arXiv subjects

Lesia Mitridati

Publications and source records attributed to Lesia Mitridati.

At least 19 recordsLinked to original sources

arXiv2026

Refinement of Reliability Grid Codes in the Provision of Ancillary Services

Stochastic resources such as wind farms, electric vehicle aggregators, and demand-side assets are increasingly participating as reserve providers in ancillary service markets. To manage delivery uncertainty, system operators impose minimum reliability thresholds on such providers. Energinet, the Danish transmission system operator (TSO), has pioneered this approach through the P90 requirement, requiring stochastic providers to make accepted reserve capacity bids available with at least 90% probability. Yet this threshold is set by regulatory convention, not optimization: no existing framework treats it as a design variable or characterizes the cost-reliability trade-off it governs. This paper closes that gap. We develop a bilevel optimization framework in which the TSO in the upper level sets the reliability threshold endogenously while providers in the lower levels respond through reliability-constrained bidding, with chance constraints reformulated analytically using a Weibull tail distribution. Applied to the Nordic frequency containment reserve for disturbances (FCR-D) market, the cost-optimal threshold lies below P90 in the studied cases, with cost reductions by up to 14.5% relative to the fixed standard. Dynamic hourly thresholds yield a further reduction of up to 2.4%, suggesting efficiency gains may increase in larger and more diverse reserve markets.

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arXiv2026

Truthful Production Uncertainty in Electricity Markets: A Two-Stage Mechanism

Renewable power sources have low marginal pro-duction costs, but may result in high balancing costs due to the inherent production uncertainty. Current day-ahead markets elicit only point production profiles and neglect the degree of uncertainty associated with each generating asset, preventing the market operator from accounting for balancing costs in day-ahead dispatch and ancillary service procurement. This increases total system costs and undermines market efficiency, especially in renewable-heavy power systems. To address this, we propose a new market clearing paradigm based on a two-stage mechanism, where producers report their production forecast distribution in the day-ahead stage, followed by the realized production in the real-time stage. By extending the Vickery-Clarke-Groves (VCG) payments to the two-stage setting, we show appealing properties in terms of incentive compatibility and individual rationality. An electricity market case study validates the theoretical claims, and illustrates the effectiveness of the proposed mechanism to reduce system costs.

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arXiv2026

Simplifying Preference Elicitation in Local Energy Markets: Combinatorial Clock Exchange

As distributed energy resources (DERs) proliferate, future power system will need new market platforms enabling prosumers to trade various electricity and grid-support products. However, prosumers often exhibit complex, product interdependent preferences and face limited cognitive and computational resources, hindering engagement with complex market structures and bid formats. We address this challenge by introducing a multi-product market that allows prosumers to express complex preferences through an intuitive format, by fusing combinatorial clock exchange and machine learning (ML) techniques. The iterative mechanism only requires prosumers to report their preferred package of products at posted prices, eliminating the need for forecasting product prices or adhering to complex bid formats, while the ML-aided price discovery speeds up convergence. The linear pricing rule further enhances transparency and interpretability. Finally, numerical simulations demonstrate convergence to clearing prices in approximately 15 clock iterations.

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arXiv2025

Bidding in Ancillary Service Markets: An Analytical Approach Using Extreme Value Theory

To enable the participation of stochastic distributed energy resources in ancillary service markets, the Danish transmission system operator, Energinet, mandates that flexibility providers satisfy a minimum 90% reliability requirement for reserve bids. This paper examines the bidding strategy of an electric vehicle aggregator under this regulation and develops a chance-constrained optimization model. In contrast to conventional sample-based approaches that demand large datasets to capture uncertainty, we propose an analytical reformulation that leverages extreme value theory to characterize the tail behavior of flexibility distributions. A case study with real-world charging data from 1400 residential electric vehicles in Denmark demonstrates that the analytical solution improves out-of-sample reliability, reducing bid violation rates by up to 8% relative to a sample-based benchmark. The method is also computationally more efficient, solving optimization problems up to 4.8 times faster while requiring substantially fewer samples to ensure compliance. Moreover, the proposed approach enables the construction of feasible bids with reliability levels as high as 99.95%, which would otherwise require prohibitively large scenario sets under the sample-based method. Beyond its computational and reliability advantages, the framework also provides actionable insights into how reliability thresholds influence aggregator bidding behavior and market participation. This study establishes a regulation-compliant, tractable, and risk-aware bidding methodology for stochastic flexibility aggregators, enhancing both market efficiency and power system security.

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arXiv2025

The Value of Ancillary Services for Electrolyzers

Although primarily designed for hydrogen production, electrolyzers can support power systems by providing various ancillary services, opening new revenue streams that enhance their economic viability. This paper investigates the participation of an electrolyzer in frequency-supporting reserve markets, analyzing how bid structures and activation intensities affect its value. We develop a mixed-integer linear program to co-optimize electricity procurement and reserve provision, and analytically derive the opportunity cost of reserve provision, which determines the optimal bid price. Using historical price and frequency data from western Denmark, we show that asymmetric, hourly reserve products often entail no opportunity cost and can increase profits by up to 47%. However, energy-intensive reserves may disrupt hydrogen production and risk unmet demand. Our findings reveal that flexible bidding can mitigate these risks while maintaining profitability. We also highlight the benefits of diversifying across reserve products and offer two recommendations: System operators should reconsider reserve bid structures to better accommodate electrolyzers, and electrolyzer owners should not overlook energy-intensive reserve services when hydrogen demand is flexible.

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arXiv2025

Electrolyzers Bidding in Electricity Markets under Green Hydrogen Regulations and Uncertainty

Hydrogen produced through electrolysis offers a pathway to decarbonize hard-to-abate sectors by replacing gray hydrogen derived from natural gas reforming when produced using renewable power. However, grid-connected electrolyzers may inadvertently increase power-system emissions, resulting in hydrogen whose life-cycle intensity is similar to or higher than that of gray hydrogen. To address the high cost barrier of electrolytic hydrogen, both the E.U. and U.S. have introduced subsidy schemes conditional on low associated emissions. One key requirement is temporal matching, under which a subsidy applies only to the hydrogen volume that, ex-post, can be shown to match renewable generation over each one-hour interval. This requirement exposes the electrolyzer to uncertainty in the subsidy-eligible volume and thus the value of the produced hydrogen. This paper develops an uncertainty-aware day-ahead bid curve for a grid-connected electrolyzer. We formulate a linear program that maximizes expected profit across scenarios of renewable production and derive the bid curve from its Karush-Kuhn-Tucker conditions. A case study demonstrates that incorporating renewable uncertainty into the bid curve increases electrolyzer profit by approximately 4%, although it does not improve ex-post temporal matching. This finding highlights a potential distortion in the incentive effects of temporal-matching regulations when uncertainty is taken into account.

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arXiv2025

Electricity-Aware Bid Format for Coordinated Heat and Electricity Market Clearing

Coordination between heat and electricity markets is essential to achieve a cost-effective and efficient operation of the energy system. In the current sequential market practice, the heat market is cleared before the electricity market and has no insight into the impacts of heat dispatch on the electricity market. While preserving this sequential practice, this paper introduces an electricity-aware bid format for the coordination of heat and electricity systems. This novel market mechanism defines heat bids conditionally on the day-ahead electricity prices. Prior to clearing heat and electricity markets, the proposed bid selection mechanism selects the valid bids which minimize the heat system operating cost while anticipating heat and electricity market clearing. This mechanism is modeled as a trilevel optimization problem, which we recast as a mixed-integer linear program using a lexicographic function. We use a realistic case study based on the Danish electricity and heat system and show that the proposed bid selection mechanism yields a 4.5% reduction in the total operating cost of heat and electricity systems compared to the existing market-clearing procedure while reducing the financial losses of combined heat and power plants and heat pumps due to invalid bids by up to 20.3 million euros.

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arXiv2025

Electricity Market Bidding for Renewable Electrolyzer Plants: An Opportunity Cost Approach

Hydrogen produced through electrolysis with renewable power is considered key to decarbonize several hard-to-electrify sectors. This work proposes a novel approach to model the active electricity market participation of co-located renewable energy and electrolyzer plants, based on opportunity-cost bidding. While a renewable energy plant typically has zero marginal cost, selling power to the grid carries a potential opportunity-cost of not producing hydrogen when it is co-located with a hydrogen electrolyzer. We first consider only the electrolyzer, and derive its revenue of consuming electricity based on the non-convex hydrogen production curve. We then consider the available renewable energy production and form a piece-wise linear cost curve representing the opportunity cost of selling (or revenue from consuming) various levels of electricity. This cost curve can be used to model a stand-alone electrolyzer or a co-located hydrogen and renewable energy plant participating in an electricity market. Our case study analyzes the effects of market-bidding electrolyzers on electricity markets and grid operations. We compare two strategies for a co-located electrolyzer-wind plant; one based on the proposed bid curve and one with a more conventional fixed electrolyzer consumption. The results show that electrolyzers that actively participate in the electricity market lower the average cost of electricity and the amount of curtailed renewable energy in the system compared with a fixed consumption case. However, the difference in total system emissions between the two strategies is insignificant. The specific impacts vary based on electrolyzer capacity and hydrogen price, which determines the location of the co-located plant in the electricity market merit order.

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arXiv2025

Learning Prosumer Behavior in Energy Communities: Integrating Bilevel Programming and Online Learning

Dynamic pricing through bilevel programming is widely used for demand response but often assumes perfect knowledge of prosumer behavior, which is unrealistic in practical applications. This paper presents a novel framework that integrates bilevel programming with online learning, specifically Thompson sampling, to overcome this limitation. The approach dynamically sets optimal prices while simultaneously learning prosumer behaviors through observed responses, eliminating the need for extensive pre-existing datasets. Applied to an energy community providing capacity limitation services to a distribution system operator, the framework allows the community manager to infer individual prosumer characteristics, including usage patterns for photovoltaic systems, electric vehicles, home batteries, and heat pumps. Numerical simulations with 25 prosumers, each represented by 10 potential signatures, demonstrate rapid learning with low regret, with most prosumer characteristics learned within five days and full convergence achieved in 100 days.

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arXiv2024

How Can Energy Communities Provide Grid Services? A Dynamic Pricing Mechanism with Budget Balance, Individual Rationality, and Fair Allocation

Following recent Danish legislation promoting energy communities, we explore how to enable these communities to provide grid services to distribution system operators. In particular, we focus on "capacity limitation services", where we propose a bilateral agreement in which an energy community is given reduced grid import tariffs by setting a cap to its consumption level in certain hours. This requires a coordination mechanism between the community manager and the prosumers within the community. We enable this coordination by developing a bilevel optimization model to be solved by the community manager, aiming to set dynamic, i.e., time- and prosumer-differentiated, prices. This coordination mechanism enabled by dynamic pricing ensures desirable market properties including budget balance for the community manager and individual rationality for prosumers, while encouraging (but not guaranteeing) a fair allocation of collected benefits among prosumers.

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arXiv2024

Feature-Driven Strategies for Trading Wind Power and Hydrogen

This paper develops a feature-driven model for hybrid power plants, enabling them to exploit available contextual information such as historical forecasts of wind power, and make optimal wind power and hydrogen trading decisions in the day-ahead stage. For that, we develop different variations of feature-driven linear policies, including a variation where policies depend on price domains, resulting in a price-quantity bidding curve. In addition, we propose a real-time adjustment strategy for hydrogen production. Our numerical results show that the final profit obtained from our proposed feature-driven trading mechanism in the day-ahead stage together with the real-time adjustment strategy is very close to that in an ideal benchmark with perfect information.

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arXiv2023

Privacy-Preserving Distributed Market Mechanism for Active Distribution Networks

Amidst the worldwide efforts to decarbonize power networks, Local Electricity Markets (LEMs) in distribution networks are gaining importance due to the increased adoption of renewable energy sources and prosumers. Considering that LEMs involve data exchange among independent entities, privacy and cybersecurity are some of the main practical challenges in LEM design. This paper proposes a secure market protocol using innovations from distributed optimization and Secure MultiParty Computation (SMPC). The considered LEM is formulated as an uncertainty-aware joint market for energy and reserves with affine balancing policies. To achieve scalability and enable the use of SMPC, market clearing is solved using the Consensus ADMM algorithm. Subsequently, the data exchange among participants via ADMM iterations is protected using the Shamir secret-sharing scheme to ensure privacy. The market protocol is further reinforced by a secure and verifiable settlement process that uses SMPC and ElGamal commitments to verify market quantities and by a secure recovery scheme for missing network measurements. Finally, the feasibility and performance of the proposed LEM are evaluated on a 15-bus test network.

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arXiv2023

Safe Reinforcement Learning for Strategic Bidding of Virtual Power Plants in Day-Ahead Markets

This paper presents a novel safe reinforcement learning algorithm for strategic bidding of Virtual Power Plants (VPPs) in day-ahead electricity markets. The proposed algorithm utilizes the Deep Deterministic Policy Gradient (DDPG) method to learn competitive bidding policies without requiring an accurate market model. Furthermore, to account for the complex internal physical constraints of VPPs we introduce two enhancements to the DDPG method. Firstly, a projection-based safety shield that restricts the agent's actions to the feasible space defined by the non-linear power flow equations and operating constraints of distributed energy resources is derived. Secondly, a penalty for the shield activation in the reward function that incentivizes the agent to learn a safer policy is introduced. A case study based on the IEEE 13-bus network demonstrates the effectiveness of the proposed approach in enabling the agent to learn a highly competitive, safe strategic policy.

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arXiv2023

Fair Energy Allocation in Risk-aware Energy Communities

This work introduces a decentralized mechanism for the fair and efficient allocation of limited renewable energy sources among consumers in an energy community. In the proposed non-cooperative game, the self-interested community members independently decide whether to compete or not for access to RESs during peak hours and shift their loads analogously. In the peak hours, a proportional allocation (PA) policy is used to allocate the limited RESs among the competitors. The existence of a Nash equilibrium (NE) or dominant strategies in this non-cooperative game is shown, and closed-form expressions of the renewable energy demand and social cost are derived. Moreover, a decentralized algorithm for choosing consumers' strategies that lie on NE states is designed. The work shows that the risk attitude of the consumers can have a significant impact on the deviation of the induced social cost from the optimal. Besides, the proposed decentralized mechanism with the PA policy is shown to attain a much lower social cost than one using the naive equal sharing policy.

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arXiv2022

Game-Theoretic Energy Source Allocation Mechanism in Smart-Grids

This work studies the decentralized and uncoordinated energy source selection problem for smart-grid consumers with heterogeneous energy profiles and risk attitudes: they compete for a limited amount of renewable energy in their local community, at the risk of paying a higher cost if that energy is not enough to supply all such demand. We model this problem as a non-cooperative game and study the existence of mixed-strategy Nash equilibria (NE) under the proportional allocation policy employed when the total demand for renewable energy exceeds the available one. We derive under NE closed-form expressions for the resulting total renewable energy demand and social cost under varying consumer profiles, energy costs and availability. The analysis also provides useful guidelines as to what consumers should do (compete or not) based on their risk attitude or if they should be more risk-taking, under certain conditions. Finally, we study numerically the efficiency of this decentralized scheme compared to a centralized one via the price-of-anarchy metric.

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arXiv2022

Differentially-Private Heat and Electricity Markets Coordination

Sector coordination between heat and electricity systems has been identified has an energy-efficient and cost-effective way to transition towards a more sustainable energy system. However, the coordination of sequential markets relies on the exchange of sensitive information between the market operators, namely time series of consumers' loads. To address the privacy concerns arising from this exchange, this paper introduces a novel privacy-preserving Stackelberg mechanism (w-PPSM) which generates differentially-private data streams with high fidelity. The proposed w-PPSM enforces the feasibility and fidelity of the privacy-preserving data with respect to the original problem through a post-processing phase in order to achieve a close-to-optimal coordination between the markets. Multiple numerical simulations in a realistic energy system demonstrate the effectiveness of the w-PPSM, which achieves up to two orders of magnitude reduction in the cost of privacy compared to a traditional differentially-private mechanism.

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arXiv2020

Differential Privacy for Stackelberg Games

This paper introduces a differentially private (DP) mechanism to protect the information exchanged during the coordination of sequential and interdependent markets. This coordination represents a classic Stackelberg game and relies on the exchange of sensitive information between the system agents. The paper is motivated by the observation that the perturbation introduced by traditional DP mechanisms fundamentally changes the underlying optimization problem and even leads to unsatisfiable instances. To remedy such limitation, the paper introduces the Privacy-Preserving Stackelberg Mechanism (PPSM), a framework that enforces the notions of feasibility and fidelity of the privacy-preserving information to the original problem objective. PPSM complies with the notion of differential privacy and ensures that the outcomes of the privacy-preserving coordination mechanism are close-to-optimality for each agent. Experimental results on several gas and electricity market benchmarks based on a real case study demonstrate the effectiveness of the approach.

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arXiv2019

PPSM: A Privacy-Preserving Stackelberg Mechanism: Privacy Guarantees for the Coordination of Sequential Electricity and Gas Markets

This paper introduces a differentially private mechanism to protect the information exchanged during the coordination of the sequential market-clearing of electricity and natural gas systems. The coordination between these sequential and interdependent markets represents a classic Stackelberg game and relies on the exchange of sensitive information between the system agents, including the supply and demand bids in each market or the characteristics of the systems. The paper is motivated by the observation that traditional differential privacy mechanisms are unsuitable for the problem of interest: The perturbation introduced by these mechanisms fundamentally changes the underlying optimization problem and even leads to unsatisfiable instances. To remedy such limitation, the paper introduces the Privacy-Preserving Stackelberg Mechanism (PPSM), a framework that enforces the notions of consistency and fidelity of the privacy-preserving information to the original problem objective. The PPSM has strong properties: It complies with the notion of differential privacy and ensures that the outcomes of the privacy-preserving coordination mechanisms are close-to-optimality for each agent. The fidelity property is analyzed by providing theoretical guarantees on the cost of privacy of PPSM and experimental results on several gas and electricity market benchmarks based on a real case study demonstrate the effectiveness of the approach.

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