policy optimization – Optimization Online

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

Published: 2026/09/27

Dynamic Programming, Energy, Stochastic Programming differentiable projection, information relaxation, moving recourse, multistage stochastic programming, optimality gap certification, pathwise gradient, policy optimization, reservoir management

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

Intraday Power Trading: Towards an Arms Race in Weather Forecasting?

Published: 2022/03/28

Finance and Economics, Stochastic Programming algorithmic trading, intraday power markets, policy optimization, stochastic optimization, weather based trading

We propose the first weather-based algorithmic trading strategy on a continuous intraday power market. The strategy uses neither production assets nor power demand and generates profits purely based on superior information about aggregate output of weather-dependent renewable production. We use an optimized parametric policy based on state-of-the-art intraday updates of renewable production forecasts and evaluate … Read more