Co-Optimization of VaR and CVaR for Data-Driven Stochastic Demand Response Auction.

Matt Roveto Robert Mieth Yury Dvorkin

Published in: IEEE Control. Syst. Lett. (2020)

Keyphrases

data driven
robust optimization
stochastic demand
risk measures
infinite horizon
inventory control
mathematical programming
optimization problems
combinatorial optimization
machine learning
decision making
objective function
graphical models
non stationary
lead time
single item