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This paper develops a risk-aware net demand forecasting product for virtual power plants, which helps reduce the risk of high operation costs. At the training phase, a bilevel program for parameter estimation is formulated, where the upper…
We study contextual dynamic pricing under a semiparametric demand model in which the purchase probability is $1-F(p-m(\mathbf{x}))$, where $m(\mathbf{x})$ captures mean utility as a function of product features and buyer covariates, and $F$…
This work addresses inverse linear optimization where the goal is to infer the unknown cost vector of a linear program. Specifically, we consider the data-driven setting in which the available data are noisy observations of optimal…
Model mismatch and process noise are two frequently occurring phenomena that can drastically affect the performance of model predictive control (MPC) in practical applications. We propose a principled way to tune the cost function and the…
Forecasting project expenses is a crucial step for businesses to avoid budget overruns and project failures. Traditionally, this has been done by financial analysts or data science techniques such as time-series analysis. However, these…
Computational Fluid Dynamics (CFD) is widely used in different engineering fields, but accurate simulations are dependent upon proper meshing of the simulation domain. While highly refined meshes may ensure precision, they come with high…
Price prediction is one of the examples related to forecasting tasks and is a project based on data science. Price prediction analyzes data and predicts the cost of new products. The goal of this research is to achieve an arrangement to…
A dynamical model is introduced for the formation of a bullish or bearish trends driving an asset price in a given market. Initially, each agent decides to buy or sell according to its personal opinion, which results from the combination of…
The relationship between demand and prices of a set of products can be modeled as a linear mapping from logarithmic price changes to logarithmic changes in demand. We consider the problem of estimating the coefficient matrix of this…
This paper studies the problem of optimal flow control in dynamic inventory systems. A dynamic optimal distribution problem, including time-varying supply and demand, capacity constraints on the transportation lines, and convex flow cost…
With the rapid growth in the fashion e-commerce industry, it is becoming extremely challenging for the E-tailers to set an optimal price point for all the products on the platform. By establishing an optimal price point, they can maximize…
Extensive numerical evidence shows that the assimilation of observations has a stabilizing effect on unstable dynamics, in numerical weather prediction and elsewhere. In this paper, we apply mathematically rigorous methods to showing why…
We study the joint scheduling of behind-the-meter distributed energy resources (DERs), including flexible loads, renewable generation, and battery energy storage systems, under net energy metering tariffs with demand charges. The problem is…
This paper addresses the challenge of model uncertainty in quantitative finance, where decisions in portfolio allocation, derivative pricing, and risk management rely on estimating stochastic models from limited data. In practice, the…
There has been widespread interest in the use of grid-level storage to handle the variability from increasing penetrations of wind and solar energy. This problem setting requires optimizing energy storage and release decisions for anywhere…
Dynamic pricing of goods in a competitive environment to maximize revenue is a natural objective and has been a subject of research over the years. In this paper, we focus on a class of markets exhibiting the substitutes property with…
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models the first two moments of the spot…
Motivated by a variety of online matching platforms, we consider demand and supply units which are located i.i.d. in [0,1]^d, and each demand unit needs to be matched with a supply unit. The goal is to minimize the expected average distance…
In many real-world applications, optimization problems evolve continuously over time and are often subject to stochastic noise. We consider a stochastic time-varying optimization problem in which the objective function $f(x;t)$ changes…
The growing adoption of electric vehicles (EVs) is increasing peak demand in distribution systems, which can threaten grid stability and reduce operational efficiency. Dynamic electricity pricing is a promising means of mitigating these…