51 citations · 263 across the 62 of their papers we have counts for
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math.OC2020★ 4 cited
Large Fluctuations in Locational Marginal Prices
Tommaso Nesti, John Moriarty, Alessandro Zocca +1
This paper investigates large fluctuations of Locational Marginal Prices (LMPs) in wholesale energy markets caused by volatile renewable generation profiles. Specifically, we study…
math.OC2020
Efficient Scenario Generation for Heavy-tailed Chance Constrained Optimization
Jose Blanchet, Fan Zhang, Bert Zwart
We consider a generic class of chance-constrained optimization problems with heavy-tailed (i.e., power-law type) risk factors. In this setting, we use the scenario approach to obta…