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作者：Pritchard, Geoffrey; Zakeri, Golbon; Philpott, Andrew
作者单位：University of Auckland; University of Auckland
摘要：We discuss a stochastic-programming-based method for scheduling electric power generation subject to uncertainty. Such uncertainty may arise from either imperfect forecasting or moment-to-moment fluctuations, and on either the supply or the demand side. The method gives a system of locational marginal prices that reflect the uncertainty, and these may be used in a market settlement scheme in which payment is for energy only. We show that this scheme is revenue adequate in expectation.
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作者：Ben-Tal, Aharon; Bertsimas, Dimitris; Brown, David B.
作者单位：Technion Israel Institute of Technology; Massachusetts Institute of Technology (MIT); Massachusetts Institute of Technology (MIT); Duke University
摘要：In this paper, we propose a framework for robust optimization that relaxes the standard notion of robustness by allowing the decision maker to vary the protection level in a smooth way across the uncertainty set. We apply our approach to the problem of maximizing the expected value of a payoff function when the underlying distribution is ambiguous and therefore robustness is relevant. Our primary objective is to develop this framework and relate it to the standard notion of robustness, which d...
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作者：Sobel, Matthew J.; Wei, Wei
作者单位：University System of Ohio; Case Western Reserve University
摘要：An optimum of a Markov decision process (MDP) is myopic if it can be obtained by solving a series of static problems. Myopic optima are desirable because they can be computed relatively easily. We identify new classes of MDPs with myopic optima and sequential games with myopic equilibrium points. In one of the classes, the single-period reward is homogeneous with respect to the state variable. We illustrate the results with models of revenue management and investment.
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作者：Weintraub, Gabriel Y.; Benkard, C. Lanier; Van Roy, Benjamin
作者单位：Columbia University; Yale University; Stanford University
摘要：Oblivious equilibrium is a new solution concept for approximating Markov-perfect equilibrium in dynamic models of imperfect competition among heterogeneous firms. In this paper, we present algorithms for computing oblivious equilibrium and for bounding approximation error. We report results from computational case studies that serve to assess both efficiency of the algorithms and accuracy of oblivious equilibrium as an approximation to Markov-perfect equilibrium. We also extend the definition ...
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作者：Murphy, Frederic; Smeers, Yves
作者单位：Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Universite Catholique Louvain
摘要：Allaz and Vila made the seminal contribution that forward contracts mitigate market power on the spot market. This result is widely quoted and elaborated in studies of restructured power markets, where generators can potentially exploit the special characteristics of this industry in order to extract higher prices. Allaz-Vila established their result under/the assumption that the production capacities of the players are infinite. We show that the Allaz-Vila result does not hold when capacities...
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作者：Zhao, Jinye; Hobbs, Benjamin F.; Pang, Jong-Shi
作者单位：Johns Hopkins University; Johns Hopkins University; University of Illinois System; University of Illinois Urbana-Champaign
摘要：Carbon dioxide allowance trading systems for electricity generators are in place in the European Union and in several U.S. states. An important question in the design of such systems is how allowances are to be initially allocated: by auction, by giving away fixed amounts (grandfathering), or by allocating based on present or recent output, investment, or other decisions. The latter system can bias investment, operations, and product pricing decisions and increase costs relative to the other s...
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作者：Cont, Rama; Stoikov, Sasha; Talreja, Rishi
作者单位：Columbia University
摘要：We propose a continuous-time stochastic model for the dynamics of a limit order book. The model strikes a balance between three desirable features: it can be estimated easily from data, it captures key empirical properties of order book dynamics, and its analytical tractability allows for fast computation of various quantities of interest without resorting to. simulation. We describe a simple parameter estimation procedure based on high-frequency observations of the order book and illustrate t...
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作者：Lai, Guoming; Margot, Francois; Secomandi, Nicola
作者单位：University of Texas System; University of Texas Austin; Carnegie Mellon University
摘要：The valuation of the real option to store natural gas is a practically important problem that entails dynamic optimization of inventory trading decisions with capacity constraints in the face of uncertain natural gas price dynamics. Stochastic dynamic programming is a natural approach to this valuation problem, but it does not seem to be widely used in practice because it is at odds with the high-dimensional natural gas price evolution models that are widespread among traders. According to the...
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作者：See, Chuen-Teck; Sim, Melvyn
作者单位：National University of Singapore; Singapore-MIT Alliance for Research & Technology Centre (SMART); National University of Singapore; Nanyang Technological University; Massachusetts Institute of Technology (MIT)
摘要：We propose a robust optimization approach to address a multiperiod inventory control problem under ambiguous demands, that is, only limited information of the demand distributions such as mean, support, and some measures of deviations. Our framework extends to correlated demands and is developed around a factor-based model, which has the ability to incorporate business factors as well as time-series forecast effects of trend, seasonality, and cyclic variations. We can obtain the parameters of ...
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作者：Delage, Erick; Ye, Yinyu
作者单位：Universite de Montreal; HEC Montreal; Stanford University
摘要：Stochastic programming can effectively describe many decision-making problems in uncertain environments. Unfortunately, such programs are often computationally demanding to solve. In addition, their solution can be misleading when there is ambiguity in the choice of a distribution for the random parameters. In this paper, we propose a model that describes uncertainty in both the distribution form (discrete, Gaussian, exponential, etc.) and moments (mean and covariance matrix). We demonstrate t...
