Related papers: Risk-Limiting Dynamic Contracts for Direct Load Co…

We consider a distribution logistics scenario where a shipping operator, managing a limited amount of resources, receives a stream of collection requests, issued by a set of customers along a booking time-horizon, that are referred to a…

We study the problem of optimal incentive design for voluntary participation of electricity customers in a Direct Load Scheduling (DLS) program, a new form of Direct Load Control (DLC) based on a three way communication protocol between…

We propose a new principal-agent framework where a principal communicates a roadmap -- a set of plausible outcome models and a prior belief over them -- to guide an agent who is learning the value of innovation. The agent trusts the prior…

Risk-bounded motion planning is an important yet difficult problem for safety-critical tasks. While existing mathematical programming methods offer theoretical guarantees in the context of constrained Markov decision processes, they either…

This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal…

We introduce a two-agent problem which is inspired by price asymmetry arising from funding difference. When two parties have different funding rates, the two parties deduce different fair prices for derivative contracts even under the same…

A contract is an economic tool used by a principal to incentivize one or more agents to exert effort on her behalf, by defining payments based on observable performance measures. A key challenge addressed by contracts -- known in economics…

We study principal-agent problems in which a principal commits to an outcome-dependent payment scheme (a.k.a. contract) so as to induce an agent to take a costly, unobservable action. We relax the assumption that the principal perfectly…

In this paper, we consider a class of stochastic optimal control problems with risk constraints that are expressed as bounded probabilities of failure for particular initial states. We present here a martingale approach that diffuses a risk…

Renewable energy-based microgrids play a critical role in future smart grids. Due to the uncertainties of renewable generations, the microgrids face potential risk of load shedding during operation. To address this problem, we propose a…

This paper motivates the views that for complex systems, risk should be controlled by enforcing constraints in a modular way at different system levels, that the constraints can be expressed as assurance contracts and that acceptable risk…

We study an exit contract design problem, where one provides a universal exit contract to multiple heterogeneous agents, with which each agent chooses an optimal (exit) stopping time. The problem consists in optimizing the universal exit…

In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…

We introduce a class of robust control problems formulated in min-max form, in which the principal agent is viewed as a central planner facing Nature. The agent's cost is a nonlinear function of all its possible realizations, encompassing…

We develop a novel decentralized control method for a network of perturbed linear systems with dynamical couplings subject to Signal Temporal Logic (STL) specifications. We first transform the STL requirements into set containment problems…

The question of pricing and hedging a given contingent claim has a unique solution in a complete market framework. When some incompleteness is introduced, the problem becomes however more difficult. Several approaches have been adopted in…

In this paper we propose a dynamic model of Limit Order Book (LOB). The main feature of our model is that the shape of the LOB is determined endogenously by an expected utility function via a competitive equilibrium argument. Assuming zero…

This paper studies a dynamic screening model in which a principal hires an agent with limited liability. The agent's private cost of working is an i.i.d. draw from a continuous distribution. His working status is publicly observable. The…

In the classical principal-agent hidden-action contract model, a principal delegates the execution of a costly task to an agent. In order to complete the task, the agent chooses an action from a set of actions, where each potential action…

Load management is being recognized as an important option for active user participation in the energy market. Traditional load management methods usually require a centralized powerful control center and a two-way communication network…