Related papers: Reliability-Aware Probabilistic Reserve Procuremen…
Recourse provides individuals who received undesirable labels (e.g., denied a loan) from algorithmic decision-making systems with a minimum-cost improvement suggestion to achieve the desired outcome. However, in practice, models often get…
We propose multi-type probabilistic serial (MPS) and multi-type random priority (MRP) as extensions of the well known PS and RP mechanisms to the multi-type resource allocation problem (MTRA) with partial preferences. In our setting, there…
In energy systems with high shares of weather-driven renewable power sources, gas-fired power plants can serve as a back-up technology to ensure security of supply and provide short-term flexibility. Therefore, a tighter coordination…
Budget allocation for power system reliability improvement is considered among the sophisticated problems because of its nonlinear nature. This nonlinearity makes the problem intractable for large-scale power systems. This paper compares…
Flexible load at the demand-side has been regarded as an effective measure to cope with volatile distributed renewable generations. To unlock the demand-side flexibility, this paper proposes a peer-to-peer energy sharing mechanism that…
The problem of market clearing is to set a price for an item such that quantity demanded equals quantity supplied. In this work, we cast the problem of predicting clearing prices into a learning framework and use the resulting models to…
With the rise of emerging risks, model uncertainty poses a fundamental challenge in the insurance industry, making robust pricing a first-order question. This paper investigates how insurers' robustness preferences shape competitive…
This paper is concerned with particle filtering for $\alpha$-stable stochastic volatility models. The $\alpha$-stable distribution provides a flexible framework for modeling asymmetry and heavy tails, which is useful when modeling financial…
Distribution system end users are transforming from passive to active participants, marked by the push towards widespread adoption of edge-level Distributed Energy Resources (DERs). This paper addresses the challenges in distribution system…
The problem of pricing utility-scale energy storage resources (ESRs) in the real-time electricity market is considered. Under a rolling-window dispatch model where the operator centrally dispatches generation and consumption under…
High wind energy penetration critically challenges the economic dispatch of current and future power systems. Supply and demand must be balanced at every bus of the grid, while respecting transmission line ratings and accounting for the…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the…
The demand for resilient logistics networks has increased because of recent disasters. When we consider optimization problems, entropy regularization is a powerful tool for the diversification of a solution. In this study, we proposed a…
In the restructured electricity industry, electricity pooling markets are an oligopoly with strategic producers possessing private information (private production cost function). We focus on pooling markets where aggregate demand is…
The increasing demand for electricity and the aging infrastructure of power distribution systems have raised significant concerns about future system reliability. Failures in distribution systems, closely linked to system usage and…
Recoverable robust optimization is a multi-stage approach, where it is possible to adjust a first-stage solution after the uncertain cost scenario is revealed. We analyze this approach for a class of selection problems. The aim is to choose…
Leveraging recent developments in black-box risk-aware verification, we provide three algorithms that generate probabilistic guarantees on (1) optimality of solutions, (2) recursive feasibility, and (3) maximum controller runtimes for…
We study risk-aware linear policy approximations for the optimal operation of an energy system with stochastic wind power, storage, and limited fuel. The resulting problem is a sequential decision-making problem with rolling forecasts. In…
Standard procurement models assume that the buyer knows the quality of the good at the time of procurement; however, in many settings, the quality is learned only long after the transaction. We study procurement problems in which the…
In this paper we propose a stochastic model predictive control (MPC) algorithm for linear discrete-time systems affected by possibly unbounded additive disturbances and subject to probabilistic constraints. Constraints are treated in…