Zhang Dali
Email Address
isezd@nus.edu.sg
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Publication A two stage stochastic equilibrium model for electricity markets with forward contracts(2010) Zhang, D.; Kim, S.; INDUSTRIAL & SYSTEMS ENGINEERINGThis paper investigates a two stage equilibrium model for generators' strategic behaviors in contract signing in the forward market and electricity bidding in the electricity spot market. We propose a linear asymmetric supply function equilibrium model to develop generators' optimal bidding strategies considering a forward market equilibrium in the second stage, and show the existence and uniqueness of the two stage stochastic equilibrium. In the numerical test, we present some stability analysis on the impacts of a set of factors on the market clearing price in the spot market and strike price in the forward market. ©2010 IEEE.Publication Convergence properties of direct search methods for stochastic optimization(2010) Kim, S.; Zhang, D.; INDUSTRIAL & SYSTEMS ENGINEERINGSimulation is widely used to evaluate the performance and optimize the design of a complex system. In the past few decades, a great deal of research has been devoted to solving simulation optimization problems, perhaps owing to their generality. However, although there are many problems of practical interests that can be cast in the framework of simulation optimization, it is often difficult to obtain an understanding of their structure, making them very challenging. Direct search methods are a class of deterministic optimization methods particularly designed for black-box optimization problems. In this paper, we present a class of direct search methods for simulation optimization problems with stochastic noise. The optimization problem is approximated using a sample average approximation scheme. We propose an adaptive sampling scheme to improve the efficiency of direct search methods and prove the consistency of the solutions. ©2010 IEEE.