arXiv subjects

Pierre Pinson

Publications and source records attributed to Pierre Pinson.

At least 37 records · Page 2Linked to original sources

arXiv2025

Predict-and-Optimize Robust Unit Commitment with Statistical Guarantees via Weight Combination

The growing uncertainty from renewable power and electricity demand brings significant challenges to unit commitment (UC). While various advanced forecasting and optimization methods have been developed to predict better and address this uncertainty, most previous studies treat forecasting and optimization as separate tasks. This separation can lead to suboptimal results due to misalignment between the objectives of the two tasks. To overcome this challenge, we propose a robust UC framework that integrates forecasting and optimization processes while ensuring statistical guarantees. In the forecasting stage, we combine multiple predictions derived from diverse data sources and methodologies for an improved prediction, aiming to optimize the UC performance. In the optimization stage, the combined prediction is used to construct an uncertainty set with statistical guarantees, based on which the robust UC model is formulated. The optimal robust UC solution provides feedback to refine the weight used for combining multiple predictions. To solve the proposed integrated forecasting-optimization framework efficiently and effectively, we develop a neural network-based surrogate model for acceleration and introduce a reshaping method for the uncertainty set based on the optimization result to reduce conservativeness. Case studies on modified IEEE 30-bus and 118-bus systems demonstrate the advantages of the proposed approach.

math.OC↗

arXiv2025

Sufficient A Priori Conditions for the Linear Relaxation of the Energy Storage Scheduling Problem

When modeling energy storage systems, an essential question is how to account for the physical infeasibility of simultaneous charge and discharge. The use of complementarity constraints or of binary variables is common, but these formulations do not scale well. Alternatively, assumptions such as perfect efficiencies or positive prices are often used to justify the choice of a linear model. In this paper, we establish new a priori conditions that guarantee the existence of an optimal solution without simultaneous charge and discharge when solving the linear relaxation of the storage scheduling problem. They are based on the characteristics of the storage system, in particular, the duration of charge. They can be valid for negative prices and with inefficiencies, thereby enlarging the set of conditions for which the complementarity constraints can be relaxed. We prove mathematically the validity of these conditions and illustrate them with practical examples. We also introduce a refined mixed-integer linear equivalent, in which the number of binary variables can be drastically reduced.

math.OC↗

arXiv2025

Towards Replication-Robust Analytics Markets

Despite recent advancements in machine learning, in practice, relevant datasets are often distributed among market competitors who are reluctant to share. To incentivize data sharing, recent works propose analytics markets, where multiple agents share features and are rewarded for improving the predictions of others. These rewards can be computed by treating features as players in a coalitional game, with solution concepts that yield desirable market properties. However, this setup incites agents to strategically replicate their data and act under multiple false identities to increase their own revenue and diminish that of others, limiting the viability of such markets in practice. In this work, we develop an analytics market robust to such strategic replication for supervised learning problems. We adopt Pearl's do-calculus from causal inference to refine the coalitional game by differentiating between observational and interventional conditional probabilities. As a result, we derive rewards that are replication-robust by design.

econ.GN↗

arXiv2025

Generalizable simulation framework for the request-to-order process in the procurement of onboard vessel requisitions

Procurement in maritime logistics faces challenges due to uncertainties in demand and fluctuating market conditions. To address these complexities, we introduce a flexible discrete-event simulation framework that models the request-to-order process. This framework captures critical stages, including the generation of onboard vessel requisitions, requisition handling, and order allocation. Through numerical analysis, we compare two order allocation policies: a naive practice, which relies heavily on contracts, and a dynamic supplier selection approach that explores cost opportunities in the spot market. Our findings reveal trade-offs between cost efficiency and contract compliance, particularly in meeting volume commitments to contracted suppliers. Excessive reliance on spot market opportunities can yield significant savings but at the expense of contract compliance. Additionally, when spot rates are highly sensitive to order quantities, both policies tend to overutilize contracts, highlighting the need for larger volume commitments in such cases. These results offer actionable insights for improving procurement practices, while the framework's adaptability makes it a powerful decision-support tool across diverse procurement contexts.

stat.AP↗

arXiv2025

Integrated optimization of operations and capacity planning under uncertainty for drayage procurement in container logistics

We present an integrated framework for truckload procurement in container logistics, bridging strategic and operational aspects that are often treated independently in existing research. Drayage, the short-haul trucking of containers, plays a critical role in intermodal container logistics. Using dynamic programming, we identify optimal operational policies for allocating drayage volumes among capacitated carriers under uncertain container flows and spot rates. The computational complexity of optimization under uncertainty is mitigated through sample average approximation. These optimal policies serve as the basis for evaluating specific capacity arrangements. To optimize capacity reservations with strategic and spot carriers, we employ an efficient quasi-Newton method. Numerical experiments demonstrate significant cost-efficiency improvements, including a 21.2% cost reduction in a four-period scenario. Monte Carlo simulations further highlight the strong generalization capabilities of the proposed joint optimization method across out-of-sample scenarios. These findings underscore the importance of integrating strategic and operational decisions to enhance cost efficiency in truckload procurement under uncertainty.

math.OC↗

arXiv2025

Multistage stochastic optimization for drayage procurement in container logistics using stochastic dual dynamic programming

Truckload procurement plays a vital role in integrated container logistics, particularly under the uncertainties of container flow and market conditions. We formulate the operational volume allocation problem in drayage procurement as a multistage stochastic transportation problem and solve it using stochastic dual dynamic programming (SDDP). We employ a multivariate count time series approach from the literature to model cargo flow dynamics, relaxing independence assumptions and capturing complex correlations. Our numerical experiments demonstrate the scalability of SDDP and its effectiveness in approximating high-quality policies across realistic problem instances. Sensitivity analyses highlight the significant impact of inflow uncertainties on costs, while spot market variability has a comparatively minor effect. Additionally, we propose an alternative stopping rule for SDDP iterations, balancing computational efficiency and solution fidelity.

math.OC↗

arXiv2025

Capacity Credit Evaluation of Generalized Energy Storage Considering Strategic Capacity Withholding and Decision-Dependent Uncertainty

This paper proposes a novel capacity credit evaluation framework to accurately quantify the contribution of generalized energy storage (GES) to resource adequacy, considering both strategic capacity withholding and decision-dependent uncertainty (DDU). To this end, we establish a market-oriented risk-averse coordinated dispatch method to capture the cross-market reliable operation of GES. The proposed method is sequentially implemented along with the Monte Carlo simulation process, coordinating the pre-dispatched price arbitrage and capacity withholding in the energy market with adequacy-oriented re-dispatch during capacity market calls. In addition to decision-independent uncertainties in operational states and baseline behavior, we explicitly address the inherent DDU of GES (i.e., the uncertainty of available discharge capacity affected by the incentives and accumulated discomfort) during the re-dispatch stage using the proposed data-driven distributional robust chance-constrained approach. Furthermore, a capacity credit metric called equivalent storage capacity substitution is introduced to quantify the equivalent deterministic storage capacity of uncertain GES. Simulations on the modified IEEE RTS-79 benchmark system with 20 years real-world data from Elia demonstrate that the proposed method yields accurate capacity credit and improved economic performance. We show that the capacity credit of GES increases with more strategic capacity withholding but decreases with more DDU levels. Key factors, such as capacity withholding and DDU structure impacting GES's capacity credit are analyzed with insights into capacity market decision-making.

eess.SY↗

arXiv2025

Do we actually understand the impact of renewables on electricity prices? A causal inference approach

The energy transition is profoundly reshaping electricity market dynamics. It makes it essential to understand how renewable energy generation actually impacts electricity prices, among all other market drivers. These insights are critical to design policies and market interventions that ensure affordable, reliable, and sustainable energy systems. However, identifying causal effects from observational data is a major challenge, requiring innovative causal inference approaches that go beyond conventional regression analysis only. We build upon the state of the art by developing and applying a local partially linear double machine learning approach. Its application yields the first robust causal evidence on the distinct and non-linear effects of wind and solar power generation on UK wholesale electricity prices, revealing key insights that have eluded previous analyses. We find that, over 2018-2024, wind power generation has a U-shaped effect on prices: at low penetration levels, a 1 GWh increase in energy generation reduces prices by up to 7 GBP/MWh, but this effect gets close to none at mid-penetration levels (20-30%) before intensifying again. Solar power places substantial downward pressure on prices at very low penetration levels (up to 9 GBP/MWh per 1 GWh increase in energy generation), though its impact weakens quite rapidly. We also uncover a critical trend where the price-reducing effects of both wind and solar power have become more pronounced over time (from 2018 to 2024), highlighting their growing influence on electricity markets amid rising penetration. Our study provides both novel analysis approaches and actionable insights to guide policymakers in appraising the way renewables impact electricity markets.

stat.AP↗

arXiv2024

Clustering of timed sequences -- Application to the analysis of care pathways

Improving the future of healthcare starts by better understanding the current actual practices in hospital settings. This motivates the objective of discovering typical care pathways from patient data. Revealing typical care pathways can be achieved through clustering. The difficulty in clustering care pathways, represented by sequences of timestamped events, lies in defining a semantically appropriate metric and clustering algorithms. In this article, we adapt two methods developed for time series to the clustering of timed sequences: the drop-DTW metric and the DBA approach for the construction of averaged time sequences. These methods are then applied in clustering algorithms to propose original and sound clustering algorithms for timed sequences. This approach is experimented with and evaluated on synthetic and real-world data.

cs.LG↗

arXiv2024

Privacy-Aware Data Acquisition under Data Similarity in Regression Markets

Data markets facilitate decentralized data exchange for applications such as prediction, learning, or inference. The design of these markets is challenged by varying privacy preferences as well as data similarity among data owners. Related works have often overlooked how data similarity impacts pricing and data value through statistical information leakage. We demonstrate that data similarity and privacy preferences are integral to market design and propose a query-response protocol using local differential privacy for a two-party data acquisition mechanism. In our regression data market model, we analyze strategic interactions between privacy-aware owners and the learner as a Stackelberg game over the asked price and privacy factor. Finally, we numerically evaluate how data similarity affects market participation and traded data value.

cs.LG↗

arXiv2024

Evolving Multi-Scale Normalization for Time Series Forecasting under Distribution Shifts

Complex distribution shifts are the main obstacle to achieving accurate long-term time series forecasting. Several efforts have been conducted to capture the distribution characteristics and propose adaptive normalization techniques to alleviate the influence of distribution shifts. However, these methods neglect the intricate distribution dynamics observed from various scales and the evolving functions of distribution dynamics and normalized mapping relationships. To this end, we propose a novel model-agnostic Evolving Multi-Scale Normalization (EvoMSN) framework to tackle the distribution shift problem. Flexible normalization and denormalization are proposed based on the multi-scale statistics prediction module and adaptive ensembling. An evolving optimization strategy is designed to update the forecasting model and statistics prediction module collaboratively to track the shifting distributions. We evaluate the effectiveness of EvoMSN in improving the performance of five mainstream forecasting methods on benchmark datasets and also show its superiority compared to existing advanced normalization and online learning approaches. The code is publicly available at https://github.com/qindalin/EvoMSN.

cs.LG↗

arXiv2024

Optimal Operation of a Building with Electricity-Heat Networks and Seasonal Storage

As seasonal thermal energy storage emerges as an efficient solution to reduce CO2 emissions of buildings, challenges appear related to its optimal operation. In a system including short-term electricity storage, long-term heat storage, and where electricity and heat networks are connected through a heat pump, it becomes crucial to operate the system on two time scales. Based on real data from a university building, we simulate the operation of such a system over a year, comparing different strategies based on model predictive control (MPC). The first objective of this paper is to determine the minimum prediction horizon to retrieve the results of the full-horizon operation problem with cost minimization. The second objective is to evaluate a method that combines MPC with setting targets on the heat storage level at the end of the prediction horizon, based on historical data. For a prediction horizon of 6 days, the suboptimality gap with the full-horizon results is 4.31%, compared to 11.42% when using a prediction horizon of 42 days and fixing the final level to be equal to the initial level, which is a common approach.

eess.SY↗

arXiv2024

Fairness by design in shared-energy allocation problems

This paper studies how to aggregate prosumers (or large consumers) and their collective decisions in electricity markets, with a focus on fairness. Fairness is essential for prosumers to participate in aggregation schemes. Some prosumers may not be able to access the energy market directly, even though it would be beneficial for them. Therefore, new companies offer to aggregate them and promise to treat them fairly. This leads to a fair resource allocation problem. We propose to use acceptability constraints to guarantee that each prosumer gains from the aggregation. Moreover, we aim to distribute the costs and benefits fairly, taking into account the multi-period and uncertain nature of the problem. Rather than using financial mechanisms to adjust for fairness issues, we focus on various objectives and constraints, within decision problems, that achieve fairness by design. We start from a simple single-period and deterministic model, and then generalize it to a dynamic and stochastic setting using, e.g., stochastic dominance constraints.

math.OC↗

arXiv2024

Data is missing again -- Reconstruction of power generation data using $k$-Nearest Neighbors and spectral graph theory

The risk of missing data and subsequent incomplete data records at wind farms increases with the number of turbines and sensors. We propose here an imputation method that blends data-driven concepts with expert knowledge, by using the geometry of the wind farm in order to provide better estimates when performing Nearest Neighbor imputation. Our method relies on learning Laplacian eigenmaps out of the graph of the wind farm through spectral graph theory. These learned representations can be based on the wind farm layout only, or additionally account for information provided by collected data. The related weighted graph is allowed to change with time and can be tracked in an online fashion. Application to the Westermost Rough offshore wind farm shows significant improvement over approaches that do not account for the wind farm layout information.

stat.AP↗

arXiv2024

Bayesian Regression Markets

Although machine learning tasks are highly sensitive to the quality of input data, relevant datasets can often be challenging for firms to acquire, especially when held privately by a variety of owners. For instance, if these owners are competitors in a downstream market, they may be reluctant to share information. Focusing on supervised learning for regression tasks, we develop a regression market to provide a monetary incentive for data sharing. Our mechanism adopts a Bayesian framework, allowing us to consider a more general class of regression tasks. We present a thorough exploration of the market properties, and show that similar proposals in literature expose the market agents to sizeable financial risks, which can be mitigated in our setup.

cs.LG↗

arXiv2024

Privacy-Preserving Convex Optimization: When Differential Privacy Meets Stochastic Programming

Convex optimization finds many real-life applications, where--optimized on real data--optimization results may expose private data attributes (e.g., individual health records, commercial information), thus leading to privacy breaches. To avoid these breaches and formally guarantee privacy to optimization data owners, we develop a new privacy-preserving perturbation strategy for convex optimization programs by combining stochastic (chance-constrained) programming and differential privacy. Unlike standard noise-additive strategies, which perturb either optimization data or optimization results, we express the optimization variables as functions of the random perturbation using linear decision rules; we then optimize these rules to accommodate the perturbation within the problem's feasible region by enforcing chance constraints. This way, the perturbation is feasible and makes different, yet adjacent in the sense of a given distance function, optimization datasets statistically similar in randomized optimization results, thereby enabling probabilistic differential privacy guarantees. The chance-constrained optimization additionally internalizes the conditional value-at-risk measure to model the tolerance towards the worst-case realizations of the optimality loss w.r.t. the non-private solution. We demonstrate the privacy properties of our perturbation strategy analytically and through optimization and machine learning applications.

math.OC↗

arXiv2024

On the Efficiency of Energy Markets with Non-Merchant Storage

Energy market designs with non-merchant storage have been proposed in recent years, with the aim of achieving optimal market integration of storage. In order to handle the time-linking constraints that are introduced in such markets, existing works commonly make simplifying assumptions about the end-of-horizon storage level, e.g., by imposing an exogenous level for the amount of energy to be left for the next time horizon. This work analyzes market properties under such assumptions, as well as in their absence. We find that, although they ensure cost recovery for all market participants, these assumptions generally lead to market inefficiencies. Therefore we consider the design of markets with non-merchant storage without such simplifying assumptions. Using illustrative examples, as well as detailed proofs, we provide conditions under which market prices in subsequent market horizons fail to reflect the value of stored energy. We show that this problem is essential to address in order to preserve market efficiency and cost recovery. Finally, we propose a method for restoring these market properties in a perfect-foresight setting.

math.OC↗

arXiv2023

Seamless and multi-resolution energy forecasting

Energy forecasting is pivotal in energy systems, by providing fundamentals for operation, with different horizons and resolutions. Though energy forecasting has been widely studied for capturing temporal information, very few works concentrate on the frequency information provided by forecasts. They are consequently often limited to single-resolution applications (e.g., hourly). Here, we propose a unified energy forecasting framework based on Laplace transform in the multi-resolution context. The forecasts can be seamlessly produced at different desired resolutions without re-training or post-processing. Case studies on both energy demand and supply data show that the forecasts from our proposed method can provide accurate information in both time and frequency domains. Across the resolutions, the forecasts also demonstrate high consistency. More importantly, we explore the operational effects of our produced forecasts in the day-ahead and intra-day energy scheduling. The relationship between (i) errors in both time and frequency domains and (ii) operational value of the forecasts is analysed. Significant operational benefits are obtained.

eess.SP↗