Related papers: Novel Quality Measure and Efficient Resolution of …
We propose a new Robust Optimization method for the energy offering problem of a price-taker generating company that wants to build offering curves for its generation units, in order to maximize its profit while taking into account the…
In this paper, we construct the utility-based optimal hedging strategy for a European-type option in the Almgren-Chriss model with temporary price impact. The main mathematical challenge of this work stems from the degeneracy of the second…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
This paper studies the procurement and pricing of inertial response using a frequency-constrained unit commitment formulation, which co-optimizes the provision of energy and inertia services while accounting for their complementary…
In today's cyber-enabled smart grids, high penetration of uncertain renewables, purposeful manipulation of meter readings, and the need for wide-area situational awareness, call for fast, accurate, and robust power system state estimation.…
Large-scale integration of renewable energy sources (RES) brings huge challenges to the power system. A cost-effective reserve deployment and uncertainty pricing mechanism are critical to deal with the uncertainty and variability of RES. To…
We present a supervised dimensionality reduction technique called Convex Linear Discriminant Analysis (ConvexLDA). The proposed model optimizes a multi-objective cost function by balancing two complementary terms. The first term pulls the…
This paper addresses the problem of optimizing charging/discharging schedules of electric vehicles (EVs) when participate in demand response (DR). As there exist uncertainties in EVs' remaining energy, arrival and departure time, and future…
This paper proposes a new algorithm that solves non-convex optimal control problems with a theoretical guarantee for global convergence to a feasible local solution of the original problem. The proposed algorithm extends the recently…
We expand our novel computational method for unit commitment (UC) to include long-horizon planning. We introduce a fast novel algorithm to commit hydro-generators, provably accurately. We solve problems with thousands of generators at 5…
The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…
We propose to improve the convergence properties of the single-reference coupled cluster (CC) method through an augmented Lagrangian formalism. The conventional CC method changes a linear high-dimensional eigenvalue problem with exponential…
State-of-the-art techniques for simultaneous localization and mapping (SLAM) employ iterative nonlinear optimization methods to compute an estimate for robot poses. While these techniques often work well in practice, they do not provide…
Many neural network (NN) verification systems represent the network's input-output relation as a constraint program. Sound and complete, representations involve integer constraints, for simulating the activations. Recent works convexly…
Clustering is a fundamental problem in unsupervised learning. Popular methods like K-means, may suffer from poor performance as they are prone to get stuck in its local minima. Recently, the sum-of-norms (SON) model (also known as the…
The recent research report of U.S. Department of Energy prompts us to re-examine the pricing theories applied in electricity market design. The theory of spot pricing is the basis of electricity market design in many countries, but it has…
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…
We study market mechanisms for allocating divisible goods to competing agents with quasilinear utilities. For \emph{linear} pricing (i.e., the cost of a good is proportional to the quantity purchased), the First Welfare Theorem states that…
We develop a simple yet efficient Lagrangian method for computing equilibrium prices in a mean-field game price-formation model. We prove that equilibrium prices are optimal in terms of a suitable criterion and derive a primal-dual…
In this paper, we propose a robust optimization model that addresses both the cost-efficiency and fast charging requirements for electric vehicles (EVs) at charging stations. By combining elements from traditional cost-minimization models…