Abstract:This paper studies the problem of procuring diverse resources in a forward market to cover a set E of uncertain demand signals e. We consider two scenarios: (a) e is revealed all at once by an oracle (b) e reveals itself causally. Each scenario induces an optimal procurement cost. The ratio between these two costs is defined as the price of causality. It captures the additional cost of not knowing the future values of the uncertain demand signal. We consider two application contexts: procuring energy reserves … Show more
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