Applications – OR and Management Sciences

A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

  • Mihai Anitescu
  • John Birge
  • Kibaek Kim
  • Victor M. Zavala
    • Categories Applications - OR and Management Sciences, Convex and Nonsmooth Optimization, Stochastic Programming

    We argue that deterministic market clearing formulations introduce arbitrary distortions between day-ahead and expected real-time prices that bias economic incentives and block diversi cation. We extend and analyze the stochastic clearing formulation proposed by Pritchard et al. (2010) in which the social surplus function induces penalties between day-ahead and real-time quantities. We prove that the formulation … Read more

    On the computational complexity of minimum-concave-cost flow in a two-dimensional grid

  • Shabbir Ahmed
  • Qie He
  • George L. Nemhauser
  • Shi Li
    • Categories Combinatorial Optimization, Network Optimization, Production and Logistics Tags , , ,

    We study the minimum-concave-cost flow problem on a two-dimensional grid. We characterize the computational complexity of this problem based on the number of rows and columns of the grid, the number of different capacities over all arcs, and the location of sources and sinks. The concave cost over each arc is assumed to be evaluated … Read more

    Steiner tree network scheduling with opportunity cost of time

  • Fabien Cornillier
    • Categories Facility Planning and Design, Network Optimization, Scheduling Tags , ,

    This paper points out the impact of opportunity cost of time (high discount rate or high rate of time preference, time-dependent profits, etc.) in designing real-world Steiner trees like electricity, gas, water, or telecommunications networks. We present the Steiner Tree Scheduling Problem which consists of finding a Steiner tree in an activity-on-arc graph that spans … Read more

    Robust Numerical Calibration for Implied Volatility Expansion Models

  • Radu Baltean-Lugojan
  • Panos Parpas
    • Categories Finance and Economics, Nonlinear Systems and Least-Squares, Systems governed by Differential Equations Optimization Tags , , ,

    Implied volatility expansions allow calibration of sophisticated volatility models. They provide an accurate fit and parametrization of implied volatility surfaces that is consistent with empirical observations. Fine-grained higher order expansions offer a better fit but pose the challenge of finding a robust, stable and computationally tractable calibration procedure due to a large number of market … Read more

    A Cutting Plane Method for Risk-constrained Traveling Salesman Problem with Random Arc Costs

  • Vladimir Boginski
  • Qipeng Zheng
  • Zhouchun Huang
  • Tao Zhang
    • Categories (Mixed) Integer Nonlinear Programming, Cutting Plane Approaches, Transportation

    This paper considers the risk-constrained stochastic traveling salesman problem with random arc costs. In the context of stochastic arc costs, the deterministic traveling salesman problem’s optimal solutions would be ineffective because the selected route might be exposed to a greater risk where the actual cost can exceed the resource limit in extreme scenarios. We present … Read more

    Mixed Integer Programming for the Global Solution of the Economic Load Dispatch Problem With Valve-Point Effect

  • Pierre-Antoine Absil
  • S. Easter Selvan
  • Michael Azzam
  • Augustin Lefèvre
    • Categories Global Optimization Applications, Production and Logistics

    Optimal distribution of power among generating units to meet a specific demand subject to system constraints is an ongoing research topic in the power system community. The problem, even in a static setting, turns out to be hard to solve with conventional optimization methods owing to the consideration of valve-point effects, which make the cost … Read more

    High Throughput Computing for Massive Scenario Analysis and Optimization to Minimize Cascading Blackout Risk

  • Eric Anderson
  • Jeff Linderoth
    • Categories Applications - OR and Management Sciences, Applications - Science and Engineering, Optimization of Simulated Systems

    We describe a simulation-based optimization method that allocates additional capacity to transmission lines in order to minimize the expected value of the load shed due to a cascading blackout. Estimation of the load-shed distribution is accomplished via the ORNL-PSerc-Alaska (OPA) simulation model, which solves a sequence of linear programs. Key to achieving an effective algorithm … Read more

    Polynomial SDP Cuts for Optimal Power Flow

  • Carleton Coffrin
  • Hassan L. Hijazi
  • Pascal Van Hentenryck
    • Categories Applications - OR and Management Sciences, Constrained Nonlinear Optimization, Semi-definite Programming Tags , , , ,

    The use of convex relaxations has lately gained considerable interest in Power Systems. These relaxations play a major role in providing quality guarantees for non-convex optimization problems. For the Optimal Power Flow (OPF) prob- lem, the semidefinite programming (SDP) relaxation is known to produce tight lower bounds. Unfortunately, SDP solvers still suffer from a lack … Read more

    Adaptive Elective Surgery Planning Under Duration and Length-Of-Stay Uncertainty: A Robust Optimization Approach

  • Bjorn Berg
  • Saba Neyshabouri
    • Categories Cutting Plane Approaches, Robust Optimization, Scheduling Tags , , ,

    Scheduling elective surgeries is a complicated task due to the coupled effect of multiple sources of uncertainty and the impact of the proposed schedule on the downstream units. In this paper, we propose an adaptive robust optimization model to address the existing uncertainty in surgery duration and length-of-stay in the surgical intensive care unit. The … Read more

    The Power Edge Set problem

  • Claudia D'Ambrosio
  • Leo Liberti
  • Pierre-Louis Poirion
  • Sonia Toubaline
    • Categories Applications - OR and Management Sciences Tags , , ,

    The automated real time control of an electrical network is achieved through the estimation of its state using Phasor Measurement Units (PMUs). Given an undirected graph representing the network, we study the problem of finding the minimum number of PMUs to place on the edges such that the graph is fully observed. This problem is … Read more