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Visiting Researchers in 2024
Dr Jannik Haas
Dr Hans Christian Gils
Manuel Wetzel
Prof. Michael Ferris
Current Graduate Students
Dominic Keehan
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Electric Power Optimization Centre
EPOC Publications
2024
On the out-of-sample performance of stochastic dynamic programming and model predictive control (updated) (pdf)

Capacity planning of renewable energy systems using stochastic dual dynamic programming (updated) (pdf)

Electricity dispatch and pricing using agent decision rules (updated) (pdf)

The architecture of green energy systems (updated) (pdf)

Electricity dispatch and pricing using agent decision rules

Capacity planning of renewable energy systems using stochastic dual dynamic programming (pdf)

The architecture of green energy systems

Sample average approximation and model predictive control for multistage stochastic optimization (pdf)

2023
Capacity planning of renewable energy systems using stochastic dual dynamic programming (replaced)

Renewable electricity capacity planning with uncertainty at multiple scales (pdf)

Sample average approximation and model predictive control for inventory optimization (pdf)

Using JADE to analyse pumped storage in New Zealand (pdf)

2021
Price discovery can be inefficient (pdf)

Welfare-maximizing transmission capacity expansion under uncertainty (pdf)

2020
Benchmarking wholesale electricity markets: 2017 update (pdf)

JuDGE.jl:a Julia package for optimizing capacity expansion (html)

100% renewable electricity with storage (revised) (pdf)

Transmission capacity expansion using JuDGE (pdf)

Improving sample average approximation using distributionally robust optimization (pdf)

2019
Improving sample average approximation using distributionally robust optimization (replaced)

100% renewable electricity with storage (pdf)

Efficiency of the New Zealand wholesale electricity market 2008-2017 (being updated) (pdf)

Appendix to Efficiency of the New Zealand wholesale electricity market 2008-2017 (revised) (pdf)

Dynamic risked equilbrium (revised) (pdf)

Efficiency of the New Zealand wholesale electricity market 2008-2017 (replaced)

Appendix to Efficiency of the New Zealand wholesale electricity market 2008-2017 (replaced)

Robust sample average approximation with small sample sizes (pdf)

2018
Benchmarking wholesale hydroelectricity markets with risk-averse agents (pdf)

On stochastic auctions in risk-averse electricity markets with uncertain supply (pdf)

Dynamic risked equilbrium (pdf)

Security of Supply in the New Zealand Electricity Market (pdf)

Infinite-Horizon in Stochastic Dual Dynamic Programming (pdf)

Multistage Stochastic Demand-side Management for Price-Making Major Consumers of Electricity (pdf)

MIDAS: A Mixed Integer Dynamic Approximation Scheme (updated) (pdf)

Dynamic risked equilbrium (replaced)

Value of transmission capacity in electricity markets with risk averse agents (pdf)

The New Zealand Electricity Market: challenges of a renewable energy system (pdf)

Stochastic dual dynamic programming with stagewise dependent objective uncertainty (html)

A deterministic algorithm for solving multistage stochastic minimax dynamic programmes (html)

Market power and forward prices (pdf)

Forward commodity trading with private information (updated) (pdf)

2017
Market power and forward prices (replaced)

A deterministic algorithm for solving multistage stochastic programming problems (html)

Distributionally robust SDDP (pdf)

Forward commodity trading with private information (replaced)

On supply function equilibria in radial transmission networks (updated) (pdf)

On risk averse competitive equilibrium (pdf)

Single and Multisettlement Approaches to Market Clearing Under Demand Uncertainty (html)

Co-optimization of Demand Response and Reserve Offers for a Major Consumer (html)

On payment mechanisms for electricity markets with uncertain supply (pdf)

Forward commodity trading with private information

On the marginal value of water for hydroelectricity (pdf)

2016
Supply function equilibrium with taxed benefits (updated) (html)

Operations Research 2017, 65:1, 1–18
Non-invasive test scheduling of the grid over live electricity markets (pdf)

Interfaces (DOI 10.1287/inte.2016.0865)
Investment and generation optimization in electricity systems with intermittent supply (updated) (pdf)

Congestion management in a stochastic dispatch model for electricity markets (link)

Integrating consumption and reserve strategies for large consumers in electricity markets

Lecture Notes in Economics and Mathematical Systems, 2016, 682, pp 23–30
A column generation approach for solving generation expansion planning problems with high renewable energy penetration (html)

Electric Power Systems Research, 136, Pages 232–241
MIDAS: A Mixed Integer Dynamic Approximation Scheme (removed) (pdf)

Electricity retail contracting under risk aversion (html)

European Journal of Operations Research, 251(3):846–859 (2016)
Pricing wind: a revenue adequate, cost recovering uniform auction for electricity markets with intermittent generation (html)

Investment and generation optimization in electricity systems with intermittent supply (updated) (pdf)

2015
Supply function equilibrium with taxed benefits (replaced)

Boomer-Consumer: a model for load consumption and reserve offers in reserve constrained electricity markets (link)

Computational Management Science 09/2015; DOI:10.1007/s10287–015–0241–2
Equilibrium, uncertainty and risk in hydro-thermal electricity systems (updated) (pdf)

Supply function equilibria in networks with transport constraints (updated)

Supply function equilibrium with taxed benefits (updated) (pdf)

Stochastic inflow modelling for hydropower scheduling problems (pdf)

Intra-day uncertainty and efficiency in electricity markets (Masters Thesis) (pdf)

Investment and generation optimization in electricity systems with intermittent supply (replaced) (pdf)

Improving the performance of Stochastic Dual Dynamic Programming (updated) (pdf)

2014
Equilibrium, uncertainty and risk in hydro-thermal electricity systems (replaced) (pdf)

Supply function equilibrium with taxed benefits (updated) (replaced)

On the convergence of decomposition methods for multistage stochastic convex programs (updated) (pdf)

Integrating Consumption and Reserve Strategies for Large Consumers in Electricity Markets (pdf)

Supply Function Equilibria in Markets with Reserve Constrained Transmission Lines (pdf)

2013
Equilibrium, uncertainty and risk in hydro-thermal electricity systems (replaced)

Market Clearing Mechanisms under Demand Uncertainty (pdf)

Optimization of demand response through peak shaving (pdf)

The effects of stochastic market clearing on the cost of wind integration: a case of New Zealand electricity market (pdf)

Supply function equilibria in networks with transport constraints (updated) (replaced)

Deterministic vs stochastic settlement approaches to market clearing mechanisms under demand uncertainty (pdf) (companion)

On the convergence of decomposition methods for multistage stochastic convex programs (replaced)

Models for estimating the performance of electricity markets with hydro-electric reservoir storage (updated) (pdf)

Models for estimating the performance of electricity markets with hydro-electric reservoir storage (replaced)

2012
Modelling counter-intuitive effects on cost and air pollution from intermittent generation (pdf)

Reserve Constraints in Co-optimized Electricity Markets (pdf) (companion, pdf)

Taxation and supply-function equilibrium (pdf)

Supply function equilibria in networks with transport constraints (replaced)

On solving multistage stochastic programs with coherent risk measures (pdf)

An electricity procurement model with energy and peak charges (pdf)

Modelling Network Constrained Economic Dispatch Problems (revision) (pdf)

Improving the performance of Stochastic Dual Dynamic Programming (replaced)

Line capacity expansion and transmission switching in power systems with large-scale wind power (revision) (pdf)

Investment in electricity networks with transmission switching (revision) (pdf)

On the convergence of decomposition methods for multi-stage stochastic convex programs (replaced)

Single and multi-settlement approaches to market clearing mechanisms under demand uncertainty (pdf)

Electricity contracting and policy choices under risk-aversion (pdf)

2011
Line capacity expansion and transmission switching in power systems with large-scale wind power (pdf)

Investment in electricity networks with transmission switching (pdf)

Mixed strategies in discriminatory divisible-good auctions (updated version) (pdf)

On cutting plane algorithms and dynamic programming for hydroelectricity generation (pdf)

Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion (revision) (pdf)

Short-term variations in wind power: Some quantile-type models for probabilistic forecasting (link)

Wind Energy, Volume 14, 2, 255–269 (2011)
Market clearing mechanisms for efficiently incorporating renewable energy and mitigating CO2 (pdf)

2010
Modelling Network Constrained Economic Dispatch Problems (revision) (pdf)

Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion (pdf)

Productive inefficiency in electricity markets with hydro generation (pdf)

Allocating physical capacity rights on an electricity transmission line (pdf)

Modeling uncertainty in optimization problems (pdf)

Mixed strategies in discriminatory divisible-good auctions (updated version) (pdf)

A Survey of Utilization of Optimization for Generation in Wholesale Electricity Markets (pdf)

Swapping Generators' Assets: Market Salvation or Wishful Thinking? (pdf)

2009
Mixed strategies in discriminatory divisible-good auctions (pdf)

Modelling Network Constrained Economic Dispatch Problems (pdf)

Infrastructure Improvements and Total Welfare in an Electricity Market with Fuel Network (link)

IEEE Transactions on Power Systems, 25(3):1337–1349 (2010)
A single-settlement energy-only electric power market for unpredictable and intermittent participants (pdf)

2008
Carbon Charges in Electricity Markets with Strategic Behavior and Transmission (link)

The Energy Journal, 31(4):159–166 (2010)
On carbon charges and electricity prices (pdf)

2007
On the convergence of sampling-based methods for multi-stage stochastic linear programs (pdf)

A tutorial on stochastic programming (pdf)

On coincident-peak and anytime-peak transmission charges (pdf)

2006
On Cournot equilibria in electricity transmission networks (link)

Operations Research, 58(4, part 2 of 2):1194–1209 (2010)
A Stochastic Programming Approach to Electric Energy Procurement for Large Consumers (pdf)

Non-parametric estimation of market distribution functions in electricity pool markets (pdf)

Column Generation for Design of Survivable Electricity Distribution Networks (pdf)

On setting penalty parameters in electricity optimal dispatch software (pdf)

Unit Commitment in Electricity Pool Markets (pdf)

2005
Modelling the Effects of Interconnection Between Electricity Markets (pdf)

Dantzig-Wolfe decomposition for solving multi-stage stochastic capacity planning problems (pdf)

Operations Research, 57(5):1271–1286 (2009)
Optimizing Demand-Side Bids in Day-Ahead Electricity Markets (pdf)

Hydroelectric Reservoir Optimization in a Pool Market (pdf)

2004
On the convergence of sampling-based decomposition algorithms for multistage stochastic programs (pdf)

Electricity distribution network expansion planning (pdf)

Pulp mill electricity demand management (pdf)

On models for estimating the effect on prices of CO2 charges (pdf)

On load shedding and transmission grid security (pdf)

An electricity market game between consumers, retailers and network operators (pdf)

Market distribution functions in the electric power industry (link)

Mathematics of Operations Research, 31(3):621–636 (2006)
On Financial Transmission Rights in Electricity Pool Markets (pdf)

2003
Estimation of electricity market distribution functions (pdf)

Offer Stack Optimisation in Electricity Pool Markets (link)

Operations Research, 51(3):397–408 (2003)
The must-run dispatch auction in an electricity market (link)

Energy Economics, 24(3):199–216 (2002)
2002
On Supply Function Bidding in Electricity Markets

In "Decision Making Under Uncertainty: Energy and Environmental Models", F. Auzerais, R. Burrage, C. Greengard, A. Ruszczynski, ed. Springer–Verlag, 2002
Optimal Offer Construction in Electricity Markets (link)

Mathematics of Operations Research, 27(1):82–100 (2002)
Using Supply Functions for Offering Generation into an Electricity Market (link)

Operations Research, 50(3):477–489 (2002)
2001
Market Offering Strategies for Hydro-electric Generators (link)

Operations Research 51(4):602–612 (2003)
2000
Hydro-electric unit commitment subject to uncertain demand (link)

European Journal of Operational Research, 125(2):410–424 (2000)
1999
Experiments with Load Flow Pricing Models (pdf)