arXiv subjects

Miguel Angel Muñoz

Publications and source records attributed to Miguel Angel Muñoz.

3 recordsLinked to original sources

arXiv2023

Online Decision Making for Trading Wind Energy

We propose and develop a new algorithm for trading wind energy in electricity markets, within an online learning and optimization framework. In particular, we combine a component-wise adaptive variant of the gradient descent algorithm with recent advances in the feature-driven newsvendor model. This results in an online offering approach capable of leveraging data-rich environments, while adapting to the nonstationary characteristics of energy generation and electricity markets, also with a minimal computational burden. The performance of our approach is analyzed based on several numerical experiments, showing both better adaptability to nonstationary uncertain parameters and significant economic gains.

cs.LG↗

arXiv2021

A bilevel framework for decision-making under uncertainty with contextual information

In this paper, we propose a novel approach for data-driven decision-making under uncertainty in the presence of contextual information. Given a finite collection of observations of the uncertain parameters and potential explanatory variables (i.e., the contextual information), our approach fits a parametric model to those data that is specifically tailored to maximizing the decision value, while accounting for possible feasibility constraints. From a mathematical point of view, our framework translates into a bilevel program, for which we provide both a fast regularization procedure and a big-M-based reformulation that can be solved using off-the-shelf optimization solvers. We showcase the benefits of moving from the traditional scheme for model estimation (based on statistical quality metrics) to decision-guided prediction using three different practical problems. We also compare our approach with existing ones in a realistic case study that considers a strategic power producer that participates in the Iberian electricity market. Finally, we use these numerical simulations to analyze the conditions (in terms of the firm's cost structure and production capacity) under which our approach proves to be more advantageous to the producer.

math.OC↗

arXiv2011

Temporal Griffiths Phases

Disorder is an unavoidable ingredient of real systems. Spatial disorder generates Griffiths phases (GPs) which, in analogy to critical points, are characterized by a slow relaxation of the order parameter and divergences of quantities such as the susceptibility. However, these singularities appear in an extended region of the parameter space and not just at a (critical) point, i.e. there is generic scale invariance. Here, we study the effects of temporal disorder, focusing on systems with absorbing states. We show that for dimensions $d \geq 2$ there are Temporal Griffiths phases (TGPs) characterized by generic power-law spatial scaling and generic divergences of the susceptibility. TGPs turn out to be a counterpart of GPs, but with space and time playing reversed roles. TGPs constitute a unifying concept, shedding light on the non-trivial effects of temporal disorder.

cond-mat.stat-mech↗