相关论文: Pricing Real-time Stochastic Storage Operations

With dynamic pricing on the rise, firms are using sophisticated algorithms for price determination. These algorithms are often non-interpretable and there has been a recent interest in their seemingly emergent ability to tacitly collude…

The increasing vulnerability of power systems has heightened the need for operating reserves to manage contingencies such as generator outages, line failures, and sudden load variations. Unlike energy costs, driven by consumer demand,…

High shares of variable renewable energy necessitate substantial energy storage capacity. However, it remains unclear how to design a market that, on the one hand, ensures a stable and sufficient income for storage firms, and, on the other…

Recently, we proposed a capacity expansion approach for transmission grids that combines the upgrade of transmission capacity with a transition in system structure to improve grid operation. The key to this concept is a particular hybrid…

The emergence of Concentrated Liquidity Market Makers (CLMMs) has made liquidity provision on decentralized exchanges an active and risk-sensitive task. However, the standalone profitability of liquidity provision remains unclear for…

This paper addresses the single-item single-stocking location non-stationary stochastic lot-sizing problem under a reorder point -- order quantity control strategy. The reorder points and order quantities are chosen at the beginning of the…

The adoption of market-based principles in resource management systems for computational infrastructures such as grids and clusters allows for matching demand and supply for resources in a utility maximizing manner. As such, they offer a…

Data analytics using machine learning (ML) has become ubiquitous in science, business intelligence, journalism and many other domains. While a lot of work focuses on reducing the training cost, inference runtime and storage cost of ML…

The problem of probabilistic forecasting and online simulation of real-time electricity market with stochastic generation and demand is considered. By exploiting the parametric structure of the direct current optimal power flow, a new…

With the proliferation of advanced metering infrastructure (AMI), more real-time data is available to electric utilities and consumers. Such high volumes of data facilitate innovative electricity rate structures beyond flat-rate and…

This paper studies dynamic monopoly pricing for a broad class of settings that allow for multiple durable, multiple rental, or a mix of varieties. We show that the driving force behind pricing dynamics is the existence of trading-up…

This paper presents a novel non-stationary dynamic pricing algorithm design, where pricing agents face incomplete demand information and market environment shifts. The agents run price experiments to learn about each product's demand curve…

This paper considers a combination of intelligent repositioning decisions and dynamic pricing for the improved operation of shared mobility systems. The approach is applied to London's Barclays Cycle Hire scheme, which the authors have…

In this paper, we consider the classic stochastic (dynamic) knapsack problem, a fundamental mathematical model in revenue management, with general time-varying random demand. Our main goal is to study the optimal policies, which can be…

We study episodic reinforcement learning (RL) in non-stationary linear kernel Markov decision processes (MDPs). In this setting, both the reward function and the transition kernel are linear with respect to the given feature maps and are…

Constant product markets with concentrated liquidity (CL) are the most popular type of automated market makers. In this paper, we characterise the continuous-time wealth dynamics of strategic LPs who dynamically adjust their range of…

Rolling forecasts have been almost overlooked in the renewable energy storage literature. In this paper, we provide a new approach for handling uncertainty not just in the accuracy of a forecast, but in the evolution of forecasts over time.…

A fundamental economic question is that of designing revenue-maximizing mechanisms in dynamic environments. This paper considers a simple yet compelling market model to tackle this question, where forward-looking buyers arrive at the market…

In this paper we introduce a continuous time multi stage stochastic optimization for scheduling generating units, their commitment, reserve capacities and their continuous time generation profiles in the day-ahead wholesale electricity…

Increasing wind turbines (WT) penetration and low carbon demand can potentially lead to two different flow peaks, generation and load, within distribution networks. This will not only constrain WT penetration but also pose serious threats…