Related papers: Risk-Limiting Dynamic Contracts for Direct Load Co…
We introduce a new model of combinatorial contracts in which a principal delegates the execution of a costly task to an agent. To complete the task, the agent can take any subset of a given set of unobservable actions, each of which has an…
We propose an enhancement to wholesale electricity markets whereby the exposure of consumers to increasingly large and volatile consumer payments arising as a byproduct of volatile real-time net loads -- i.e., loads minus renewable outputs…
In this paper we consider a principal agent problem where the agent is allowed to quit, by incurring a cost. When the current agent quits the job, the principal will hire a new one, possibly with a different type. We characterize the…
In the classical principal-agent problem, a principal must design a contract to incentivize an agent to perform an action on behalf of the principal. We study the classical principal-agent problem in a setting where the agent can be of one…
This paper presents a new theory, known as robust dynamic pro- gramming, for a class of continuous-time dynamical systems. Different from traditional dynamic programming (DP) methods, this new theory serves as a fundamental tool to analyze…
The recent work by Cvitani\'c, Possama\"i, and Touzi (2018) [9] presents a general approach for continuous-time principal-agent problems, through dynamic programming and second-order backward stochastic differential equations (BSDEs). In…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
We address a dynamic pricing problem for airlines aiming to maximize expected revenue from selling cargo space on a single-leg flight. The cargo shipments' weight and volume are uncertain and their precise values remain unavailable at the…
The agency problem emerges in today's large scale machine learning tasks, where the learners are unable to direct content creation or enforce data collection. In this work, we propose a theoretical framework for aligning economic interests…
This work proposes a novel risk-perception-aware (RPA) control design using non-rational perception of risks associated with uncertain dynamic spatial costs. We use Cumulative Prospect Theory (CPT) to model the risk perception of a decision…
We study hidden-action principal-agent problems in which a principal commits to an outcome-dependent payment scheme (called contract) so as to incentivize the agent to take a costly, unobservable action leading to favorable outcomes. In…
I analyze long-term contracting in insurance markets with asymmetric information. The buyer privately observes her risk type, which evolves stochastically over time. A long-term contract specifies a menu of insurance policies, contingent on…
The increasing penetration of renewable energy has introduced substantial volatility into wholesale electricity markets, complicating the optimal bidding strategies for power producers. Traditional Reinforcement Learning (RL) approaches…
Demand response (DR) refers to change in electricity consumption pattern of customers during on-peak hours in lieu of financial gains to reduce stress on distribution systems. Existing dynamic price models have not provided adequate success…
The Contract Net Protocol (1980) introduced coordination through contracts in multi-agent systems. Modern agent protocols standardize connectivity and interoperability; yet, none provide formal, resource governance-normative mechanisms to…
A runtime assurance system (RTA) for a given plant enables the exercise of an untrusted or experimental controller while assuring safety with a backup (or safety) controller. The relevant computational design problem is to create a logic…
We use martingale and stochastic analysis techniques to study a continuous-time optimal stopping problem, in which the decision maker uses a dynamic convex risk measure to evaluate future rewards. We also find a saddle point for an…
The problem of order execution is cast as a relative entropy-regularized robust optimal control problem in this article. The order execution agent's goal is to maximize an objective functional associated with his profit-and-loss of trading…
We study a bilevel \emph{max-max} optimization framework for principal-agent contract design, in which a principal chooses incentives to maximize utility while anticipating the agent's best response. This problem, central to moral hazard…
In the combinatorial action model of contract design, a principal delegates a complex project to an agent, incentivizing a subset of actions from a ground set of $n$ actions, via a linear contract. Computing the optimal contract is a…