{"id":"https://openalex.org/W7106327978","doi":"https://doi.org/10.48550/arxiv.2511.15629","title":"GPU-Accelerated Dynamic Programming for Multistage Stochastic Energy Storage Arbitrage","display_name":"GPU-Accelerated Dynamic Programming for Multistage Stochastic Energy Storage Arbitrage","publication_year":2025,"publication_date":"2025-11-19","ids":{"openalex":"https://openalex.org/W7106327978","doi":"https://doi.org/10.48550/arxiv.2511.15629"},"language":null,"primary_location":{"id":"doi:10.48550/arxiv.2511.15629","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2511.15629","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.48550/arxiv.2511.15629","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":null,"display_name":"Lee, Thomas","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Lee, Thomas","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]},{"author_position":"last","author":{"id":null,"display_name":"Sun, Andy","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Sun, Andy","raw_affiliation_strings":[],"raw_orcid":null,"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10603","display_name":"Smart Grid Energy Management","score":0.30160000920295715,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},"topics":[{"id":"https://openalex.org/T10603","display_name":"Smart Grid Energy Management","score":0.30160000920295715,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10424","display_name":"Electric Power System Optimization","score":0.11710000038146973,"subfield":{"id":"https://openalex.org/subfields/2208","display_name":"Electrical and Electronic Engineering"},"field":{"id":"https://openalex.org/fields/22","display_name":"Engineering"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.06859999895095825,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/speedup","display_name":"Speedup","score":0.8823999762535095},{"id":"https://openalex.org/keywords/dynamic-programming","display_name":"Dynamic programming","score":0.6383000016212463},{"id":"https://openalex.org/keywords/bidding","display_name":"Bidding","score":0.6335999965667725},{"id":"https://openalex.org/keywords/discretization","display_name":"Discretization","score":0.5669999718666077},{"id":"https://openalex.org/keywords/stochastic-programming","display_name":"Stochastic programming","score":0.49779999256134033},{"id":"https://openalex.org/keywords/stochastic-game","display_name":"Stochastic game","score":0.45419999957084656},{"id":"https://openalex.org/keywords/electricity","display_name":"Electricity","score":0.38420000672340393},{"id":"https://openalex.org/keywords/algebraic-number","display_name":"Algebraic number","score":0.3246999979019165}],"concepts":[{"id":"https://openalex.org/C68339613","wikidata":"https://www.wikidata.org/wiki/Q1549489","display_name":"Speedup","level":2,"score":0.8823999762535095},{"id":"https://openalex.org/C37404715","wikidata":"https://www.wikidata.org/wiki/Q380679","display_name":"Dynamic programming","level":2,"score":0.6383000016212463},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.6341000199317932},{"id":"https://openalex.org/C9233905","wikidata":"https://www.wikidata.org/wiki/Q3276328","display_name":"Bidding","level":2,"score":0.6335999965667725},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.6276000142097473},{"id":"https://openalex.org/C73000952","wikidata":"https://www.wikidata.org/wiki/Q17007827","display_name":"Discretization","level":2,"score":0.5669999718666077},{"id":"https://openalex.org/C137631369","wikidata":"https://www.wikidata.org/wiki/Q7617831","display_name":"Stochastic programming","level":2,"score":0.49779999256134033},{"id":"https://openalex.org/C22171661","wikidata":"https://www.wikidata.org/wiki/Q1074380","display_name":"Stochastic game","level":2,"score":0.45419999957084656},{"id":"https://openalex.org/C206658404","wikidata":"https://www.wikidata.org/wiki/Q12725","display_name":"Electricity","level":2,"score":0.38420000672340393},{"id":"https://openalex.org/C173608175","wikidata":"https://www.wikidata.org/wiki/Q232661","display_name":"Parallel computing","level":1,"score":0.34290000796318054},{"id":"https://openalex.org/C9376300","wikidata":"https://www.wikidata.org/wiki/Q168817","display_name":"Algebraic number","level":2,"score":0.3246999979019165},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.32190001010894775},{"id":"https://openalex.org/C72169020","wikidata":"https://www.wikidata.org/wiki/Q194404","display_name":"Monotonic function","level":2,"score":0.3140000104904175},{"id":"https://openalex.org/C160623529","wikidata":"https://www.wikidata.org/wiki/Q273088","display_name":"Arbitrage","level":2,"score":0.3133000135421753},{"id":"https://openalex.org/C106189395","wikidata":"https://www.wikidata.org/wiki/Q176789","display_name":"Markov decision process","level":3,"score":0.29190000891685486},{"id":"https://openalex.org/C34165917","wikidata":"https://www.wikidata.org/wiki/Q188267","display_name":"Programming paradigm","level":2,"score":0.2896000146865845},{"id":"https://openalex.org/C41045048","wikidata":"https://www.wikidata.org/wiki/Q202843","display_name":"Linear programming","level":2,"score":0.28459998965263367},{"id":"https://openalex.org/C186370098","wikidata":"https://www.wikidata.org/wiki/Q442787","display_name":"Energy (signal processing)","level":2,"score":0.28360000252723694},{"id":"https://openalex.org/C194387892","wikidata":"https://www.wikidata.org/wiki/Q1747770","display_name":"Stochastic optimization","level":2,"score":0.27900001406669617},{"id":"https://openalex.org/C24858836","wikidata":"https://www.wikidata.org/wiki/Q844718","display_name":"Theory of computation","level":2,"score":0.2721000015735626},{"id":"https://openalex.org/C2779391423","wikidata":"https://www.wikidata.org/wiki/Q17009728","display_name":"Dynamic pricing","level":2,"score":0.2718000113964081},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.2596000134944916},{"id":"https://openalex.org/C193254401","wikidata":"https://www.wikidata.org/wiki/Q2160088","display_name":"Robust optimization","level":2,"score":0.2549999952316284}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.48550/arxiv.2511.15629","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2511.15629","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"Preprint"}],"best_oa_location":{"id":"doi:10.48550/arxiv.2511.15629","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.2511.15629","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":"2331-8422","issn":["2331-8422"],"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"Preprint"},"sustainable_development_goals":[{"display_name":"Affordable and clean energy","id":"https://metadata.un.org/sdg/7","score":0.8852059245109558}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":[],"abstract_inverted_index":{"We":[0],"develop":[1],"a":[2,55,60,79,98],"GPU-accelerated":[3],"dynamic":[4],"programming":[5],"(DP)":[6],"method":[7,46,87],"for":[8],"valuing,":[9],"operating,":[10],"and":[11,92],"bidding":[12],"energy":[13],"storage":[14],"under":[15],"multistage":[16],"stochastic":[17],"electricity":[18],"prices.":[19],"Motivated":[20],"by":[21,53,82],"computational":[22],"limitations":[23],"in":[24,33],"existing":[25],"models,":[26],"we":[27],"formulate":[28],"DP":[29,57,86],"backward":[30],"induction":[31],"entirely":[32],"tensor-based":[34],"algebraic":[35],"operations":[36],"that":[37,63],"map":[38],"naturally":[39],"onto":[40],"massively":[41],"parallel":[42],"GPU":[43],"hardware.":[44],"Our":[45],"accommodates":[47],"general,":[48],"potentially":[49],"non-concave":[50],"payoff":[51],"structures,":[52],"combining":[54],"discretized":[56],"formulation":[58],"with":[59],"convexification":[61],"procedure":[62],"produces":[64],"market-feasible,":[65],"monotonic":[66],"price-quantity":[67],"bid":[68],"curves.":[69],"Numerical":[70],"experiments":[71],"using":[72],"ISO-NE":[73],"real-time":[74],"prices":[75],"demonstrate":[76],"up":[77],"to":[78,89,97,108],"100x":[80],"speedup":[81,95],"the":[83],"proposed":[84],"GPU-based":[85],"relative":[88],"CPU":[90],"computation,":[91],"an":[93],"8,000x":[94],"compared":[96,107],"commercial":[99],"MILP":[100],"solver,":[101],"while":[102],"retaining":[103],"sub-0.3%":[104],"optimality":[105],"gaps":[106],"exact":[109],"benchmarks.":[110]},"counts_by_year":[],"updated_date":"2026-07-28T07:46:37.118299","created_date":"2025-11-23T00:00:00"}
