Golbon Zakeri

Multistage Stochastic Demand-side Management for Price-Making Major Consumers of Electricity in a Co-optimized Energy and Reserve Market

  • Anthony Downward
  • Mahbubeh Habibian
  • Golbon Zakeri
    • Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Energy Tags , ,

    In this paper we take an optimization-driven heuristic approach, motivated by dynamic programming, to solve a multistage stochastic optimization of energy consumption for a large manufacturer who is a price-making major consumer of electricity. We introduce a mixed-integer program that co-optimizes consumption bids and interruptible load reserve offers, for such a major consumer over a … Read more

    On stochastic auctions in risk-averse electricity markets with uncertain supply

  • Ryan Cory-Wright
  • Golbon Zakeri
    • Categories Finance and Economics, Game Theory, Stochastic Programming Tags , , ,

    This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed-form characterization of a risk-averse generator’s optimal pre-commitment behaviour for a given real-time policy, both with and … Read more

    A deterministic algorithm for solving stochastic minimax dynamic programmes

  • Regan Baucke
  • Anthony Downward
  • Golbon Zakeri
    • Categories Dynamic Programming, Robust Optimization, Stochastic Programming Tags , , , , , , , , ,

    In this paper, we present an algorithm for solving stochastic minimax dynamic programmes where state and action sets are convex and compact. A feature of the formulations studied is the simultaneous non-rectangularity of both `min’ and `max’ feasibility sets. We begin by presenting convex programming upper and lower bound representations of saddle functions — extending … Read more

    Payment Mechanisms for Electricity Markets with Uncertain Supply

  • Ryan Cory-Wright
  • Andrew B. Philpott
  • Golbon Zakeri
    • Categories Finance and Economics, Game Theory, Stochastic Programming Tags , , ,

    This paper provides a framework for deriving payment mechanisms for intermittent, flexible and inflexible electricity generators who are dispatched according to the optimal solution of a stochastic program that minimizes the expected cost of generation plus deviation. The first stage corresponds to a pre-commitment decision, and the second stage corresponds to real-time generation that adapts … Read more

    A deterministic algorithm for solving multistage stochastic programming problems

  • Regan Baucke
  • Anthony Downward
  • Golbon Zakeri
    • Categories Stochastic Programming Tags , , , ,

    Multistage stochastic programming problems are an important class of optimisation problems, especially in energy planning and scheduling. These problems and their solution methods have been of particular interest to researchers in stochastic programming recently. Because of the large scenario trees that these problems induce, current solution methods require random sampling of the tree in order … Read more

    Co-optimization of Demand Response and Reserve Offers for a Major Consumer

  • Miguel F. Anjos
  • Anthony Downward
  • Michael C. Ferris
  • Mahbubeh Habibian
  • Golbon Zakeri
    • Categories (Mixed) Integer Linear Programming, Applications - OR and Management Sciences, Stochastic Programming Tags , ,

    In this paper we present a stochastic optimization problem for a strategic major consumer who has flexibility over its consumption and can offer reserve. Our model is a bi-level optimization model (reformulated as a mixed-integer program) that embeds the optimal power flow problem, in which electricity and reserve are co-optimized. We implement this model for … Read more

    Pricing wind: a revenue adequate, cost recovering uniform auction for electricity markets with intermittent generation

  • Endre Bjorndal
  • Mette Bjorndal
  • Geoff Pritchard
  • Golbon Zakeri
    • Categories Applications - OR and Management Sciences, Stochastic Programming Tags , ,

    With greater penetration of renewable generation, the uncertainty faced in electricity markets has increased substantially. Conventionally, generators are assigned a pre-dispatch quantity in advance of real time, based on estimates of uncertain quantities. Expensive real time adjustments then need to be made to ensure demand is met, as uncertainty takes on a realization. We propose … Read more

    Optimization of Demand Response Through Peak Shaving

  • D. Craigie
  • Michael J. Todd
  • Andrew B. Philpott
  • Golbon Zakeri
    • Categories Applications - OR and Management Sciences, Linear Programming Tags , ,

    We consider a model in which a consumer of a resource over several periods must pay a per unit charge for the resource as well as a peak charge. The consumer has the ability to reduce his consumption in any period at some given cost, subject to a constraint on the total amount of reduction … Read more