Differentiating Through Moving Recourse: Feasible Policy Optimization and Finite-Sample Certification for Multistage Stochastic Programs

Multistage stochastic programs model decisions under uncertainty where earlier decisions change later feasible sets. We propose a feasible pathwise gradient method (FeasPG) that can update the policy as new sample paths arrive. The policy proposes a decision and projects it onto the current feasible set, so every decision is feasible. We derive the full trajectory … Read more

The Value of Coordination in Multi-Market Bidding of Grid Energy Storage

We consider the problem of a storage owner who trades in a multi-settlement electricity market comprising an auction-based day-ahead market and a continuous intraday market. We show in a stylized model that a coordinated policy that reserves capacity for the intraday market is optimal and that the gap to a sequential policy increases with intraday … Read more