Related papers: Optimal Allocation Strategies for the Dark Pool Pr…
This paper sets up a methodology for approximately solving optimal investment problems using duality methods combined with Monte Carlo simulations. In particular, we show how to tackle high dimensional problems in incomplete markets, where…
Motivated by the need to better understand the properties of sparse cutting-planes used in mixed integer programming solvers, the paper [2] studied the idealized problem of how well a polytope is approximated by the use of sparse valid…
As the development of distributed systems progresses, more and more challenges arise and the need for developing optimized systems and for optimizing existing systems from multiple perspectives becomes more stringent. In this paper I…
This paper studies the optimal dividend problem with capital injection under the constraint that the cumulative dividend strategy is absolutely continuous. We consider an open problem of the general spectrally negative case and derive the…
This paper addresses the critical problem of co-optimizing the optimal locations for orbital depots and the sequence of in-space servicing for a satellite constellation. While most traditional studies used network optimization for this…
In large-scale systems there are fundamental challenges when centralised techniques are used for task allocation. The number of interactions is limited by resource constraints such as on computation, storage, and network communication. We…
Hydro storage system optimization is becoming one of the most challenging tasks in Energy Finance. While currently the state-of-the-art of the commercial software in the industry implements mainly linear models, we would like to introduce…
In this paper, we investigate a distributed interval optimization problem which is modeled with optimizing a sum of convex interval-valued objective functions subject to global convex constraints, corresponding to agents over a time-varying…
In this report, we survey Bayesian Optimization methods focussed on the Multi-Armed Bandit Problem. We take the help of the paper "Portfolio Allocation for Bayesian Optimization". We report a small literature survey on the acquisition…
In this paper, we search for optimal portfolio strategies in the presence of various risk measure that are common in financial applications. Particularly, we deal with the static optimization problem with respect to Value at Risk, Expected…
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…
We study the allocation strategies for redundant components in the load-sharing series/parallel systems. We show that under the specified assumptions, the allocation of a redundant component to the stochastically weakest (strongest)…
Many allocation problems in multiagent systems rely on agents specifying cardinal preferences. However, allocation mechanisms can be sensitive to small perturbations in cardinal preferences, thus causing agents who make ``small" or…
This paper firstly addresses the problem of risk assessment under false data injection attacks on uncertain control systems. We consider an adversary with complete system knowledge, injecting stealthy false data into an uncertain control…
Optimal trading strategies for pairs trading have been studied by models that try to find either optimal shares of stocks by assuming no transaction costs or optimal timing of trading fixed numbers of shares of stocks with transaction…
Placement Optimization is an important problem in systems and chip design, which consists of mapping the nodes of a graph onto a limited set of resources to optimize for an objective, subject to constraints. In this paper, we start by…
The pooling problem has applications, e.g., in petrochemical refining, water networks, and supply chains and is widely studied in global optimization. To date, it has largely been treated deterministically, neglecting the influence of…
We examine the problem of the existence of optimal deterministic stationary strategiesintwo-players antagonistic (zero-sum) perfect information stochastic games with finitely many states and actions.We show that the existenceof such…
We consider the problem of finding optimally stable polynomial approximations to the exponential for application to one-step integration of initial value ordinary and partial differential equations. The objective is to find the largest…
We propose a novel pooling strategy that learns how to adaptively rank deep convolutional features for selecting more informative representations. To this end, we exploit discriminative analysis to project the features onto a space spanned…