Convergence (virtual) bidding is an important part of two-settlement electric power markets as it can effectively reduce discrepancies between the day-ahead and real-time markets. Consequently, there is extensive research into the bidding strategies of virtual participants aiming to obtain optimal bids to submit to the day-ahead market. In this paper, we introduce a price-based general stochastic optimization framework to obtain optimal convergence bid curves. Within this framework, we develop a computationally tractable linear programming-based optimization model, which produces bid prices and volumes simultaneously. We also show that different approximations and simplifications in the general model lead naturally to state-of-the-art convergence bidding approaches, such as self-scheduling and opportunistic approaches. Our general framework also provides a straightforward way to compare the performance of these models, which is demonstrated by numerical experiments on the California (CAISO) market.

Algorithms that involve both forecasting and optimization are at the core of solutions to many difficult real-world problems, such as in supply chains (inventory optimization), traffic, and in the transition towards carbon-free energy generation in battery/load/production scheduling in sustainable energy systems. Typically, in these scenarios we want to solve an optimization problem that depends on unknown future values, which therefore need to be forecast. As both forecasting and optimization are difficult problems in their own right, relatively few research has been done in this area. This paper presents the findings of the ``IEEE-CIS Technical Challenge on Predict+Optimize for Renewable Energy Scheduling," held in 2021. We present a comparison and evaluation of the seven highest-ranked solutions in the competition, to provide researchers with a benchmark problem and to establish the state of the art for this benchmark, with the aim to foster and facilitate research in this area. The competition used data from the Monash Microgrid, as well as weather data and energy market data. It then focused on two main challenges: forecasting renewable energy production and demand, and obtaining an optimal schedule for the activities (lectures) and on-site batteries that lead to the lowest cost of energy. The most accurate forecasts were obtained by gradient-boosted tree and random forest models, and optimization was mostly performed using mixed integer linear and quadratic programming. The winning method predicted different scenarios and optimized over all scenarios jointly using a sample average approximation method.

本文在线学习和优化框架内提出并开发了一种用于电力市场中风能交易的新算法。特别是，我们将梯度下降算法的组成部分自适应变体与功能驱动的新闻册模型的最新进展相结合。这导致了一种在线产品的方法，能够利用数据丰富的环境，同时适应能源发电和发电市场的非平稳特征，并且具有最小的计算负担。根据几个数值实验，对我们的方法的性能进行了分析，既显示了对非平稳性不确定参数的更好适应性和显着的经济增长。

我们考虑单个强化学习与基于事件驱动的代理商金融市场模型相互作用时学习最佳执行代理的学习动力。交易在事件时间内通过匹配引擎进行异步进行。最佳执行代理在不同级别的初始订单尺寸和不同尺寸的状态空间上进行考虑。使用校准方法考虑了对基于代理的模型和市场的影响，该方法探讨了经验性风格化事实和价格影响曲线的变化。收敛，音量轨迹和动作痕迹图用于可视化学习动力学。这表明了最佳执行代理如何在模拟的反应性市场框架内学习最佳交易决策，以及如何通过引入战略订单分类来改变模拟市场的反反应。

Energy storage resources must consider both price uncertainties and their physical operating characteristics when participating in wholesale electricity markets. This is a challenging problem as electricity prices are highly volatile, and energy storage has efficiency losses, power, and energy constraints. This paper presents a novel, versatile, and transferable approach combining model-based optimization with a convolutional long short-term memory network for energy storage to respond to or bid into wholesale electricity markets. We apply transfer learning to the ConvLSTM network to quickly adapt the trained bidding model to new market environments. We test our proposed approach using historical prices from New York State, showing it achieves state-of-the-art results, achieving between 70% to near 90% profit ratio compared to perfect foresight cases, in both price response and wholesale market bidding setting with various energy storage durations. We also test a transfer learning approach by pre-training the bidding model using New York data and applying it to arbitrage in Queensland, Australia. The result shows transfer learning achieves exceptional arbitrage profitability with as little as three days of local training data, demonstrating its significant advantage over training from scratch in scenarios with very limited data availability.

由于数据量增加，金融业的快速变化已经彻底改变了数据处理和数据分析的技术，并带来了新的理论和计算挑战。与古典随机控制理论和解决财务决策问题的其他分析方法相比，解决模型假设的财务决策问题，强化学习（RL）的新发展能够充分利用具有更少模型假设的大量财务数据并改善复杂的金融环境中的决策。该调查纸目的旨在审查最近的资金途径的发展和使用RL方法。我们介绍了马尔可夫决策过程，这是许多常用的RL方法的设置。然后引入各种算法，重点介绍不需要任何模型假设的基于价值和基于策略的方法。连接是用神经网络进行的，以扩展框架以包含深的RL算法。我们的调查通过讨论了这些RL算法在金融中各种决策问题中的应用，包括最佳执行，投资组合优化，期权定价和对冲，市场制作，智能订单路由和Robo-Awaring。

尽管机器学习方法已在金融领域广泛使用，但在非常成功的学位上，这些方法仍然可以根据解释性，可比性和可重复性来定制特定研究和不透明。这项研究的主要目的是通过提供一种通用方法来阐明这一领域，该方法是调查 - 不合Snostic且可解释给金融市场从业人员，从而提高了其效率，降低了进入的障碍，并提高了实验的可重复性。提出的方法在两个自动交易平台组件上展示。也就是说，价格水平，众所周知的交易模式和一种新颖的2步特征提取方法。该方法依赖于假设检验，该假设检验在其他社会和科学学科中广泛应用，以有效地评估除简单分类准确性之外的具体结果。提出的主要假设是为了评估所选的交易模式是否适合在机器学习设置中使用。在整个实验中，我们发现在机器学习设置中使用所考虑的交易模式仅由统计数据得到部分支持，从而导致效果尺寸微不足道（反弹7- $ 0.64 \ pm 1.02 $，反弹11 $ 0.38 \ pm 0.98 $，并且篮板15- $ 1.05 \ pm 1.16 $），但允许拒绝零假设。我们展示了美国期货市场工具上的通用方法，并提供了证据表明，通过这种方法，我们可以轻松获得除传统绩效和盈利度指标之外的信息指标。这项工作是最早将这种严格的统计支持方法应用于金融市场领域的工作之一，我们希望这可能是更多研究的跳板。

Using data from cardiovascular surgery patients with long and highly variable post-surgical lengths of stay (LOS), we develop a modeling framework to reduce recovery unit congestion. We estimate the LOS and its probability distribution using machine learning models, schedule procedures on a rolling basis using a variety of optimization models, and estimate performance with simulation. The machine learning models achieved only modest LOS prediction accuracy, despite access to a very rich set of patient characteristics. Compared to the current paper-based system used in the hospital, most optimization models failed to reduce congestion without increasing wait times for surgery. A conservative stochastic optimization with sufficient sampling to capture the long tail of the LOS distribution outperformed the current manual process and other stochastic and robust optimization approaches. These results highlight the perils of using oversimplified distributional models of LOS for scheduling procedures and the importance of using optimization methods well-suited to dealing with long-tailed behavior.

Uncertainty is prevalent in engineering design, statistical learning, and decision making broadly. Due to inherent risk-averseness and ambiguity about assumptions, it is common to address uncertainty by formulating and solving conservative optimization models expressed using measure of risk and related concepts. We survey the rapid development of risk measures over the last quarter century. From its beginning in financial engineering, we recount their spread to nearly all areas of engineering and applied mathematics. Solidly rooted in convex analysis, risk measures furnish a general framework for handling uncertainty with significant computational and theoretical advantages. We describe the key facts, list several concrete algorithms, and provide an extensive list of references for further reading. The survey recalls connections with utility theory and distributionally robust optimization, points to emerging applications areas such as fair machine learning, and defines measures of reliability.

增强现有传输线是对抗传输拥塞并保证传输安全性随需求增加并增强可再生能源的有用工具。这项研究涉及选择其容量应扩大的线路的选择，以及从独立系统操作员（ISO）的角度来看，通过考虑传输线约束以及发电和需求平衡条件，并结合坡道 - 上升和启动坡道率，关闭坡道速率，坡度降低率限制以及最小降低时间。为此，我们开发了ISO单元承诺和经济调度模型，并将其作为混合整数线性编程（MILP）问题的右侧不确定性多个参数分析。我们首先放松二进制变量，以连续变量并采用拉格朗日方法和Karush-Kuhn-Tucker条件，以获得最佳的解决方案（最佳决策变量和目标函数）以及与主动和无效约束相关的关键区域。此外，我们通过确定每个节点处的问题上限，然后比较上限和下限之间的差异，并在决策制造商中达到近似最佳解决方案，从而扩展传统分支和界限方法，以解决大规模MILP问题。可耐受的误差范围。另外，目标函数在每行参数上的第一个衍生物用于告知各行的选择，以简化拥塞和最大化社会福利。最后，通过平衡目标函数的成本率和阵容升级成本来选择容量升级的量。我们的发现得到了数值模拟的支持，并为传输线计划提供了决策指导。

We consider the problem of dynamic pricing of a product in the presence of feature-dependent price sensitivity. Developing practical algorithms that can estimate price elasticities robustly, especially when information about no purchases (losses) is not available, to drive such automated pricing systems is a challenge faced by many industries. Based on the Poisson semi-parametric approach, we construct a flexible yet interpretable demand model where the price related part is parametric while the remaining (nuisance) part of the model is non-parametric and can be modeled via sophisticated machine learning (ML) techniques. The estimation of price-sensitivity parameters of this model via direct one-stage regression techniques may lead to biased estimates due to regularization. To address this concern, we propose a two-stage estimation methodology which makes the estimation of the price-sensitivity parameters robust to biases in the estimators of the nuisance parameters of the model. In the first-stage we construct estimators of observed purchases and prices given the feature vector using sophisticated ML estimators such as deep neural networks. Utilizing the estimators from the first-stage, in the second-stage we leverage a Bayesian dynamic generalized linear model to estimate the price-sensitivity parameters. We test the performance of the proposed estimation schemes on simulated and real sales transaction data from the Airline industry. Our numerical studies demonstrate that our proposed two-stage approach reduces the estimation error in price-sensitivity parameters from 25\% to 4\% in realistic simulation settings. The two-stage estimation techniques proposed in this work allows practitioners to leverage modern ML techniques to robustly estimate price-sensitivities while still maintaining interpretability and allowing ease of validation of its various constituent parts.

Markowitz mean-variance portfolios with sample mean and covariance as input parameters feature numerous issues in practice. They perform poorly out of sample due to estimation error, they experience extreme weights together with high sensitivity to change in input parameters. The heavy-tail characteristics of financial time series are in fact the cause for these erratic fluctuations of weights that consequently create substantial transaction costs. In robustifying the weights we present a toolbox for stabilizing costs and weights for global minimum Markowitz portfolios. Utilizing a projected gradient descent (PGD) technique, we avoid the estimation and inversion of the covariance operator as a whole and concentrate on robust estimation of the gradient descent increment. Using modern tools of robust statistics we construct a computationally efficient estimator with almost Gaussian properties based on median-of-means uniformly over weights. This robustified Markowitz approach is confirmed by empirical studies on equity markets. We demonstrate that robustified portfolios reach the lowest turnover compared to shrinkage-based and constrained portfolios while preserving or slightly improving out-of-sample performance.

我们提出了一个数据驱动的投资组合选择模型，该模型使用分布稳健优化的框架来整合侧面信息，条件估计和鲁棒性。投资组合经理在观察到的侧面信息上进行条件解决了一个分配问题，该问题可最大程度地减少最坏情况下的风险回收权衡权衡，但要受到最佳运输歧义集中协变量返回概率分布的所有可能扰动。尽管目标函数在概率措施中的非线性性质非线性，但我们表明，具有侧面信息问题的分布稳健的投资组合分配可以作为有限维优化问题进行重新纠正。如果基于均值变化或均值的风险标准做出投资组合的决策，则可以进一步简化所得的重新制定为二阶或半明确锥体程序。美国股票市场的实证研究证明了我们对其他基准的综合框架的优势。

多阶段随机线性问题（MSLP）的解决方案代表了许多应用程序的挑战。长期水热调度计划（LHDP）在影响全球电力市场，经济和自然资源的现实世界中实现了这一挑战。没有用于MSLP的封闭式解决方案，并且具有高质量的非预期策略的定义是至关重要的。线性决策规则（LDR）提供了一个有趣的基于模拟的框架，可通过两阶段随机模型为MSLP找到高质量的策略。但是，在实际应用中，使用LDR时要估计的参数数量可能接近或高于样本平均近似问题的场景数量，从而在样本外产生样本外的过度效果和差的表现不佳模拟。在本文中，我们提出了一个新型的正则LDR来基于Adalasso（自适应最少的绝对收缩和选择算子）求解MSLP。目的是使用高维线性回归模型中所研究的简约原理，以获得应用于MSLP的LDR的更好的样本外部性能。计算实验表明，使用经典的非规范LDR来求解LHDP时，过度合适的威胁是不可忽略的，这是研究最多的MSLP之一，其中具有相关应用在行业中。我们的分析强调了拟议框架与非规范化基准相比的以下好处：1）非零系数的数量显着减少（模型简约），2）2）大幅度降低样本外评估的成本降低， 3）改善了现货价格概况。

预测+优化是一个常见的真实范式，在那里我们必须在解决优化问题之前预测问题参数。然而，培训预测模型的标准通常与下游优化问题的目标不一致。最近，已经提出了集中的预测方法，例如Spo +和直接优化，以填补这种差距。但是，它们不能直接处理许多真实目标所需的$最大$算子的软限制。本文提出了一种用于现实世界线性和半定义负二次编程问题的新型分析微弱的代理目标框架，具有软线和非负面的硬度约束。该框架给出了约束乘法器上的理论界限，并导出了关于预测参数的闭合形式解决方案，从而导出问题中的任何变量的梯度。我们在使用软限制扩展的三个应用程序中评估我们的方法：合成线性规划，产品组合优化和资源供应，表明我们的方法优于传统的双阶段方法和其他集中决定的方法。

我们提出了一种专门的方案生成方法，该方法利用预测信息来生成用于日期调度问题的方案。特别是，我们使用归一化的流量来通过从有条件的分布进行采样，该分布使用风速预测来定制方案到特定的一天。我们将生成的方案应用于风能生产者的随机日期招标问题中，并分析该方案是否产生有利可图的决策。与高斯Copulas和Wasserstein基因的对抗网络相比，正常化的流程成功地缩小了每日趋势周围的各种场景范围，同时保持了各种可能的实现。在随机日间招标问题中，与历史场景的无条件选择相比，所有方法的条件情况都会导致更稳定的盈利结果。归一化流量始终获得最高利润，即使对于小型场景。

预测组合在预测社区中蓬勃发展，近年来，已经成为预测研究和活动主流的一部分。现在，由单个（目标）系列产生的多个预测组合通过整合来自不同来源收集的信息，从而提高准确性，从而减轻了识别单个“最佳”预测的风险。组合方案已从没有估计的简单组合方法演变为涉及时间变化的权重，非线性组合，组件之间的相关性和交叉学习的复杂方法。它们包括结合点预测和结合概率预测。本文提供了有关预测组合的广泛文献的最新评论，并参考可用的开源软件实施。我们讨论了各种方法的潜在和局限性，并突出了这些思想如何随着时间的推移而发展。还调查了有关预测组合实用性的一些重要问题。最后，我们以当前的研究差距和未来研究的潜在见解得出结论。

预订控制问题是收入管理领域中发生的顺序决策问题。更确切地说，货运预订控制重点是决定接受或拒绝预订的问题：鉴于有限的能力，接受预订请求或拒绝其保留能力，以预订可能更高收入的未来预订。该问题可以作为有限的摩尼斯随机动态程序提出，其中接受一组请求会在预订期结束时获得利润，取决于履行公认的预订的成本。对于许多货运申请，可以通过解决操作决策问题来获得满足请求的成本，该问题通常需要解决混合组织线性计划的解决方案。在部署强化学习算法时，通常会常规地解决此类操作问题，这可能太耗时了。大多数预订控制策略是通过解决特定问题的数学编程松弛来获得的，这些松弛通常是不宽松的，无法推广到新问题，并且在某些情况下提供了相当粗糙的近似值。在这项工作中，我们提出了一种两阶段的方法：我们首先训练一个监督的学习模型来预测操作问题的目标，然后我们将模型部署在加固学习算法中以计算控制政策。这种方法是一般的：每当可以预测Horizo​​n操作问题的目标函数时，都可以使用它，并且特别适合那些此类问题在计算上很难的情况。此外，它允许人们利用加强学习的最新进展，因为常规解决操作问题被单个预测所取代。我们的方法对文献中的两个预订控制问题进行了评估，即分销物流和航空公司货物管理。

零售商的主要障碍之一是了解他们可以从合同需求响应（DR）客户期望的消费弹性。零售商提供的DR产品的目前的趋势不是消费者特定的，这对消费者在这些计划中的积极参与的额外障碍带来了额外的障碍。消费者需求行为的弹性因个人而异。该实用程序将从知识中获益，更准确地了解其价格的变化将如何修改其客户的消费模式。这项工作提出了博士签约消费者消费弹性的功能模型。该模型的目的是确定负载调整，消费者可以为不同的价格水平提供给零售商或公用事业。拟议的模型使用贝叶斯概率方法来识别实际的负载调整，单个合同的客户可以提供它可以体验的不同价格水平。发达的框架为零售商或公用事业提供了一个工具，以获得关于个人消费者如何应对不同价格水平的关键信息。这种方法能够量化消费者对DR信号作出反应的可能性，并识别各个合同的博士客户提供的实际负载调整提供他们可以体验的不同价格水平。该信息可用于最大限度地提高零售商或实用程序可以向系统运营商提供的服务的控制和可靠性。

电力在不同的时间范围和法规上在各个市场上进行交易。由于更高的可再生能源渗透，短期交易变得越来越重要。在德国，盘中电价通常以独特的小时模式围绕EPEX现货市场的白天价格波动。这项工作提出了一种概率建模方法，该方法对日前合同的盘中价格差异进行了建模。该模型通过将每天的每日价格间隔的四个15分钟的间隔视为四维的关节分布，从而捕获了新兴的小时模式。使用归一化流量，即结合条件多元密度估计和概率回归的深层生成模型，从而学习了最终的多元价格差异分布。将归一化流程与选择的历史数据，高斯副群和高斯回归模型进行了比较。在不同的模型中，归一化流量最准确地识别趋势，并且预测间隔最窄。值得注意的是，归一化流是唯一识别稀有价格峰的方法。最后，这项工作讨论了不同外部影响因素的影响，并发现个人大多数因素都可以忽略不计。只有价格差异实现的直接历史和所有投入因素的组合才能显着改善预测。