Dan Wu

·Research Focus

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Non-convex Optimization Theory and Methods

Making decisions is very common for rational beings but can be notoriously hard sometimes. The quantitative way of making an appropriate decision stems from mathematical optimization theory. 


In today's power and energy markets numerous decisions are made through numerical optimization algorithms. For example, how to plan the next 5-year generation, when to short an option contract in gas market, how to clear the spot market, etc. In many cases, the real world constraints induce non-convexity to the associated optimization problems, which can yield multiple local optima. 


From engineering heuristics one can solve a non-convex optimization problem with off-the-shelf solvers. We are very curious about if multiple optima exist, and if they exist, how to locate them.