Optimization Defined Blocks

Challenge: Design a system where execution involves solving multiple optimization problems (not as part of a larger, more difficult problem!)

Controller @ 1 Hz === Controller @ 10 Hz === Controller @ 100 Hz

National power scheduler
Regional power scheduler
Municipal power scheduler
Building power scheduler

Interface: Functional approximation of f(block(params of interest))
e.g. reduce building power needs to a quadratic approximation

Higher level optimizers need simplified models of lower level problems, and vice versa. For example, a portfolio optimizer has a simplified view of transaction costs. An optimal execution agent focuses on individual stocks rather than portfolios.

Written on August 30, 2020