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The modelling of modern power markets requires the representation of the following main features: (i) a stochastic dynamic decision process, with uncertainties related to renewable production and fuel costs, among others; and (ii) a…

Advantages of electric vehicles (EV) include reduction of greenhouse gas and other emissions, energy security, and fuel economy. The societal benefits of large-scale adoption of EVs cannot be realized without adequate deployment of publicly…

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

In energy management, it is common that strategic investment decisions (storage capacity, production units) are made at a slow time scale, whereas operational decisions (storage, production) are made at a fast time scale: for such problems,…

In this paper, we study a Markov decision process with a non-linear discount function and with a Borel state space. We define a recursive discounted utility, which resembles non-additive utility functions considered in a number of models in…

Same-day delivery for e-commerce has become a popular service. Companies usually offer several time delivery options with the earliest one being next hour delivery. Due to tight delivery deadlines and thin margins, companies often find it…

We study merchant energy production modeled as a compound switching and timing option. The resulting Markov decision process is intractable. State-of-the-art approximate dynamic programming methods applied to realistic instances of this…

The multi-energy management framework of industrial parks advocates energy conversion and scheduling, which takes full advantage of the compensation and temporal availability of multiple energy. However, how to exploit elastic loads and…

In this paper, we develop a new method for finding an optimal biddingstrategy in sequential auctions, using a dynamic programming technique. Theexisting method assumes that the utility of a user is represented in anadditive form. Thus, the…

We study the price impact of storage facilities in electricity markets and analyze the long-term profitability of these facilities in prospective scenarios of energy transition. To this end, we begin by characterizing the optimal operating…

Scheduling a residential building short-term to optimize the electricity bill can be difficult with the inclusion of capacity-based grid tariffs. Scheduling the building based on a proposed measured-peak (MP) grid tariff, which is a cost…

This paper addresses a novel data science problem, prescriptive price optimization, which derives the optimal price strategy to maximize future profit/revenue on the basis of massive predictive formulas produced by machine learning. The…

Stochastic resetting, a method for accelerating target search in random processes, often incurs temporal and energetic costs. For a diffusing particle, a lower bound exists for the energetic cost of reaching the target, which is attained at…

We propose and solve a stochastic dynamic programming (DP) problem addressing the optimal provision of regulation service reserves (RSR) by controlling dynamic demand preferences in smart buildings. A major contribution over past dynamic…

We address the problem of scheduling water resources in a power system via approximate dynamic programming.To this goal, we model a finite horizon economic dispatch problemwith convex stage cost and affine dynamics, and consider aquadratic…

The combination of electric vehicles (EVs) and renewable energy is taking shape as a potential driver for a future free of fossil fuels. However, the efficient management of the EV fleet is not exempt from challenges. It calls for the…

The number of electric vehicles is rapidly increasing worldwide. This growth brings significant environmental benefits but also introduces new challenges: uncoordinated charging can place stress on the grid, particularly during peak hours.…

Real-time dispatch practices for operating the electric grid in an economic and reliable manner are evolving to accommodate higher levels of renewable energy generation. In particular, stochastic optimization is receiving increased…

Energy storage and demand-side response will play an increasingly important role in the future electricity system. We extend previous results on a single energy storage unit to the management of two energy storage units cooperating for the…

Operators who deploy large fleets of electric vehicles often face a challenging charge scheduling problem. Specifically, time-ineffective recharging operations limit the profitability of charging during service operations such that…