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Dr Afzal Siddiqui

Position Senior Lecturer
Phone (external) +44(0)20 7679 1871
Phone (internal) 41871
Email(*) afzal.siddiqui
Personal webpage http://www.homepages.ucl.ac.uk/~ucakasi/
Themes General Theory and Methodology, Stochastic Modelling and Time Series

* @ucl.ac.uk 

Biographical Details

Afzal Siddiqui

Afzal Siddiqui is a Senior Lecturer in the Department of Statistical Science. Previously, he was a Lecturer in Statistics at UCL (2005-2010) and a College Lecturer in the Department of Banking and Finance at University College Dublin. After having completed his Ph.D. in Industrial Engineering and Operations Research from the University of California at Berkeley in 2002, Afzal served as a Visiting Assistant Professor in the Department of Industrial Engineering and Operations Research at UC Berkeley (2002) and a Visiting Post-doctoral Researcher at the Ernest Orlando Lawrence Berkeley National Laboratory (2002-2003). In addition, he is a Professor (20% time) at the Department of Computer and Systems Sciences of Stockholm University and a Visiting Professor at the Systems Analysis Laboratory of Aalto University.

Research Interests

Afzal's research interests are in energy economics, specifically the application of financial and operational research methods for making decisions under uncertainty and managing risk. Currently, he is using mixed-integer programming and real options to support decision making under uncertainty for distributed generation (DG) investment and operations, research and development (R&D) programmes in alternative energy technologies, and demand-side management. Since 2009, he has been involved with the ELDEV project in Trondheim, Norway, which seeks to foster closer cooperation between industry and academia, namely in the area of improved business practices for the electric power industry. He has also contributed to the development of a deterministic optimisation tool, DER-CAM, that solves a microgrid's DG investment and operational problem in detail. Ongoing work involves a UK Energy Research Centre project on the use of real options in energy-sector decarbonisation as well as coordination of an EU FP7 project, EnRiMa, which aims to use stochastic optimisation in order to improve energy efficiency and manage risk in European public buildings. 

Current and Former Research Students


Selected Publications

Book Chapter

  • Wiser, R., Pickle, S., Siddiqui, A. (2003). The California Power Sector. In Gomez, T., Rothwell, G. (Eds.). Principles of Electricity Economics: Regulation and Deregulation ( pp.129-160).
  • Siddiqui, A. S., Marnay, C., Khavkin, M. (2000). Competitive Ancillary Service Procurement in California. In Friedrich, K., Wallner, W. (Eds.). Energieinnovation im liberalisierten markt ( pp.133-138). Springer.
  • Takashima, R., Siddiqui, A. S., Nakada, S. Investment Timing, Capacity Sizing, and Technology Choice of Power Plants. In Sorokin, A., Rebennack, S., Iliadis, N., Pereira, M., Pardalos, P. (Eds.). Handbook of Networks in Power Systems ( ). Springer. [Accepted]

    • Conference

  • Chronopoulos, M., De Reyck, B., Siddiqui, A. (2009). Optimal Investment and Operational Decision-Making under Risk Aversion and Uncertainty. INFORMS MSOM and SIG Meetings. Cambridge, MA, USA:
  • Coville, A., Siddiqui, A., Vogstad, K. -. O. (2009). The Effect of Missing Data on Wind Resource Estimation. 32nd International Conference of the International Association for Energy Economics. San Francisco, CA, USA:
  • Marnay, C., Lai, J., Stadler, M., Siddiqui, A. (2009). Added Value of Reliability to a Microgrid: Simulations of Three California Buildings. Cigré-PES Symposium on Integration of Wide-Scale Renewable Resources into the Power Delivery System General Meeting PES. Calgary, AB, Canada:
  • Stadler, M., Marnay, C., Siddiqui, A., Lai, J., Aki, H. (2009). Integrated Building Energy Systems Design Considering Storage Technologies. 2009 European Council for an Energy Efficient Economy Summer Study. La Colle sur Loup, France:
  • Stadler, M., Siddiqui, A., Marnay, C., Aki, H. (2009). Optimal Technology Investment and Operation in Zero-Net-Energy Buildings with Demand Response. 22nd Annual Western Conference of the Center for Research in Regulated Industries. Monterey, CA, USA:
  • Heydari, S., Siddiqui, A. (2008). Valuing a Gas-Fired Power Plant: a Comparison of Ordinary Linear Models, Regime-Switching Approaches, and Models with Stochastic Volatility. 31st International Conference of the International Association for Energy Economics. Istanbul, Turkey:
  • Rocha, P., Siddiqui, A. (2008). Risk Analysis of Interruptible Load Contracts. 5th International Conference on Computational Management Science. London, UK:
  • Siddiqui, A., Fleten, S. -. E. (2008). How to Proceed with the Thorium Nuclear Technology: a Real Options Analysis. 3rd Conference on Energy Economics and Technology. Dresden, Germany:
  • Stadler, M., Aki, H., Firestone, R., Lai, J., Marnay, C., Siddiqui, A. (2008). Distributed Energy Resources On-Site Optimization for Commercial Buildings with Electric and Thermal Storage Technologies. 2008 American Council for an Energy Efficient Economy Summer Study. Pacific Grove, CA, USA:
  • Marnay, C., Venkataramanan, G., Stadler, M., Siddiqui, A., Firestone, R., Chandran, B. (2007). Optimal Technology Selection and Operation of Microgrids in Commercial Buildings. IEEE Power Engineering Society General Meeting.
  • Siddiqui, A., Maribu, K. (2007). Investment and upgrade in distributed generation under uncertainty. Real Options Conference. Berkeley, CA, USA: Author URL
  • Maribu, K., Firestone, R., Marnay, C., Siddiqui, A. (2006). Distributed energy resources market diffusion model. ENERGEX 2006: The 11th International Energy Conference and Exhibition. Stavanger, Norway:
  • Siddiqui, A., Marnay, C. (2006). Distributed generation investment by a microgrid under uncertainty. 19th Mini-EURO Conference: Operational Research Models and Methods in the Energy Sector. Coimbra, Portugal:
  • Siddiqui, A., Marnay, C. (2006). Operation of Distributed Generation under Stochastic Prices. 29th International Conference of the International Association for Energy Economics. Potsdam/Berlin, Germany:
  • Siddiqui, A., Bartholomew, E., Marnay, C., Oren, S. (2004). Risk Aversion and the New York Independent System Operator’s Market for Transmission Congestion Contracts. 6th European Conference of the International Association for Energy Economics. Zurich, Switzerland:
  • Marnay, C., Hamachi, K., Khavkin, M., Siddiqui, A. (2001). Direct Participation of Electrical Loads in the California Independent System Operator Markets During the Summer of 2000. 2001 European Council for an Energy Efficient Economy Summer Study. Mandelieu, France:
  • Siddiqui, A., Marnay, C., Hamachi, K., Rubio, F. J. (2001). Customer Adoption of Small-Scale On-Site Power Generation. 2001 European Council for an Energy Efficient Economy Summer Study. Mandelieu, France:
  • Siddiqui, A., Marnay, C., Khavkin, M. (2001). Spot Pricing of Electricity and Ancillary Services in a Competitive California Market. 34th Hawaii International Conference on Systems Sciences. Maui, HI, USA:
  • Siddiqui, A. S., Stadler, M., Marnay, C., Lai, J. Optimal Control of Distributed Energy Resources and Demand Response under Uncertainty. 33rd International Conference Proceedings of the International Association for Energy Economics.

    • Journal Article

  • Marnay, C., Stadler, M., Siddiqui, A. S., DeForest, N., Donadee, J., Bhattacharya, P., Lai, J. (2013). Applications of Optimal Building Energy System Selection and Operation. Proceedings of the Institution of Mechanical Engineers Part A: Journal of Power and Energy 227(1), 82-93 doi:10.1177/0957650912468408.
  • Heydari, S., Ovenden, N., Siddiqui, A. (2012). Real options analysis of investment in carbon capture and sequestration technology. Computational Management Science 9(1), 109-138 doi:10.1007/s10287-010-0124-5. Publisher URL
  • Siddiqui, A. S., Takashima, R. (2012). Capacity switching options under rivalry and uncertainty. European Journal of Operational Research 222(3), 583-595 doi:10.1016/j.ejor.2012.05.034.
  • Stadler, M., Marnay, C., Kloess, M., Cardoso, G., Mendes, G., Siddiqui, A. S., Sharma, R., Mégel, O., Lai, J. (2012). Optimal Planning and Operation of Smart Grids with Electric Vehicle Interconnection. Journal of Energy Engineering 138(2), 95-108 doi:10.1061/(ASCE)EY.1943-7897.0000070.
  • Chronopoulos, M., De Reyck, B., SIDDIQUI, A. (2011). Optimal investment under operational flexibility, risk aversion, and uncertainty. European Journal of Operational Research 213(1), 221-237 doi:10.1016/j.ejor.2011.03.007.
  • Coville, A., SIDDIQUI, A., Vogstad, K. -. O. (2011). The effect of missing data on wind resource estimation. Energy 36(7), 4505-4517 doi:10.1016/j.energy.2011.03.067.
  • Fleten, S. -. E., Heggedal, A. M., SIDDIQUI, A. (2011). Transmission Capacity between Norway and Germany – a Real Options Analysis. Journal of Energy Markets 4(1), 121-147
  • Stadler, M., Siddiqui, A., Marnay, C., Aki, H., Lai, J. (2011). Control of greenhouse gas emissions by optimal DER technology investment and energy management in zero-net-energy buildings. European Transactions on Electrical Power 21(2), 1291-1309 doi:10.1002/etep.418. Author URL Publisher URL
  • Heydari, S., Siddiqui, A. (2010). Valuing a gas-fired power plant: A comparison of ordinary linear models, regime-switching approaches, and models with stochastic volatility. Energy Economics 32(3), 709-725 doi:10.1016/j.eneco.2009.10.001. Author URL
  • Siddiqui, A., Fleten, S. -. E. (2010). How to proceed with competing alternative energy technologies: A real options analysis. Energy Economics 32(4), 817-830 doi:10.1016/j.eneco.2009.12.007. Author URL
  • Siddiqui, A., Maribu, K. (2009). Investment and Upgrade in Distributed Generation under Uncertainty. Energy Economics 31(1), 25-37 doi:10.1016/j.eneco.2008.08.007.
  • Marnay, C., Venkatarmanan, G., Siddiqui, A., Stadler, M., Firestone, R., Chandran, B. (2008). Optimal Technology Selection and Operation of Commercial-Building Microgrids. IEEE Transactions on Power Systems 23(3), 975-982 doi:10.1109/TPWRS.2008.922654.
  • Siddiqui, A., Marnay, C. (2008). Distributed Generation Investment by a Microgrid under Uncertainty. Energy 33(12), 1729-1737 doi:10.1016/j.energy.2008.08.011. Author URL
  • Illindala, M., Siddiqui, A., Venkataramanan, G., Marnay, C. (2007). Localized Aggregation of Diverse Energy Sources for Rural Electrification Using Microgrids. Journal of Energy Engineering 133(3), 121-131 doi:10.1061/(ASCE)0733-9402(2007)133:3(121).
  • Maribu, K., Firestone, R., Marnay, C., Siddiqui, A. (2007). Distributed Energy Resources Market Diffusion Model. Energy Policy 35(9), 4471-4484 doi:10.1016/j.enpol.2007.03.005.
  • Siddiqui, A. S., Marnay, C., Firestone, R. M., Zhou, N. (2007). Distributed generation with heat recovery and storage. J ENERG ENG-ASCE 133(3), 181-210 doi:10.1061/(ASCE)0733-9402(2007)133:3(181).
  • Siddiqui, A. S., Marnay, C., Wiser, R. H. (2007). Real options valuation of US federal renewable energy research, development, demonstration, and deployment. Energy Policy 35(1), 265-279 doi:10.1016/j.enpol.2005.11.019.
  • Siddiqui, A., Marnay, C. (2007). Operation of distributed generation under stochastic prices. Pacific Journal of Optimization 3(3), 439-458 Author URL
  • Siddiqui, A. S., Marnay, C., Edwards, J. L., Firestone, R., Ghosh, S., Stadler, M. (2005). Effects of Carbon Tax on Microgrid Combined Heat and Power Adoption. Journal of Energy Engineering 131(1), 2-25 doi:10.1061/(ASCE)0733-9402(2005)131:1(2).
  • Siddiqui, A., Bartholomew, E., Marnay, C. (2005). Empirical Analysis of the Spot Market Implications of Price-Responsive Demand. Energy Studies Review 14(1), 136-155
  • Siddiqui, A., Bartholomew, E., Marnay, C., Oren, S. S. (2005). Efficiency of the New York Independent System Operator Market for Transmission Congestion Contracts. Managerial Finance 31(6), 1-45
  • Siddiqui, A., Marnay, C., Bailey, O., Hamachi LaCommare, K. (2005). Optimal Selection of On-Site Power Generation with Combined Heat and Power Applications. International Journal of Distributed Energy Resources 1(1), 33-62
  • Bartholomew, E., Siddiqui, A., Marnay, C., Oren, S. (2003). The New York Transmission Congestion Contract Market: Is It Truly Working Efficiently? Electricity Journal 16(9), 14-24 doi:10.1016/j.tej.2003.09.006.
  • Siddiqui, A. (2003). Managing Electricity Reliability Risk Through the Forward Markets. Networks and Spatial Economics 3(2), 225-263 doi:10.1023/A:1023964003339. Author URL
  • Siddiqui, A., Marnay, C., Khavkin, M. (2000). Excessive Price Volatility in the California Ancillary Services Markets: Causes, Effects, and Solutions. The Electricity Journal 13(6), 58-68 doi:10.1016/S1040-6190(00)00125-1.
  • Chin, D., Siddiqui, A. S. Capacity Expansion and Forward Contracting in a Duopolistic Power Sector. Computational Management Science doi:10.1007/s10287-013-0166-6. [Accepted]
  • Chronopoulos, M., De Reyck, B., Siddiqui, A. S. The Value of Capacity Sizing Under Risk Aversion and Operational Flexibility. IEEE Transactions on Engineering Management doi:10.1109/TEM.2012.2211363. [Accepted]

    • Page last modified on 17 jun 13 17:51