Integrals of optimal values of random linear programming problems depending on a finite dimensional parameter are approximated by using empirical distributions instead of the original measure. Uniform convergence of the approximations is proved under fairly broad conditions allowing non-convex...

We propose a novel regime-switching approach for the simulation of electricity spot prices that is inspired by the class of fundamental models and takes into account the relation between spot and forward prices. Additionally the model is able to reproduce spikes and negative prices. Market...