Related papers: Optimal control of electricity input given an unce…
The problem of optimal control of power distribution systems is becoming increasingly compelling due to the progressive penetration of distributed energy resources in this specific layer of the electrical infrastructure. Distribution…
Managing power grids with the increasing presence of variable renewable energy-based (distributed) generation involves solving high-dimensional optimization tasks at short intervals. Linearizing the AC power flow (PF) constraints is a…
This paper studies the optimal control of a commercial building's thermostatic load during off-peak hours as an ancillary service to the transmission system operator of a power grid. It provides an algorithmic framework which commercial…
We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…
Calibrating a trading rule using a historical simulation (also called backtest) contributes to backtest overfitting, which in turn leads to underperformance. In this paper we propose a procedure for determining the optimal trading rule…
Finding Bertram's optimal trading strategy for a pair of cointegrated assets following the Ornstein--Uhlenbeck price difference process can be formulated as an unconstrained convex optimization problem for maximization of expected profit…
This paper considers distribution systems with a high penetration of distributed, renewable generation and addresses the problem of incorporating the associated uncertainty into the optimal operation of these networks. Joint chance…
In this paper, we present an optimization algorithm based on an alternating projection method to solve the large-scale security constraint optimal power flow (SCOPF) problem in power systems. The SCOPF is first partitioned into…
In this paper, we focus on the problem of optimal portfolio-consumption policies in a multi-asset financial market, where the n risky assets follow Exponential Ornstein-Uhlenbeck processes, along with one risk-free bond. The investor's…
This paper considers the problem of controlling inverter-interfaced distributed energy resources (DERs) in a distribution grid to solve an AC optimal power flow (OPF) problem in real time. The AC OPF includes voltage constraints, and seeks…
Chance constrained optimal power flow (OPF) has been recognized as a promising framework to manage the risk from variable renewable energy (VRE). In presence of VRE uncertainties, this paper discusses a distributionally robust chance…
We consider the problem of estimating the possibly non-convex cost of an agent by observing its interactions with a nonlinear, non-stationary and stochastic environment. For this inverse problem, we give a result that allows to estimate the…
In this paper, we formulate an optimal ordering policy as a stochastic control problem where each firm decides the amount of input goods to order from their upstream suppliers based on the current inventory level of its output good. For…
In this paper we provide an algorithm which given any $m$-edge $n$-vertex directed graph with integer capacities at most $U$ computes a maximum $s$-$t$ flow for any vertices $s$ and $t$ in $m^{11/8+o(1)}U^{1/4}$ time with high probability.…
One of the major limitations of optimization-based strategies for allocating the power flow in hybrid powertrains is that they rely on predictions of future power demand. These predictions are inherently uncertain as they are dependent on…
Optimal power flow (OPF) is considered for microgrids, with the objective of minimizing either the power distribution losses, or, the cost of power drawn from the substation and supplied by distributed generation (DG) units, while effecting…
We consider a stochastic impulse control problem that is motivated by applications such as the optimal exploitation of a natural resource. In particular, we consider a stochastic system whose uncontrolled state dynamics are modelled by a…
This paper studies the timing of trades under mean-reverting price dynamics subject to fixed transaction costs. We solve an optimal double stopping problem to determine the optimal times to enter and subsequently exit the market, when…
We study a problem of utility maximization under model uncertainty with information including jumps. We prove first that the value process of the robust stochastic control problem is described by the solution of a quadratic-exponential…
This paper presents a data-driven method to find a closed-loop optimal controller, which minimizes a specified infinite-horizon cost function for systems with unknown dynamics. Suppose the closed-loop optimal controller can be parameterized…