Optimizes storage valuation using variational analysis.
problem Optimizing intrinsic storage valuation.
method Variational analysis to solve the problem.
result The optimal exercise strategy is revealed, and the solution depends on different constraint types.
Paper provides a method to price electricity storage contracts using COS technique.
problem Valuation of electricity storage contracts considering physical and operational constraints.
method Uses Fourier-based COS method to price contracts based on stochastic polynomial process.
result The COS method accurately and efficiently prices electricity storage contracts.
This paper focuses on the valuation and hedging of gas storage facilities, using a spot-based valuation framework coupled with a financial hedging strategy implemented with futures contracts. The first novelty consist in proposing a model that unifies the dynamics of the futures curve and the spot price, which accounts…
Unified algorithm for solving stochastic storage problems using statistical learning.
problem Solving stochastic storage problems through regression Monte Carlo methods.
method Developed the dynamic emulation algorithm (DEA) that unifies different approaches.
result Illustrated the DEA template with examples from natural gas storage and microgrid control.
In this paper we treat a gas storage valuation problem as a Markov Decision Process. As opposed to existing literature we model the gas price process as a regime-switching model. Such a model has shown to fit market data quite well in Chen and Forsyth (2010). Before we apply a numerical algorithm to solve the problem, …
New method assesses energy storage value beyond cost reduction.
problem Improving energy storage value beyond cost reduction.
method Market potential method to evaluate and compare energy storage technologies.
result High-cost hydrogen storage can be more valuable than low-cost hydrogen storage.
The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most important features of the optimal exercise strategy. We show how the solution depends on different constraint types including carr…
Proposes a new model for simulating electricity prices and their correlation structure.
problem Simulating and understanding the complex dynamics of intraday electricity prices.
method Develops a multidimensional statistical model based on Poisson measures, estimating three key parameters.
result Demonstrates the model's effectiveness in battery valuation through dynamic programming.
We consider a class of discrete time stochastic control problems motivated by some financial applications. We use a pathwise stochastic control approach to provide a dual formulation of the problem. This enables us to develop a numerical technique for obtaining an estimate of the value function which improves on purely…
The paper analyzes profitable bidding strategies for BESS in day-ahead and intraday markets.
problem Optimizing profitability of Battery Energy Storage Systems (BESS) in day-ahead and intraday markets.
method Employing the rolling intrinsic approach to model continuous intraday markets, accounting for bid-ask spreads and liquidity constraints.
result Multi-market bidding strategies outperform single-market participation, and relaxing daily cycling constraints can unlock additional value.
The paper applies deep learning to solve complex control problems.
problem Solving stochastic control problems on finite horizons.
method Deep neural networks algorithms for control learning.
result Performance of algorithms on various control problems demonstrated.
Game theory models storage investment to balance market competition and profits.
problem Strategic storage investment impacts electricity market prices and revenues.
method Formulated a non-cooperative game between investors to model strategic storage decisions.
result Increasing storage capacity reduces individual profits but increases total investment.
Study on energy storage's impact on electricity prices and profitability.
problem Analyzing the profitability of energy storage in electricity markets.
method Characterized optimal operating strategy for storage systems, determined equilibrium price in a market with storage, renewables, and conventional producers, and characterized price process using stochastic differential equations.
result Increased average revenues and interquantile ranges for storage assets in energy transition scenarios.
Paper introduces new actuarial-consistent valuations for insurance liabilities.
problem Valuation of insurance liabilities considering both financial and actuarial risks.
method Proposes two-step actuarial valuations and actuarial-consistent procedures.
result Actuarial-consistent valuations are equivalent to two-step actuarial valuations under coherence.
Generative models improve carbon storage site prediction using Bayesian inversion.
problem Predicting suitable geologic sites for long-term carbon dioxide storage.
method Generative adversarial networks and Bayesian inversion to condition models on physical measurements and historic data.
result Improved resolution of carbon dioxide storage capacity forecasts.
Paper proposes a risk-averse approach to energy storage price arbitrage using conformal uncertainty quantification.
problem Inherent volatility and uncertainty of real-time electricity prices create financial risks for storage arbitrage.
method Two-layer prediction model with conformal uncertainty quantification for high coverage of real-time price uncertainty.
result The framework achieves good profit margins with minimal losses, demonstrating effectiveness in real-time market.
Paper recovers uncertainty from dynamic valuation rules.
problem Recovering latent uncertainty from observable valuation rules.
method Developed procedures to identify and characterize uncertainty structures from valuation rules.
result Valuation rules contain sufficient information to identify and recover uncertainty structures.
It has been known for a long time that the classical spherical perceptrons can be used as storage memories. Seminal work of Gardner, \cite{Gar88}, started an analytical study of perceptrons storage abilities. Many of the Gardner's predictions obtained through statistical mechanics tools have been rigorously justified. …
Framework uses RL and simulation for optimal microgrid energy storage planning.
problem Optimal investment in diverse energy storage technologies for microgrids.
method Combines reinforcement learning with simulation-based optimization for long-term planning.
result Derives better engineering solutions for future microgrid applications.
Paper proposes a new model to assess risks in energy storage systems considering both exogenous and endogenous uncertainties.
problem Current risk assessment ignores the stochastic nature of energy storage availability.
method Data-driven unified model with exogenous and endogenous uncertainty description for four types of generic energy storage.
result Comparative results show more severe risks for endogenous uncertainty, suggesting new strategies for system operators.
Study convolution of invariant valuations on Lie groups.
problem Understanding convolution of valuations on Lie groups.
method Explicit formula for left-invariant valuations, showing existence of smooth bi-invariant valuations, defining convolution on arbitrary Lie groups.
result Unified convolution operations on Lie groups.
Study estimates risks of nuclear waste storage projects.
problem Cost and schedule risks in nuclear waste storage projects.
method Reference class of 216 past projects for cost risk, 200 for schedule risk.
result Cost and schedule risks are substantial for nuclear waste storage projects.
Complete description of valuations for indefinite orthogonal groups.
problem Classifying valuations for indefinite orthogonal groups.
method Detailed analysis of continuous and generalized translation- and group-invariant valuations.
result Identification of Klain-Schneider continuous valuations within the space of translation-invariant valuations.
SL(n) covariant valuations on Orlicz spaces are represented and characterized.
problem Representing SL(n) covariant valuations on Orlicz spaces.
method Representation theorem established for continuous, SL(n) covariant vector-valued valuations.
result Unique characterization of SL(n) covariant valuations as moment vectors.
AppStreamer reduces mobile game storage by predicting needed files.
problem Expanding storage needs of mobile games and apps.
method Predictive streaming of app files from cloud or edge servers.
result Reduces storage by 87% for Dead Effect 2 and 86% for Fire Emblem Heroes.
Paper explains accrual and mark-to-market valuation for interest rate trades.
problem Understanding the valuation differences between accrual and mark-to-market methods for interest rate trades.
method Comparison of discounted cashflow valuation to spread-based valuation, Taylor series approximation, and deferral concept.
result Simple intuition and mathematical explanation of accrual and mark-to-market adjustments.
Deep learning optimizes gas storage operations.
problem Optimizing underground natural gas storage operations.
method Reinforcement learning techniques applied to high-dimensional forward markets with constraints.
result Performance of deep learning method superior to least-squares Monte-Carlo approach.
Market valuation duration is 175 years, but drops to 46 years during crises.
problem Understanding the duration of market valuation and its impact on returns.
method Comparing market valuation ratios and dividends to estimate duration, analyzing the discount rate effect.
result Valuation duration is negatively correlated with market returns, with a robust out-of-sample R2 of 15%.
Paper simplifies default process modeling and credit valuation.
problem Modeling and pricing derivative securities with credit risk.
method Integrates default process, probability, and correlation into a unified framework.
result Risky valuation is Martingale in the proposed model.
Introduces convolution of valuations on manifolds and groups.
problem Defining and studying convolution of valuations on manifolds and groups.
method Introduces new notion of convolution, proves it as a module over compactly supported generalized valuations, and provides explicit formulas.
result Convolution is an extension of smooth translation invariant valuations on manifolds.
Business cycles affect startup valuations, both directly and indirectly.
problem How do business cycles impact startup valuations?
method Structural Equation Model approach using a dataset of 1,089 venture capital investments.
result Business cycles impact startup valuations both directly and indirectly.
RL agent learns to save costs by managing household energy storage.
problem Maximizing cost savings in smart grids with household energy storage.
method Data-driven RL agent learns from tariff structures and storage capacity.
result RL agent explains its learning process and strategies.
Classification of SL(n) covariant valuations on Orlicz spaces.
problem Classifying continuous SL(n) covariant valuations on Orlicz spaces.
method Complete classification without symmetric assumptions, focusing on moment matrix and a new functional in dimension two.
result The moment matrix is the only SL(n) covariant valuation for n≥3, and a new functional appears in dimension two.
SER tool predicts storage capacity risk with probabilistic accuracy.
problem Managing data storage growth to avoid financial losses.
method Stochastic Estimated Risk (SER) using Brownian motion with drift model.
result Probabilistic approach is more accurate for non-linear storage patterns.
We prove new kinematic formulas for tensor valuations and simplify previously known Crofton formulas by using the recently developed algebraic theory of translation invariant valuations. The heart of the paper is the computation of the Alesker-Fourier transform on the large class of spherical valuations, which is achie…
Classifies contravariant matrix-valued valuations on polytopes without continuity assumptions.
problem Classifying contravariant matrix-valued valuations on polytopes without continuity assumptions.
method Complete classification of contravariant matrix-valued valuations on polytopes in Rn without continuity assumptions. result The only such valuation is the general Lutwak-Yang-Zhang matrix in dimension n≥4, and a new function in dimension 3. Paper proposes a new method for valuing long-term annuities using real-world probability measure.
problem Valuation of long-term annuities using classical no-arbitrage methods.
method Real-world probability measure valuation, employing numéraire portfolio.
result Real-world valuation leads to lower values than classical approaches.
Study evaluates valuation models for UK companies using case studies.
problem Determining how accounting numbers affect business value.
method Comprehensive review of three valuation models: FCFVM, REVM, AEGM.
result Accounting numbers through valuation models can affect business value.
Models value assets based on non-devaluation, creating global valuation formulas.
problem Valuation of assets that can potentially lose value.
method Conditioning on non-devaluation, using each asset as a numéraire, and aggregating local valuation rules.
result Global arbitrage-free valuation formulas can be derived from local rules.
Optimizes energy storage under fluctuating prices and partial information.
problem Optimizing energy storage in a changing economic environment with partial information.
method Applying filtering theory to derive an adapted state process, solving the Hamilton-Jacobi-Bellman equation, and proving existence and uniqueness of a solution.
result Derives an optimal control policy for energy storage, proving its admissibility.
The paper extends the convolution operator to non-smooth valuations using geometric inequalities.
problem Extending the convolution operator to non-smooth valuations.
method Using geometric inequalities derived from optimal transport methods.
result Constructing a continuous extension of the convolution operator on smooth valuations to non-smooth valuations.
Study on neural networks' storage capacity and solution space structure.
problem Understanding the storage capacity and solution space structure of neural networks.
method Replica method from statistical physics.
result Storage capacity per parameter remains finite even with infinite width and weights exhibit negative correlations.
The classification of continuous, translation invariant Minkowski valuations which are contravariant (or covariant) with respect to the complex special linear group is established in a 2-dimensional complex vector space. Every such valuation is given by the sum of a valuation of degree of homogeneity 1 and 3. In dimens…
Computes tube formulas for valuations in complex space forms.
problem Computing values of valuations on complex space forms.
method Develops tube formulas for valuations in complex space forms and generalizes classical formulas.
result Generalizes classical formulas of Weyl, Gray and others.
Study kinematic formulas for quaternionic plane valuations.
problem Kinematic formulas for quaternionic plane valuations.
method Introduced different bases and determined kinematic formulas.
result Complete set of kinematic formulas for quaternionic plane valuations.
Value-tracking in financial markets breaks down when non-valuation-based traders dominate.
problem Understanding the threshold for value-tracking in financial markets.
method Simple discrete-time model to show how non-valuation-based traders can cause tracking errors.
result A threshold above which value-tracking breaks down without changes in asset value.
This paper addresses credit valuation adjustment with a new closeout convention.
problem Accurate estimation of financial claim value considering counterparty credit risk.
method Theoretical and computational analysis of a nonlinear valuation system using neural networks.
result A neural network-based algorithm effectively solves the high-dimensional nonlinear valuation system.
Existence of smooth valuations on subspaces is shown for certain conditions.
problem Existence of smooth valuations on subspaces with given restrictions.
method Analyzing compatibility and using recursive descriptions of the cosine transform.
result Compatibility is sufficient for extensibility in certain regimes.