Webster Mort

Importance Sampling in Stochastic Programming: A Markov Chain Monte Carlo Approach

  • Ustun Berk
  • Webster Mort
  • Panos Parpas
  • Quang Kha Tran
    • Categories Stochastic Programming Tags , , , ,

    Stochastic programming models are large-scale optimization problems that are used to facilitate decision-making under uncertainty. Optimization algorithms for such problems need to evaluate the expected future costs of current decisions, often referred to as the recourse function. In practice, this calculation is computationally difficult as it requires the evaluation of a multidimensional integral whose integrand … Read more

    A stochastic multiscale model for electricity generation capacity expansion

  • Webster Mort
  • Panos Parpas
    • Categories Basic Sciences Applications, Control Applications Tags , ,

    Long-term planning for electric power systems, or capacity expansion, has traditionally been modeled using simplified models or heuristics to approximate the short-term dynamics. However, current trends such as increasing penetration of intermittent renewable generation and increased demand response requires a coupling of both the long and short term dynamics. We present an efficient method for … Read more