Related papers: Utilizing the redundant constraints for the uplift…
We consider convex optimization problems with prioritized equality constraints, which may be infeasible. In many applications, such as network optimization and image reconstruction, it is often desirable to compute solutions that satisfy…
In electricity markets, customers are increasingly constrained by their budgets. A budget constraint for a user is an upper bound on the price multiplied by the quantity. However, since prices are determined by the market equilibrium, the…
Lagrangian duality in mixed integer optimization is a useful framework for problems decomposition and for producing tight lower bounds to the optimal objective, but in contrast to the convex counterpart, it is generally unable to produce…
Traditional electric energy markets do not explicitly model generator contingencies. To improve the representation of resources and to enhance the modeling of uncertainty, existing markets are moving in the direction of including generator…
We aim to derive effective lower bounds for the Discrete Cost Multicommodity Network Design Problem (DCMNDP). Given an undirected graph, the problem requires installing at most one facility on each edge such that a set of point-to-point…
In this work, we revisit a classical incremental implementation of the primal-descent dual-ascent gradient method used for the solution of equality constrained optimization problems. We provide a short proof that establishes the linear…
We develop a unified theory of augmented Lagrangians for nonconvex optimization problems that encompasses both duality theory and convergence analysis of primal-dual augmented Lagrangian methods in the infinite dimensional setting. Our goal…
We study the optimal routing problem in decentralized exchanges built on Constant Function Market Makers when trades can be split across multiple heterogeneous pools and execution incurs fixed on-chain costs (gas fees). While prior routing…
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
In this paper we formulate of the Economic Dispatch (ED) problem in Power Systems in continuous time and include in it ramping constraints to derive an expression of the price that reflects some important inter-temporal constraints of the…
The start up costs in many kinds of generators lead to complex cost structures, which in turn yield severe market loopholes in the locational marginal price (LMP) scheme. Convex hull pricing (a.k.a. extended LMP) is proposed to improve the…
This paper demonstrates a practical method for computing the solution of an expectation-constrained robust maximization problem with immediate applications to model-free no-arbitrage bounds and super-replication values for many financial…
By exploiting double-penalty terms for the primal subproblem, we develop a novel relaxed augmented Lagrangian method for solving a family of convex optimization problems subject to equality or inequality constraints. The method is then…
As load varies continuously over time, it is essential to provide continuous-time price signals that accurately reflect supply-demand balance. However, conventional discrete-time economic dispatch fails to capture the intra-temporal…
We develop an optimization model and corresponding algorithm for the management of a demand-side platform (DSP), whereby the DSP aims to maximize its own profit while acquiring valuable impressions for its advertiser clients. We formulate…
We propose a distributed solution for a constrained convex optimization problem over a network of clustered agents each consisted of a set of subagents. The communication range of the clustered agents is such that they can form a connected…
We consider a basic resource allocation game, where the players' strategy spaces are subsets of $R^m$ and cost/utility functions are parameterized by some common vector $u\in R^m$ and, otherwise, only depend on the own strategy choice. A…
Motivated by the problem of market power in electricity markets, we introduced in previous works a mechanism for simplified markets of two agents with linear cost. In standard procurement auctions, the market power resulting from the…
A fast distributed approach is developed for the market clearing with large-scale demand response in electric power networks. In addition to conventional supply bids, demand offers from aggregators serving large numbers of residential smart…
In this paper we derive robust super- and subhedging dualities for contingent claims that can depend on several underlying assets. In addition to strict super- and subhedging, we also consider relaxed versions which, instead of eliminating…