3 papers
math.OC2026
Bounds for multi-horizon stochastic optimization with application to power generation and transmission expansion planning
Giovanni Micheli, V Varagapriya, Francesca Maggioni +1
This paper investigates computationally efficient methods for deriving bounds on the optimal value of multi-horizon stochastic optimization problems, with a particular focus on app…
math.OC2026
Multi-horizon optimization for domestic renewable energy system design under uncertainty
Giovanni Micheli, Laureano F. Escudero, Francesca Maggioni +1
In this paper we address the challenge of designing optimal domestic renewable energy systems under multiple sources of uncertainty appearing at different time scales. Long-term un…
math.OC2025
Asset liability management under sequential stochastic dominance constraints
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni +1
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital inves…