Related papers: A Two-Timescale Decision-Hazard-Decision Formulati…
Stochastic network optimization problems entail finding resource allocation policies that are optimum on an average but must be designed in an online fashion. Such problems are ubiquitous in communication networks, where resources such as…
Smart distribution grids should efficiently integrate stochastic renewable resources while effecting voltage regulation. The design of energy management schemes is challenging, one of the reasons being that energy management is a multistage…
In this paper, we propose to model the energy consumption of smart grid households with energy storage systems as an intertemporal trading economy. Intertemporal trade refers to transaction of goods across time when an agent, at any time,…
The power networks are evolving with increased active components such as energy storage and flexibility derived from loads such as electric vehicles, heat pumps, industrial processes, etc. Better models are needed to accurately represent…
The most common approaches for solving multistage stochastic programming problems in the research literature have been to either use value functions ("dynamic programming") or scenario trees ("stochastic programming") to approximate the…
Disaster management is a complex problem demanding sophisticated modeling approaches. We propose utilizing a hybrid method involving inverse optimization to parameterize the cost functions for a road network's traffic equilibrium problem…
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 deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed…
Efficient allocation of finite resources is a crucial problem in a wide variety of on-demand smart city applications. Service requests often appear randomly over time and space with varying intensity. Resource provisioning decisions need to…
In an isolated power grid or a micro-grid with a small carbon footprint, the penetration of renewable energy is usually high. In such power grids, energy storage is important to guarantee an uninterrupted and stable power supply for end…
A new stochastic control problem of a dam-reservoir system installed in a river is analyzed both mathematically and numerically. Water balance dynamics of the reservoir are piece-wise deterministic and are driven by a stochastic…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
Motivated by real-world applications such as rental and cloud computing services, we investigate pricing for reusable resources. We consider a system where a single resource with a fixed number of identical copies serves customers with…
We develop a quadratic regularization approach for the solution of high-dimensional multistage stochastic optimization problems characterized by a potentially large number of time periods/stages (e.g. hundreds), a high-dimensional resource…
This paper proposes a novel framework to price energy storage in economic dispatch with a social welfare maximization objective. This framework can be utilized by power system operators to generate default bids for storage or to benchmark…
Energy storage shifts energy from off-peak periods to on-peak periods. Unlike conventional generation, storage is duration-limited: the stored energy capacity constrains the duration over which it can supply power. To understand how these…
The large shares of wind power generation in electricity markets motivate higher levels of operating reserves. However, current reserve sizing practices fail to account for important topological aspects that might hinder their deployment,…
The deep penetration of wind and solar power is a critical component of the future power grid. However, the intermittency and stochasticity of these renewable resources bring significant challenges to the reliable and economic operation of…
Influence diagrams are widely employed to represent multi-stage decision problems in which each decision is a choice from a discrete set of alternatives, uncertain chance events have discrete outcomes, and prior decisions may influence the…
We consider the problem of optimally designing a system for repeated use under uncertainty. We develop a modeling framework that integrates design and operational phases, which are represented by a mixed-integer program and discounted-cost…