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We propose two parametric approaches to evaluate swing contracts with firm constraints. Our objective is to define approximations for the optimal control, which represents the amounts of energy purchased throughout the contract. The first…

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…

To increase market transparency, independent system operators (ISOs) have been working on minimizing uplift payments based on convex hull pricing theorems. However, the large-scale complex systems for ISOs bring computational challenges to…

Demand response (DR) has been demonstrated to be an effective method for reducing peak load and mitigating uncertainties on both the supply and demand sides of the electricity market. One critical question for DR research is how to…

We consider the problem of controlling an unknown linear dynamical system under adversarially changing convex costs and full feedback of both the state and cost function. We present the first computationally-efficient algorithm that attains…

We consider the problem of choosing prices of a set of products so as to maximize profit, taking into account self-elasticity and cross-elasticity, subject to constraints on the prices. We show that this problem can be formulated as…

The unit commitment problem (UC) is crucial for the operation and market mechanism of power systems. With the development of modern electricity, the scale of power systems is expanding, and solving the UC problem is also becoming more and…

This paper finds near equilibrium prices for electricity markets with nonconvexities due to binary variables, in order to reduce the market participants' opportunity costs, such as generators' unrecovered costs. The opportunity cost is…

Optimization problems with convex quadratic cost and polyhedral constraints are ubiquitous in signal processing, automatic control and decision-making. We consider here an enlarged problem class that allows to encode logical conditions and…

This paper proposes a novel first-order algorithm that solves composite nonsmooth and stochastic convex optimization problem with function constraints. Most of the works in the literature provide convergence rate guarantees on the…

Time-adaptive unit commitment (UC) has recently been investigated to reduce the scheduling costs by flexibly varying the temporal resolution, which is usually determined by clustering the net load patterns. However, there exists a…

Modern market management systems continue to evolve due to the intentions to improve system security and reliability. This evolvement has been leading to a transition of market auction models from a deterministic structure with…

This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…

This paper addresses a class of general nonsmooth and nonconvex composite optimization problems subject to nonlinear equality constraints. We assume that a part of the objective function and the functional constraints exhibit local…

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…

Pumped storage hydro units (PSHU) are great sources of flexibility in power systems. This is especially valuable in modern systems with increasing shares of intermittent renewable resources. However, the flexibility from PSHUs, particularly…

According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…

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 approach is applicable to various specifications of…

Traditional solvable optimal control theory predominantly focuses on quadratic costs due to their analytical tractability, yet they often fail to capture critical non-linearities inherent in real-world systems including water, energy,…

The paper introduces benchmark-neutral pricing and hedging for long-term contingent claims. It employs the growth optimal portfolio of the stocks as numeraire and the new benchmark-neutral pricing measure for pricing. For a realistic…