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作者：Petra, Cosmin G.; Aravena, Ignacio
作者单位：United States Department of Energy (DOE); Lawrence Livermore National Laboratory
摘要：We present a decomposition approach for obtaining good feasible solutions for the security-constrained, alternating-current, optimal power flow (SC-AC-OPF) problem at an industrial scale and under real-world time and computational limits. The approach was designed while preparing and participating in ARPA-E's Grid Optimization Competition (GOC) Challenge 1. The challenge focused on a near-real-time version of the SC-AC-OPF problem, where a base operating point is optimized, taking into account...
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作者：Ararat, Cagin; Meimanjan, Nurtai
作者单位：Ihsan Dogramaci Bilkent University; Vienna University of Economics & Business
摘要：Systemic risk is concerned with the instability of a financial system whose members are interdependent in the sense that the failure of a few institutions may trigger a chain of defaults throughout the system. Recently, several systemic risk measures have been proposed in the literature that are used to determine capital requirements for the members subject to joint risk considerations. We address the problem of computing systemic risk measures for systems with sophisticated clearing mechanism...
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作者：Vojnovic, Milan; Yun, Se-Young; Zhou, Kaifang
作者单位：University of London; London School Economics & Political Science; Korea Advanced Institute of Science & Technology (KAIST)
摘要：The problem of assigning ranking scores to items based on observed comparison data (e.g., paired comparisons, choice, and full ranking outcomes) has been of continued interest in a wide range of applications, including information search, aggregation of social opinions, electronic commerce, online gaming platforms, and, more recently, evaluation of machine learning algorithms. The key problem is to compute ranking scores, which are of interest for quantifying the strength of skills, relevancie...
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作者：Baldick, Ross; Chen, Yonghong; Huang, Bing
作者单位：University of Texas System; University of Texas Austin
摘要：We consider a storage device, such as a pumped storage hydroelectric generator, that has a state of charge together with mutually exclusive and disjoint charging and generating modes. We develop valid inequalities for a storage model that uses binary variables to represent the charging and generating modes. To investigate the model, we consider two contexts, stand-alone and large-scale. The stand-alone context involves the hydroelectric generator purchasing or selling electricity based on know...
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作者：Gholami, Amin; Sun, Kaizhao; Zhang, Shixuan; Sun, Xu Andy
作者单位：Brown University; Massachusetts Institute of Technology (MIT)
摘要：In this paper, we study efficient and robust computational methods for solving the security-constrained alternating current optimal power flow (SC-ACOPF) problem, a two-stage nonlinear optimization problem with disjunctive constraints, that is central to the operation of electric power grids. The first-stage problem in SC-ACOPF determines the operation of the power grid in normal condition, whereas the second-stage problem responds to various contingencies of losing generators, transmission li...
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作者：Bai, Xingyu; Chen, Xin; Li, Menglong; Stolyar, Alexander
作者单位：University of Illinois System; University of Illinois Urbana-Champaign; University System of Georgia; Georgia Institute of Technology; City University of Hong Kong; University of Illinois System; University of Illinois Urbana-Champaign
摘要：We consider a generic Markov decision process (MDP) with two controls: one control taking effect immediately and the other control whose effect is delayed by a positive lead time. As the lead time grows, one naturally expects that the effect of the delayed action only weakly depends on the current state, and decoupling the delayed action from the current state could provide good controls. The purpose of this paper is to substantiate this decoupling intuition by establishing asymptotic optimali...
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作者：Chen, Xinyun; Liu, Yunan; Hong, Guiyu
作者单位：The Chinese University of Hong Kong, Shenzhen; North Carolina State University
摘要：We study a dynamic pricing and capacity sizing problem in a GI/GI/1 queue, in which the service provider's objective is to obtain the optimal service fee p and service capacity & mu; so as to maximize the cumulative expected profit (the service revenue minus the staffing cost and delay penalty). Because of the complex nature of the queueing dynamics, such a problem has no analytic solution so that previous research often resorts to heavy traffic analysis in which both the arrival and service r...
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作者：Bensoussan, Alain; Liu, John J.; Yuan, Jiguang
作者单位：University of Texas System; University of Texas Dallas; Hong Kong Polytechnic University
摘要：In this paper, we develop a splitting solution method for two-sided impulse control of Brownian motion, which leads to an expanding range of band control applications and studies, such as monetary reserves (including the previously studied cash management problem, exchange rate control in central banks, and marine mutual insurance reserves), inventory systems, and lately natural resources and energy reservation. It has been shown since earlier studies in 1970s that the optimal two-sided impuls...
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作者：Liguori, Pedro Henrique; Mahjoub, A. Ridha; Marques, Guillaume; Sadykov, Ruslan; Uchoa, Eduardo
作者单位：Kuwait University; Universite de Bordeaux; Universidade Federal Fluminense
摘要：The capacitated location-routing problem consists in, given a set of locations and a set of customers, determining in which locations one should install depots with limited capacity, and for each depot, design a number of routes to supply customer demands. We provide a formulation that includes depot variables, edge variables, assignment variables, and an exponential number of route variables, together with some new families of valid inequalities, leading to a branch-cut-and-price algorithm. T...
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作者：Edirisinghe, Chanaka; Chen, Jingnan; Jeong, Jaehwan
作者单位：Rensselaer Polytechnic Institute; Beihang University; Radford University
摘要：We study optimal portfolio choice under leveraging to improve portfolio performance when trade execution faces market impact. We consider a quasi-elastic market with continuous trading in which temporary liquidity costs are sufficiently large relative to permanent impact. The resulting convex optimization model is used to show analytically that an unlevered portfolio maximizing the Sharpe ratio is no longer a tangency portfolio, and increasing the portfolio target mean leads to severely underm...
