38 citations · 105 across the 18 of their papers we have counts for
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math.OC2020★ 4 cited
Large Fluctuations in Locational Marginal Prices
Tommaso Nesti, John Moriarty, Alessandro Zocca +1
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study…
math.OC2020
Markov risk mappings and risk-sensitive optimal prediction
Tomasz Kosmala, Randall Martyr, John Moriarty
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive vers…