demand forecasting – Optimization Online

Estimating the Unobservable Components of Electricity Demand Response with Inverse Optimization

Published: 2024/09/12

Energy, Statistics, Stochastic Programming Behind-the-Meter, demand forecasting, electricity, forecasting, inverse optimization, Unobservable Behavior

Understanding and predicting the electricity demand responses to prices are critical activities for system operators, retailers, and regulators. While conventional machine learning and time series analyses have been adequate for the routine demand patterns that have adapted only slowly over many years, the emergence of active consumers with flexible assets such as solar-plus-storage systems, and … Read more

Distributionally robust inventory control when demand is a martingale

Published: 2015/11/30, Updated: 2018/08/20

David A. Goldberg

Linwei Xin

Applications - OR and Management Sciences, Robust Optimization, Stochastic Programming demand forecasting, distributionally robust optimization, dynamic programming, inventory control, markov decision processes, martingale

Demand forecasting plays an important role in many inventory control problems. To mitigate the potential harms of model misspecification in this context, various forms of distributionally robust optimization have been applied. Although many of these methodologies suffer from the problem of time-inconsistency, the work of Klabjan, Simchi-Levi and Song [85] established a general time-consistent framework … Read more