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math.OC2026
Pricing Discrete and Nonlinear Markets With Semidefinite Relaxations
Cheng Guo, Lauren Henderson, Ryan Cory-Wright +1
Nonconvexities in markets with discrete decisions and nonlinear constraints make efficient pricing challenging, often necessitating subsidies. A prime example is the unit commitmen…
math.OC2024
Risk-Aware Security-Constrained Unit Commitment: Taming the Curse of Real-Time Volatility and Consumer Exposure
Daniel Bienstock, Yury Dvorkin, Cheng Guo +2
We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile…