arXiv subjects

Albert Solà Vilalta

Publications and source records attributed to Albert Solà Vilalta.

3 recordsLinked to original sources

arXiv2026

Scentree: a framework for generating scenario trees for multistage stochastic programming

We present scentree, an open-source Python package for constructing a scenario fan and a scenario tree for multistage stochastic programming from historical data. It combines machine learning and multivariate time series models to obtain a scenario fan that captures inter-stage dependencies in the stochastic processes. This scenario fan is subsequently transformed into a scenario tree suitable for multistage stochastic optimization, providing a flexible and extensible framework for uncertainty modeling. A key contribution is the automation of the complete workflow, including model selection, parameter estimation, scenario fan generation, and scenario tree construction. Scentree does not rely on assumptions about the underlying data distribution, reducing the statistical expertise required to produce a scenario tree. Furthermore, it is agnostic to the specific multistage stochastic problem to be solved.

stat.CO↗

arXiv2025

Optimal participation of energy communities in electricity markets under uncertainty. A multi-stage stochastic programming approach

We propose a multi-stage stochastic programming model for the optimal participation of energy communities in electricity markets. The multi-stage aspect captures the different times at which variable renewable generation and electricity prices are observed. This results in large-scale optimization problem instances containing large scenario trees with 34 stages, to which scenario reduction techniques are applied. Case studies with real data are discussed to analyse proposed regulatory frameworks in Europe. The added value of considering stochasticity is also analysed.

math.OC↗

arXiv2020

Control of Two Energy Storage Units with Market Impact: Lagrangian Approach and Horizons

Energy storage and demand-side response will play an increasingly important role in the future electricity system. We extend previous results on a single energy storage unit to the management of two energy storage units cooperating for the purpose of price arbitrage. We consider a deterministic dynamic programming model for the cooperative problem, which accounts for market impact. We develop the Lagrangian theory and present a new algorithm to identify pairs of strategies. While we are not able to prove that the algorithm provides optimal strategies, we give strong numerical evidence in favour of it. Furthermore, the Lagrangian approach makes it possible to identify decision and forecast horizons, the latter being a time beyond which it is not necessary to look in order to determine the present optimal action. In practice, this allows for real-time reoptimization, with both horizons being of the order of days. Index Terms-control, two storage units, arbitrage, pricemaker, market impact, energy, Lagrangian.

math.OC↗