The Alexander Palace
The world Anastasia was born into was a world of glamor, but also a world of extreme poverty. Russian peasants had difficult lives, to say the least, and the tsar and his family lived an incredibly sheltered life behind the palace gate.
Likewise, the Romanov children were also raised in a controlled environment. They did not socialize very much beyond their immediate family; even the extensive Romanov cousins were hardly around the grand duchesses and tsarevich. Besides their native Russian and French, which was the official language of the court, the children were taught German and English, though they spoke these languages badly. The girls were dressed alike even through adulthood, and life usually revolved around the tsarevich's precarious health.
The family traveled around to various countries - royal European houses being what they were, Nicholas and Alexandra could claim relation to almost every royal family - but when they were in St. Petersburg, they lived at Tsarskoye Selo, the Tsar's Village. The grounds at Tsarskoye Selo included two palaces - the blue Catherine Palace and the yellow Alexander Palace. The Alexander Palace was favored by the family, and it was here they spent most of their time.
The palace was modernized during Nicholas's reign and included electricity and even a screening booth to show motion pictures. It was to the Alexander Palace Nicholas returned in 1917 as Colonel Romanov, rather than the Tsar of All the Russias, after his abdication. This would also be the first of three places the imperial family was held under arrest during the revolution.
thanks to Wikipedia for information and a picture!