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We consider a periodic-review, fixed-lifetime perishable inventory control problem where demand is a general stochastic process. The optimal solution for this problem is intractable due to "curse of dimensionality". In this paper, we first…
Sharing economy has disrupted many industries. We foresee that electricity storage systems could be the enabler for sharing economy in electricity sector, though its implementation is a delicate task. Unlike in the 2-tier Time-of-Use (ToU)…
In this paper we consider multiple constrained resource allocation problems, where the constraints can be specified by formulating activity dependency restrictions or by using game-theoretic models. All the problems are focused on generic…
We consider an infinite dimensional optimization problem motivated by mathematical economics. Within the celebrated "Arbitrage Pricing Model", we use probabilistic and functional analytic techniques to show the existence of optimal…
This work is focused on optimal control of mechanical compression refrigeration systems. A reduced-order state-space model based on the moving boundary approach is proposed for the canonical cycle, which eases the controller design. The…
Low-carbon societies will need to store vast amounts of electricity to balance intermittent generation from wind and solar energy, for example, through frequency regulation. Here, we derive an analytical solution to the decision-making…
We construct and study market models admitting optimal arbitrage. We say that a model admits optimal arbitrage if it is possible, in a zero-interest rate setting, starting with an initial wealth of 1 and using only positive portfolios, to…
We are concerned with optimal control strategies subject to uncertain demands. An Ornstein-Uhlenbeck process describes the uncertain demand. The transport within the supply system is modeled by the linear advection equation. We consider…
Recent studies show that the fast growing expansion of wind power generation may lead to extremely high levels of price volatility in wholesale electricity markets. Storage technologies, regardless of their specific forms e.g. pump-storage…
The food production industry, especially the meat production sector, faces many challenges that have even escalated due to the recent outbreak of the energy crisis in the European Union. Therefore, efficient use of input materials is an…
Demand-side management presents significant benefits in reducing the energy load in smart grids by balancing consumption demands or including energy generation and/or storage devices in the user's side. These techniques coordinate the…
Process control and optimization have been widely used to solve decision-making problems in chemical engineering applications. However, identifying and tuning the best solution algorithm is challenging and time-consuming. Machine learning…
We study a single risky financial asset model subject to price impact and transaction cost over an finite time horizon. An investor needs to execute a long position in the asset affecting the price of the asset and possibly incurring in…
This paper studies an open question in the warehouse problem where a merchant trading a commodity tries to find an optimal inventory-trading policy to decide on purchase and sale quantities during a fixed time horizon in order to maximize…
The optimal control problem of stochastic systems is commonly solved via robust or scenario-based optimization methods, which are both challenging to scale to long optimization horizons. We cast the optimal control problem of a stochastic…
This paper investigates the energy management problem for multiple self-interested users, each with renewable energy generation as well as both the fixed and controllable loads, that all share a common energy storage system (ESS). The…
In this paper, we propose a mathematical formulation for the management of an oil production network as a multistage optimization problem. The reservoir is modeled as a controlled dynamical system by using material balance equations. We use…
Overconservatism has long been recognized as a major issue with robust optimization, despite its key advantages of tractability, performance guarantee, and limited information. To address this issue, a new criterion is proposed that can…
Incentive programs and ongoing reduction in costs are driving joint installation of solar PV panels and storage systems in residential households. There is a need for optimal investment decisions to reduce the electricity consumption costs…
This paper studies optimal thermal management and charging of a battery electric vehicle driving over long distance trips. The focus is on the potential benefits of including a heat pump in the thermal management system for waste heat…