Integration of fluctuating renewables like wind and solar power is nowadays a hot topic, but this comes at a cost of decreased stability of the power system. The deterioration often translates into so-called spikes and drops in the electricity spot price, very large (even extreme) deviations...

Electricity spot prices are characterized by sudden large movements, followed a few days later by an equally large movement in the opposite direction. These phenomena are called spikes (upward movements) and drops (downward movements). Recent research has suggested that the dynamics of the...

Iterated filtering is an algorithm for estimating parameters in partially observed Markov process (POMP) models. The real-world performance of the algorithm depends on several tuning parameters. We propose a simple method for optimizing the parameter governing the joint dynamics of the hidden...

The authors apply a class of Markov switching models (independent spike models) to six European electricity markets and two European gas markets. This paper extends the current framework by introducing Gamma distributed spikes, which improves the fit for most energy markets. The models are quite...

Robust calibration of option valuation models to quoted option prices is non-trivial but crucial for good performance. A framework based on the state-space formulation of the option valuation model is introduced. Non-linear (Kalman) filters are needed to do inference since the models have latent...

The combination of electric vehicles and renewable energy is taking shape as a potential driver for a future free of fossil fuels. However, the efficient management of the electric vehicle fleet is not exempt from challenges. It calls for the involvement of all actors directly or indirectly...

Efficient management of groundwater resources is important because groundwater availability is limited and, locally, groundwater quality has been impaired because of contamination. Here we present a multi-objective optimization framework for improving the management of a water works that...

Hoa Binh is the largest reservoir in Vietnam. It has been operated since 1990 with the main purposes of flood control in the Red River basin and hydropower generation. Because these different purposes always cause conflicts and disputes during the flood season, it is desirable to improve the...

Advances in IT, control and forecasting capabilities have made demand response a viable, and potentially attractive, option to increase power system flexibility. This paper presents a critical review of the literature in the field of demand response, providing an overview of the benefits and...

Allocation of electricity reserves is the main tool for transmission system operators to guarantee a reliable and safe real-time operation of the power system. Traditionally, a deterministic criterion is used to establish the level of reserve. Alternative criteria are given in this paper by...