Related papers: Utilizing the redundant constraints for the uplift…
This paper studies the efficiency of battery storage operations in electricity markets by comparing the social welfare gain achieved by a central planner to that of a decentralized profit-maximizing operator. The problem is formulated in a…
Standard economic dispatch problems that consider line losses are linear approximations of a non-convex economic dispatch problem formulated by fixing voltage magnitudes and assuming the decoupling of real and reactive power. This paper…
Increased uncertainty due to high penetration of renewables imposes significant costs to the system operators. The added costs depend on several factors including market design, performance of renewable generation forecasting and the…
Distribution locational marginal prices (DLMPs) facilitate the efficient operation of low-voltage electric power distribution systems. We propose an approach to internalize the stochasticity of renewable distributed energy resources (DERs)…
Power systems Unit Commitment (UC) problem determines the generator commitment schedule and dispatch decisions to realize the reliable and economic operation of power networks. The growing penetration of stochastic renewables and demand…
This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…
We consider the pricing problem facing a seller of a contingent claim. We assume that this seller has some general level of partial information, and that he is not allowed to sell short in certain assets. This pricing problem, which is our…
Pricing multi-interval economic dispatch of electric power under operational uncertainty is considered in this two-part paper. Part I investigates dispatch-following incentives of profit-maximizing generators and shows that, under mild…
This paper studies distributed convex optimization with both affine equality and nonlinear inequality couplings through the duality analysis. We first formulate the dual of the coupling-constraint problem and reformulate it as a consensus…
We associate with each convex optimization problem, posed on some locally convex space, with infinitely many constraints indexed by the set T, and a given non-empty family H of finite subsets of T, a suitable Lagrangian-Haar dual problem.…
Pricing multi-interval economic dispatch of electric power under operational uncertainty is considered in this two-part paper. Part I investigates dispatch-following incentives for generators under the locational marginal pricing (LMP) and…
Although the specific structures of electricity markets are diverse around the world, they were all conceived on the premise of predictable, controllable generation with nonnegligible marginal costs. Recent changes, specifically, the…
We propose a modified primal-dual method for general convex optimization problems with changing constraints. We obtain properties of Lagrangian saddle points for these problems which enable us to establish convergence of the proposed…
Risk-neutral pricing dictates that the discounted derivative price is a martingale in a measure equivalent to the economic measure. The residual ambiguity for incomplete markets is here resolved by minimising the entropy of the price…
The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…
We investigate approximately optimal mechanisms in settings where bidders' utility functions are non-linear; specifically, convex, with respect to payments (such settings arise, for instance, in procurement auctions for energy). We provide…
The continuous nonlinear resource allocation problem (CONRAP) has broad applications in economics, engineering, production and inventory management, and often serves as a subproblem in complex programming. Without relying on monotonicity…
We present new formulations of the stochastic electricity market clearing problem based on the principles of stochastic programming. Previous analyses have established that the canonical stochastic programming model effectively captures the…
In an electric power system, demand fluctuations may result in significant ancillary cost to suppliers. Furthermore, in the near future, deep penetration of volatile renewable electricity generation is expected to exacerbate the variability…
Binary optimization is a central problem in mathematical optimization and its applications are abundant. To solve this problem, we propose a new class of continuous optimization techniques which is based on Mathematical Programming with…