," Energy, Elsevier, vol. 115(P2), pages 1400-1411.
  36. Uritskaya, Olga Y. & Uritsky, Vadim M., 2015. "Predictability of price movements in deregulated electricity markets," Energy Economics, Elsevier, vol. 49(C), pages 72-81.
  37. Ambrosius, M. & Egerer, J. & Grimm, V. & Weijde, A.H. van der, 2020. "Uncertain bidding zone configurations: The role of expectations for transmission and generation capacity expansion," European Journal of Operational Research, Elsevier, vol. 285(1), pages 343-359.
  38. Riepin, Iegor & Schmidt, Matthew & Baringo, Luis & Müsgens, Felix, 2022. "Adaptive robust optimization for European strategic gas infrastructure planning," Applied Energy, Elsevier, vol. 324(C).
  39. Jochen Gönsch & Michael Hassler, 2016. "Sell or store? An ADP approach to marketing renewable energy," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 38(3), pages 633-660, July.
  40. Kueppers, Martin & Paredes Pineda, Stephany Nicole & Metzger, Michael & Huber, Matthias & Paulus, Simon & Heger, Hans Joerg & Niessen, Stefan, 2021. "Decarbonization pathways of worldwide energy systems – Definition and modeling of archetypes," Applied Energy, Elsevier, vol. 285(C).
  41. Bazmi, Aqeel Ahmed & Zahedi, Gholamreza, 2011. "Sustainable energy systems: Role of optimization modeling techniques in power generation and supply—A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 15(8), pages 3480-3500.
  42. Hannes Schwarz & Valentin Bertsch & Wolf Fichtner, 2018. "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," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(1), pages 265-310, January.
  43. Finke, Jonas & Bertsch, Valentin, 2022. "Implementing a highly adaptable method for the multi-objective optimisation of energy systems," MPRA Paper 115504, University Library of Munich, Germany.
  44. Stephan Nagl, Michaela Fursch, and Dietmar Lindenberger, 2013. "The Costs of Electricity Systems with a High Share of Fluctuating Renewables: A Stochastic Investment and Dispatch Optimization Model for Europe," The Energy Journal, International Association for Energy Economics, vol. 0(Number 4).
  45. Ringler, Philipp & Keles, Dogan & Fichtner, Wolf, 2017. "How to benefit from a common European electricity market design," Energy Policy, Elsevier, vol. 101(C), pages 629-643.
  46. Daniel Hach & Stefan Spinler, 2018. "Robustness of capacity markets: a stochastic dynamic capacity investment model," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 40(2), pages 517-540, March.
  47. Blanco, Herib & Leaver, Jonathan & Dodds, Paul E. & Dickinson, Robert & García-Gusano, Diego & Iribarren, Diego & Lind, Arne & Wang, Changlong & Danebergs, Janis & Baumann, Martin, 2022. "A taxonomy of models for investigating hydrogen energy systems," Renewable and Sustainable Energy Reviews, Elsevier, vol. 167(C).
  48. Niels Haldrup & Oskar Knapik & Tommaso Proietti, 2016. "A generalized exponential time series regression model for electricity prices," CREATES Research Papers 2016-08, Department of Economics and Business Economics, Aarhus University.
  49. Iegor Riepin & Thomas Mobius & Felix Musgens, 2020. "Modelling uncertainty in coupled electricity and gas systems -- is it worth the effort?," Papers 2008.07221, arXiv.org, revised Sep 2020.
  50. Muche, Thomas, 2014. "Optimal operation and forecasting policy for pump storage plants in day-ahead markets," Applied Energy, Elsevier, vol. 113(C), pages 1089-1099.
  51. Pineau, Pierre-Olivier & Rasata, Hasina & Zaccour, Georges, 2011. "Impact of some parameters on investments in oligopolistic electricity markets," European Journal of Operational Research, Elsevier, vol. 213(1), pages 180-195, August.
  52. Keles, Dogan & Dehler-Holland, Joris, 2022. "Evaluation of photovoltaic storage systems on energy markets under uncertainty using stochastic dynamic programming," Energy Economics, Elsevier, vol. 106(C).
  53. Fichtner, Stephan & Meyr, Herbert, 2019. "Biogas plant optimization by increasing its exibility considering uncertain revenues," Hohenheim Discussion Papers in Business, Economics and Social Sciences 07-2019, University of Hohenheim, Faculty of Business, Economics and Social Sciences.
  54. Schwarz, Hannes & Bertsch, Valentin & Fichtner, Wolf, 2015. "Two-stage stochastic, large-scale optimization of a decentralized energy system - a residential quarter as case study," Working Paper Series in Production and Energy 10, Karlsruhe Institute of Technology (KIT), Institute for Industrial Production (IIP).
  55. Nagl, Stephan & Fürsch, Michaela & Lindenberger, Dietmar, 2012. "The costs of electricity systems with a high share of fluctuating renewables - a stochastic investment and dispatch optimization model for Europe," EWI Working Papers 2012-1, Energiewirtschaftliches Institut an der Universitaet zu Koeln (EWI).
  56. Olga Y. Uritskaya & Vadim M. Uritsky, 2015. "Predictability of price movements in deregulated electricity markets," Papers 1505.08117, arXiv.org.
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