arXiv subjects

Golbon Zakeri

Publications and source records attributed to Golbon Zakeri.

9 recordsLinked to original sources

arXiv2026

The Value of Perfect Endpoint Forecasts for Offshore-Wind Thermal Firming

Forecast value depends not only on accuracy but also on the information structure available to the operating model. We study a diagnostic current-endpoint-only forecast for offshore-wind thermal firming: at hour t, the controller observes the current net-demand state z_t and one perfect future target z_{t+h}, but not the intermediate path or earlier endpoint messages. Unlike rolling path forecasts, these endpoint information sets are not nested in h. We embed the signal in a cyclostationary MDP using quantile Fourier regression states estimated from ISO New England load and offshore wind data, and solve annual state-action-frequency LPs for h = 1, . . . , 6. A one-hour endpoint forecast reduces annual firming cost by 8.07%, while a six-hour endpoint reduces it by 2.28%. The decreasing profile shows that a single farther endpoint is less actionable for a one-step ramping decision, without implying that longer rolling forecasts are less valuable.

math.OC↗

arXiv2026

A Risk-Based Equilibrium Analysis of Energy Imbalance Reserve in Day-Ahead Electricity Markets

Energy imbalance reserve (EIR) product is introduced into the Independent System Operator (ISO) of New England's day-ahead wholesale electricity market to provide a better fuel procurement incentive for generating resources. Different from existing forward reserve products, EIR is a novel real option product, which is settled against real-time energy price rather than reserve prices. This novel product has not been analyzed in the research literature in terms of its effects. In this paper, we develop a stochastic long-run equilibrium model that incorporates the risk preference of generator and demand agents participating in the energy and reserve market in both day-ahead and real-time time frame. In a risk neutral environment, we find that the presence of the EIR product makes little difference on market outcomes. We also conduct a series of numerical simulations with risk-averse generators and demand, and observed increased advanced fuel procurement when the EIR product is present.

econ.GN↗

arXiv2026

Risk-Averse Markov Decision Processes: Applications to Electricity Grid and Reservoir Management

This paper develops risk-averse models to support system operators in planning and operating the electricity grid under uncertainty from renewable power generation. We incorporate financial risk hedging using conditional value at risk (CVaR) within a Markov Decision Process (MDP) framework and propose efficient, exact solution methods for these models. In addition, we introduce a power reliability-oriented risk measure and present new, computationally efficient models for risk-averse grid planning and operations.

math.OC↗

arXiv2025

Electricity Price-Aware Scheduling of Data Center Cooling

Data centers are becoming a major consumer of electricity on the grid, with cooling accounting for about 40\% of that energy. As electricity prices vary throughout the day and year, there is a need for cooling strategies that adapt to these fluctuations to reduce data center cooling costs. In this paper, we present a model for electricity price-aware cooling scheduling using a Markov Decision Process(MDP) framework to reliably estimate the cooling system operational costs and facilitate investment-phase decision-making. We utilize Quantile Fourier Regression (QFR) fits to classify electricity prices into different regimes while capturing both daily and seasonal patterns. We simulate 14 years of operation using historical electricity price and outdoor temperature data, and compare our model against heuristic baselines. The results demonstrate that our approach consistently achieves lower cooling costs. This model is useful for grid operators interested in demand response programs and data center investors looking to make investment decisions.

math.OC↗

arXiv2025

Baseline hydropower generation offer curves

We outline a mathematical model for pricing hydropower generation. The model involves a Markov decision process that reflects the seasonal variation in historical time series of water inflows. The procedure is computationally efficient and easy to interpret.

math.OC↗

arXiv2025

On monotone completion of risk markets: Limit results for incomplete risk markets

We consider a competitive market with risk-averse participants. We assume that agents' risks are measured by coherent risk measures introduced by Artzner et al. (1999). Fundamental theorems of welfare economics have long established the equivalence of competitive equilibria and system welfare optimization (see, e.g., Samuelson (1947)). These have been extended to the case of risk-averse agents with complete risk markets in Ralph and Smeers (2015). In this paper, we consider risk trading in incomplete markets and introduce a mechanism to complete the market iteratively while monotonically enhancing welfare.

math.OC↗

arXiv2024

Quantile Fourier regressions for decision making under uncertainty

Weconsider Markov decision processes arising from a Markov model of an underlying natural phenomenon. Such phenomena are usually periodic (e.g. annual) in time, and so the Markov processes modelling them must be time-inhomogeneous, with cyclostationary rather than stationary behaviour. We describe a technique for constructing such processes that allows for periodic variations both in the values taken by the process and in the serial dependence structure. We include two illustrative numerical examples: a hydropower scheduling problem and a model of offshore wind power integration.

math.OC↗

arXiv2024

Real-time Building Energy Storage Scheduling under Electrical Load Uncertainty: A Dynamic Markov Decision Process Approach with Comprehensive Analysis of Different Pricing Policies

In response to the increasing deployment of battery storage systems for cost reduction and grid stress mitigation, this study presents the development of a new real-time Markov decision process model to efficiently schedule battery systems in buildings under electrical load uncertainty. The proposed model incorporates quantile Fourier regression for load fitting, leading to a large-scale optimization problem with approximately a million decision variables and constraints. To address this complexity, the problem is formulated as a linear program and solved using a commercial solver, ensuring effective navigation and identification of optimal solutions. The model's performance is evaluated by considering different pricing policies and scenarios, including demand peak shaving. Validation of the Markov model is conducted using one year of historical demand data from a school. Findings indicate that MDP performance in adapting to uncertain loads can range from 30 to 99% depending on the pricing policy.

eess.SY↗

arXiv2019

On stochastic auctions in risk-averse electricity markets with uncertain supply

This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator's optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.

math.OC↗