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The recent deployment of distributed battery units in prosumer premises offer new opportunities for providing aggregated flexibility services to both distribution system operators and balance responsible parties. The optimization problem…
We present a new approach for studying the problem of optimal hedging of a European option in a finite and complete discrete-time market model. We consider partial hedging strategies that maximize the success probability or minimize the…
In this paper we study simulation based optimization algorithms for solving discrete time optimal stopping problems. This type of algorithms became popular among practioneers working in the area of quantitative finance. Using large…
We study optimal liquidation in the presence of linear temporary and transient price impact along with taking into account a general price predicting finite-variation signal. We formulate this problem as minimization of a cost-risk…
Economic dispatch problem for a networked power system has been considered. The objective is to minimize the total generation cost while meeting the overall supply-demand balance and generation capacity. In particular, a more practical…
Topology optimization problems often support multiple local minima due to a lack of convexity. Typically, gradient-based techniques combined with continuation in model parameters are used to promote convergence to more optimal solutions;…
This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing…
Autonomous microgrid planning is a Mixed-Integer Non Convex decision problem that requires to consider investments in both distribution and generation capacity and represents significant computation challenges. We proposed in a previous…
In this article, we tackle the problem of a market maker in charge of a book of options on a single liquid underlying asset. By using an approximation of the portfolio in terms of its vega, we show that the seemingly high-dimensional…
The Willems' fundamental lemma, which characterizes linear time-invariant (LTI) systems using input and output trajectories, has found many successful applications. Combining this with receding horizon control leads to a popular…
We investigate the problem of pricing and hedging derivatives of Electricity Futures contract when the underlying asset is not available. We propose to use a cross hedging strategy based on the Futures contract covering the larger delivery…
We consider a class of multi-agent cooperative consensus optimization problems with local nonlinear convex constraints where only those agents connected by an edge can directly communicate, hence, the optimal consensus decision lies in the…
We present a novel methodology for convex optimization algorithm design using ideas from electric RLC circuits. Given an optimization problem, the first stage of the methodology is to design an appropriate electric circuit whose…
In this paper, we study the problem of distributed multi-agent optimization over a network, where each agent possesses a local cost function that is smooth and strongly convex. The global objective is to find a common solution that…
We consider the Chance Constrained Model Predictive Control problem for polynomial systems subject to disturbances. In this problem, we aim at finding optimal control input for given disturbed dynamical system to minimize a given cost…
This paper proposes to decouple performance optimization and enforcement of asymptotic convergence in Model Predictive Control (MPC) so that convergence to a given terminal set is achieved independently of how much performance is optimized…
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous hourly bid curves and combinatorial bids with associated…
Bilevel optimization has been successfully applied to many important machine learning problems. Algorithms for solving bilevel optimization have been studied under various settings. In this paper, we study the nonconvex-strongly-convex…
Next-generation communication networks are envisioned to extensively utilize storage-enabled caching units to alleviate unfavorable surges of data traffic by pro-actively storing anticipated highly popular contents across geographically…
Decentralized exchanges (DEXes) have introduced an innovative trading mechanism, where it is not necessary to match buy-orders and sell-orders to execute a trade. DEXes execute each trade individually, and the exchange rate is automatically…