Minimax rule for energy optimization

•Climate change and urbanization increase air temperatures and energy demands.•Large fluctuations in energy consumption due to heat waves and air conditioning.•Similarities between energy and portfolio optimization problems are identified.•An efficient solution for energy optimization problem is presented.

The purpose of this paper is to present an efficient solution for energy optimization problem. We have identified some similarities between portfolio optimization and energy optimization. Using Kuhn-Tucker conditions we compute the efficient solution for a bi-criteria energy optimization problem.