Related papers: The Transfer Pricing Problem with Non-Linearities
Energy storage resources must consider both price uncertainties and their physical operating characteristics when participating in wholesale electricity markets. This is a challenging problem as electricity prices are highly volatile, and…
Spreadsheets often have variables and formulas that are similar, differing only by the fact that they refer to different instances of an entity. For example, the calculation of the sales revenues of the South and East regions are Revenues…
Modern software systems are built to be used in dynamic environments using configuration capabilities to adapt to changes and external uncertainties. In a self-adaptation context, we are often interested in reasoning about the performance…
Numerical transfer matrices have been widely used in the study of wave propagation and scattering. These may be viewed as descretizations of a recently introduced fundamental notion of transfer matrix which admits a representation in terms…
Randomized clinical trials are the gold standard for analyzing treatment effects, but high costs and ethical concerns can limit recruitment, potentially leading to invalid inferences. Incorporating external trial data with similar…
Problem definition: We study a data-driven pricing problem in which a seller sets a price for a single item based on demand observed at a limited number of historical prices. Our goal is to quantify the value of such information and to…
Transfer learning has become an essential technique to exploit information from the source domain to boost performance of the target task. Despite the prevalence in high-dimensional data, heterogeneity and heavy tails are insufficiently…
Although machine learning approaches have been widely used in the field of finance, to very successful degrees, these approaches remain bespoke to specific investigations and opaque in terms of explainability, comparability, and…
The Traveling Salesman Problem is a fundamental combinatorial optimization problem widely studied in operations research. Despite its simple formulation, it remains computationally challenging due to the exponential growth of the search…
We analyze a monetary system of random money transfer on the basis of double entry bookkeeping. Without boundary conditions, we do not reach a price equilibrium and violate text-book formulas of economists quantity theory (MV=PQ). To match…
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on the one hand, the problem is…
We investigate a spectrum oligopoly market where primaries lease their channels to secondaries in lieu of financial remuneration. Transmission quality of a channel evolves randomly. Each primary has to select the price it would quote…
As the non-fungible token (NFT) market flourishes, price prediction emerges as a pivotal direction for investors gaining valuable insight to maximize returns. However, existing works suffer from a lack of practical definitions and…
Training a deep neural network with a small amount of data is a challenging problem as it is vulnerable to overfitting. However, one of the practical difficulties that we often face is to collect many samples. Transfer learning is a…
This work deals with an inverse two-dimensional nonlinear heat conduction problem to determine the top and lateral surface transfer coefficients. For this, the \textsc{B}ayesian framework with the \textsc{M}arkov Chain \textsc{M}onte…
Motivated by the recent popularity of machine learning training services, we introduce a contract design problem in which a provider sells a service that results in an outcome of uncertain quality for the buyer. The seller has a set of…
Semidiscrete optimal transport is a challenging generalization of the classical transportation problem in linear programming. The goal is to design a joint distribution for two random variables (one continuous, one discrete) with fixed…
In this short note, we consider mean-variance optimized portfolios with transaction costs. We show that introducing quadratic transaction costs makes the optimization problem more difficult than using linear transaction costs. The reason…
The energy transition is expected to significantly increase the share of renewable energy sources whose production is intermittent in the electricity mix. Apart from key benefits, this development has the major drawback of generating a…
The matter of the stability for multi-asset American option pricing problems is a present remaining challenge. In this paper a general transformation of variables allows to remove cross derivative terms reducing the stencil of the proposed…