Related papers: A General Stochastic Optimization Framework for Co…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
We consider an outsourcing problem where a software agent procures multiple services from providers with uncertain reliabilities to complete a computational task before a strict deadline. The service consumer requires a procurement strategy…
The emerging edge computing paradigm promises to deliver superior user experience and enable a wide range of Internet of Things (IoT) applications. In this work, we propose a new market-based framework for efficiently allocating resources…
An optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with a Distribution Market Operator (DMO) is proposed in this paper. The DMO administers the established electricity market in…
With a novel search algorithm or assortment planning or assortment optimization algorithm that takes into account a Bayesian approach to information updating and two-stage assortment optimization techniques, the current research provides a…
We consider a non-stochastic online learning approach to price financial options by modeling the market dynamic as a repeated game between the nature (adversary) and the investor. We demonstrate that such framework yields analogous…
We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…
One of the recognized principal issues brought along by the steadfast migration towards power electronic interfaced energy sources is the loss of rotational inertia. In conventional power systems, the inertia of the synchronous machines…
We analyze the problem of how to optimally bid for ad spaces in online ad auctions. For this we consider the general case of multiple ad campaigns with overlapping targeting criteria. In our analysis we first characterize the structure of…
Aggregated curves are common structures in economics and finance, and the most prominent examples are supply and demand curves. In this study, we exploit the fact that all aggregated curves have an intrinsic hierarchical structure, and thus…
In [1], a single-period co-optimization model of energy and reserve is considered to better illustrate the properties of the co-optimization model and the associated market mechanism. To make the discussion more general, in this paper, the…
Fisher markets are one of the most fundamental models for resource allocation. However, the problem of computing equilibrium prices in Fisher markets typically relies on complete knowledge of users' budgets and utility functions and…
This paper studies a distributed continuous-time aggregative optimization problem, which is a fundamental problem in the price-based energy management. The objective of the distributed aggregative optimization is to minimize the sum of…
We present here a regress later based Monte Carlo approach that uses neural networks for pricing high-dimensional contingent claims. The choice of specific architecture of the neural networks used in the proposed algorithm provides for…
Motivated by the increasing integration among electricity markets, in this paper we propose two different methods to incorporate market integration in electricity price forecasting and to improve the predictive performance. First, we…
Stochastic optimization finds a wide range of applications in operations research and management science. However, existing stochastic optimization techniques usually require the information of random samples (e.g., demands in the…
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
We are interested in the problem of optimal commitments in rank-and-bid based auctions, a general class of auctions that include first price and all-pay auctions as special cases. Our main contribution is a novel approach to solve for…
With the increasing scale of search engine marketing, designing an efficient bidding system is becoming paramount for the success of e-commerce companies. The critical challenges faced by a modern industrial-level bidding system include: 1.…
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…