Our group applies probability theory to research problems in energy. We study questions of flexibility, risk and optimisation in sustainable power systems, using techniques including real options analysis, stochastic control, optimal stopping and Markov Chain Monte Carlo methods.

News and events

06/2023 Presentation at Informs Applied Probability Society Conference 2023, Nancy

10/2022 Presentation at Workshop on Optimal Switching, Mean Field and Applications, Le Mans

10/2022 Markov risk mappings and risk-sensitive optimal prediction to appear in Mathematical Methods of Operations Research. preprint 

05/2022 Seminar at California Institute of Technology: The Pathways to Net Zero challenge 

04/2022 Presentation at industry webinar AI informing optimal pathways to net zero (YouTube)

03/2022 Hopping between distant basins to appear in Journal of Global Optimization. preprint

08/2021 A Metropolis-class sampler for targets with non-convex support to appear in Statistics and Computing. preprint

07/2021 Discrete-time risk-aware optimal switching with non-adapted costs to appear in Journal of/Advances in Applied Probability. preprint

07/2021 Opinion piece: Reinforcing the role of competition platforms to appear in Patterns. 

06/2021 The mathematics of energy systems, a theme issue of Philosophical Transactions A, to be published on 7th June 2021

06/2021 Opening talk at Princeton-Santa Barbara Workshop on Modern Power Grids: Stochastic, Statistical and Optimization Models

06/2021 Seminar at University of Oxford

06/2021 Risk-constrained minimisation of combined event detection and decision time for online transient stability assessment to appear in IEEE Transactions on Smart Grid

01/2021 Nonzero-sum games of optimal stopping and generalised Nash equilibrium to appear in SIAM Journal on Control and Optimization. preprint

01/2021 A rare-event study of frequency regulation and contingency services from grid-scale batteries to appear in Philosophical Transactions of the Royal Society A

05/2020    Large Fluctuations in Locational Marginal Prices to appear in Philosophical Transactions A. preprint

05/2020    Distributions of cascade sizes in power system emergency response accepted at PMAPS 2020. preprint

03/2020    Presentation at VALPRED2

09/2019    Closing address at UKES2019

07/2019    Continuous Professional Development workshop: Air Quality in Urban Areas: Harnessing Data to Breathe Easy

03/2019    Imbalance market real options and the valuation of storage in future energy systems to appear in Risks. preprint

03/2019    A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time to appear in Advances in Applied Probability. preprint

01/2019    The mathematics of energy systems programme opens at the Isaac Newton Institute, running for 4 months!

10/2018    Optimal control of a commercial building's thermostatic load for off-peak demand response to appear in Journal of Building Performance Simulation. preprint

09/2018    Frequency violations from random disturbances: an MCMC approach accepted at CDC2018. preprint

09/2018    Seminar at University of Sussex

09/2018    Opening address at FT Digital Energy Summit 2018

06/2018    Presentation at Symposium on Optimal Stopping, Houston

05/2018    Presentation at Statistical Inference in Energy Markets, Paris

02/2018    A solvable two-dimensional degenerate singular stochastic control problem with non convex costs to appear in Mathematics of Operations Research. preprint

12/2017    Mini-course at YEQT XI: “Winterschool on Energy Systems”, Eindhoven

07/2017    Presentations at the Conference on the Mathematics of Energy Markets, Vienna and APS 2017, Chicago

07/2017    Theme issue of Philosophical Transactions A published (guest edited by JM and P Mancarella)

06/2017    Presentation at CEM2017, Oxford

05/2017    Presentation at CWI, Amsterdam  

04/2017    Presentation at NTNU, Trondheim

04/2017    Nash equilibria of threshold type for two-player nonzero-sum games of stopping to appear in Annals of Applied Probability preprint

                 Bayesian calibration and number of jump components in electricity spot price models to appear in Energy Economics preprint 

                 Optimal entry to an irreversible investment plan with non convex costs to appear in Mathematics and Financial Economics preprint

                 Three papers to appear in a theme issue of Philosophical Transactions A on Energy Management 

03/2017    Presentation at Probabilistic Methods for Energy Networks - King's College London

01/2017    Meeting on Mathematics and Economics of Energy Markets

12/2016    Presentation at CDC, Las Vegas

06/2016    Indo-UK workshop on Energy Management (ICMS, Edinburgh)