Related papers: Pricing Real-time Stochastic Storage Operations
This paper proposes a novel single-level robust mathematical approach to model the RES-only Virtual Power Plant (RVPP) bidding problem in the simultaneous Day Ahead Market (DAM) and Secondary Reserve Market (SRM). The worst-case profit of…
This paper extends the single-item single-stocking location non-stationary stochastic inventory problem to relax the assumption of independent demand. We present a mathematical programming-based solution method that relaxes the assumption…
Pricing algorithms have demonstrated the capability to learn tacit collusion that is largely unaddressed by current regulations. Their increasing use in markets, including oligopolistic industries with a history of collusion, calls for…
The next generation of communication is envisioned to be intelligent communication, that can replace traditional symbolic communication, where highly condensed semantic information considering both source and channel will be extracted and…
We consider a high-dimensional dynamic pricing problem under non-stationarity, where a firm sells products to $T$ sequentially arriving consumers that behave according to an unknown demand model with potential changes at unknown times. The…
In congested urban areas, it remains a pressing challenge to reduce unnecessary vehicle circling for parking while at the same time maximize parking space utilization. In observance of new information technologies that have become readily…
The Storage Location Assignment Problem (SLAP) and the Picker Routing Problem (PRP) have received significant attention in the literature due to their pivotal role in the performance of the Order Picking (OP) activity, the most…
Global oil price is an important factor in determining many economic variables in the world's economy. It is generally modeled as a stochastic process and have been studied through different techniques by comparing the historic time series…
Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets,…
This paper presents how to apply the stochastic collocation technique to assets that can not move below a boundary. It shows that the polynomial collocation towards a lognormal distribution does not work well. Then, the potentials issues of…
We consider a general power market with price-sensitive consumer bids and non-convexities originating from supply (start-up and no-load costs, nonzero minimum output limits of generating units, etc.) and demand. The convex hull…
We consider a multi-stage stochastic lot-sizing problem with service level constraints and supplier-driven product substitution. A firm has multiple products and it has the option to meet demand from substitutable products at a cost.…
Dynamic pricing is both an opportunity and a challenge to the demand side. It is an opportunity as it better reflects the real time market conditions and hence enables an active demand side. However, demand's active participation does not…
In this paper, we study distributions that describe markets with linear stochastic demand. We express the price elasticity of expected demand in terms of the mean residual demand (MRD) function of the demand distribution and characterize…
This paper discusses the revenue management (RM) problem to maximize revenue by pricing items or services. One challenge in this problem is that the demand distribution is unknown and varies over time in real applications such as airline…
Assemble-to-order approaches deal with randomness in demand for end items by producing components under uncertainty, but assembling them only after demand is observed. Such planning problems can be tackled by stochastic programming, but…
Maintaining system balance becomes increasingly challenging as market design and grid capacity enhancement lag behind the growing share of renewables, requiring greater effort from both the transmission system operator (TSO) and the Balance…
We consider a profit maximization problem in an urban mobility on-demand service, of which the operator owns a fleet, provides both exclusive and shared trip services, and dynamically determines prices of offers. With knowledge of the…
Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…
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…