arXiv subjects

Akylas Stratigakos

Publications and source records attributed to Akylas Stratigakos.

5 recordsLinked to original sources

arXiv2026

Constructing Deployment Scenarios for Reserve Deliverability via Adaptive Robust Optimization

Network congestion often hinders the deployment of reserves needed to balance forecast errors during real-time operations. A pertinent idea to tackle this challenge involves adding deployment scenarios of spatial distributions of forecast errors as contingencies to the day-ahead problem. However, current approaches disregard the effect of grid topology and the day-ahead schedule on the induced congestion and, consequently, reserve deliverability. In this work, we formulate a two-stage adaptive robust optimization problem to jointly consider interactions between day-ahead and real-time operations and forecast errors. Using a column-and-constraint algorithm, we iteratively construct deployment scenarios by finding the worst-case forecast error for reserve deliverability. Simulations on the RTS-GMLC system show that adding these scenarios to the day-ahead problem significantly reduces the frequency of congestion-driven reserve undeliverability. Notably, the choice and number of scenarios dynamically adapt to the day-ahead schedule.

math.OC↗

arXiv2026

Decision-calibrated prediction sets for robust power system operations

Robust optimization offers a tractable approach to balance operating costs and reliability in power systems dominated by weather-dependent renewable uncertainty, but its performance depends critically on the uncertainty set. Standard data-driven approaches often calibrate uncertainty sets to attain predictive coverage, which can produce unnecessarily large sets and costly operating decisions. In contrast, we introduce decision-calibrated prediction sets and embed them as uncertainty sets in robust optimization problems; these are conditional multivariate prediction sets where calibration is defined in terms of the reliability of downstream decisions, rather than in terms of the coverage. First, we learn these conditional prediction sets as sub-level sets of norm-based score functions represented by partially input-convex neural networks, capturing contextual information and multivariate dependence while preserving convexity and tractability in downstream robust formulations. Second, inspired by conformal risk control, we calibrate a score-threshold parameter that sets the volume of the uncertainty set, thereby controlling the expected violations of downstream operational constraints. We apply our approach to 15-minute-ahead reserve scheduling with network-constrained deliverability, which we formulate as a robust DC optimal power flow problem with affine recourse. Numerical experiments show that decision-calibrated sets attain prescribed constraint-satisfaction targets within about three percentage points, whereas standard coverage-based calibration systematically exceeds these targets by more than eleven percentage points, leading to larger sets and higher operating costs.

math.OC↗

arXiv2025

Learning Data-Driven Uncertainty Set Partitions for Robust and Adaptive Energy Forecasting with Missing Data

Short-term forecasting models typically assume the availability of input data (features) when they are deployed and in use. However, equipment failures, disruptions, cyberattacks, may lead to missing features when such models are used operationally, which could negatively affect forecast accuracy, and result in suboptimal operational decisions. In this paper, we use adaptive robust optimization and adversarial machine learning to develop forecasting models that seamlessly handle missing data operationally. We propose linear- and neural network-based forecasting models with parameters that adapt to available features, combining linear adaptation with a novel algorithm for learning data-driven uncertainty set partitions. The proposed adaptive models do not rely on identifying historical missing data patterns and are suitable for real-time operations under stringent time constraints. Extensive numerical experiments on short-term wind power forecasting considering horizons from 15 minutes to 4 hours ahead illustrate that our proposed adaptive models are on par with imputation when data are missing for very short periods (e.g., when only the latest measurement is missing) whereas they significantly outperform imputation when data are missing for longer periods. We further provide insights by showcasing how linear adaptation and data-driven partitions (even with a few subsets) approach the performance of the optimal, yet impractical, method of retraining for every possible realization of missing data.

stat.ML↗

arXiv2025

Predict+Optimize Problem in Renewable Energy Scheduling

Predict+Optimize frameworks integrate forecasting and optimization to address real-world challenges such as renewable energy scheduling, where variability and uncertainty are critical factors. This paper benchmarks solutions from the IEEE-CIS Technical Challenge on Predict+Optimize for Renewable Energy Scheduling, focusing on forecasting renewable production and demand and optimizing energy cost. The competition attracted 49 participants in total. The top-ranked method employed stochastic optimization using LightGBM ensembles, and achieved at least a 2% reduction in energy costs compared to deterministic approaches, demonstrating that the most accurate point forecast does not necessarily guarantee the best performance in downstream optimization. The published data and problem setting establish a benchmark for further research into integrated forecasting-optimization methods for energy systems, highlighting the importance of considering forecast uncertainty in optimization models to achieve cost-effective and reliable energy management. The novelty of this work lies in its comprehensive evaluation of Predict+Optimize methodologies applied to a real-world renewable energy scheduling problem, providing insights into the scalability, generalizability, and effectiveness of the proposed solutions. Potential applications extend beyond energy systems to any domain requiring integrated forecasting and optimization, such as supply chain management, transportation planning, and financial portfolio optimization.

cs.AI↗

arXiv2017

Dynamic Conditional Correlation between Electricity and Stock markets during the Financial Crisis in Greece

Liberalization of electricity markets has increasingly created the need for understanding the volatility and correlation structure between electricity and financial markets. This work reveals the existence of structural changes in correlation patterns among these two markets and links the changes to both fundamentals and regulatory conditions prevailing in the markets, as well as the current European financial crisis. We apply a Dynamic Conditional Correlation (DCC) GARCH model to a set of market s fundamental variables and Greece s financial market and microeconomic indexes to study their interaction. Emphasis is given on the period of severe financial crisis of the Country to understand contagion and volatility spillover between these two markets.

q-fin.ST↗