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Autonomous control systems use various sensors to decrease the amount of uncertainty under which they operate. While providing partial observation of the current state of the system, sensors require resources such as energy, time and…
We consider the optimal solutions to the trade execution problem in the two different classes of i) fully adapted or adaptive and ii) deterministic or static strategies, comparing them. We do this in two different benchmark models. The…
An instance $I$ of the Stable Matching Problem (SMP) is given by a bipartite graph with a preference list of neighbors for every vertex. A swap in $I$ is the exchange of two consecutive vertices in a preference list. A swap can be viewed as…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
Label switching is a phenomenon arising in mixture model posterior inference that prevents one from meaningfully assessing posterior statistics using standard Monte Carlo procedures. This issue arises due to invariance of the posterior…
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…
In this article we study and classify optimal martingales in the dual formulation of optimal stopping problems. In this respect we distinguish between weakly optimal and surely optimal martingales. It is shown that the family of weakly…
Wholesale electricity markets in many jurisdictions use a two-settlement structure: a day-ahead market for bulk power transactions and a real-time market for fine-grain supply-demand balancing. This paper explores trading demand response…
Achieving a just and sustainable transition requires the pursuit of multiple social and environmental targets. Two primary barriers impede this process: (1) targets are often in conflict with each other, and (2) policies aimed at these…
We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…
Aiming to analyze the impact of environmental transition on the value of assets and on asset stranding, we study optimal stopping and divestment timing decisions for an economic agent whose future revenues depend on the realization of a…
We study the optimal financing and dividend distribution problem with restricted dividend rates in a diffusion type surplus model where the drift and volatility coefficients are general functions of the level of surplus and the external…
This paper proves the existence of optimal stopping times via elementary functional analytic arguments. The problem is first relaxed into a convex optimization problem over a closed convex subset of the unit ball of the dual of a Banach…
Solutions to optimal control problems can be discontinuous, even if all the functionals defining the problem are smooth. This can cause difficulties when numerically computing solutions to these problems. While conventional numerical…
We prove the existence of weak solution for a system of quasi-variational inequalities related to a switching problem with dynamic driven by operator associated with a semi-Dirichlet form and with measure data. We give a stochastic…
We consider an optimal liquidation problem with instantaneous price impact and stochastic resilience for small instantaneous impact factors. Within our modelling framework, the optimal portfolio process converges to the solution of an…
We propose a new LMI approach to the design of optimal switching sequences for polynomial dynamical systems with state constraints. We formulate the switching design problem as an optimal control problem which is then relaxed to a linear…
Strategy improvement is a widely-used and well-studied class of algorithms for solving graph-based infinite games. These algorithms are parameterized by a switching rule, and one of the most natural rules is "all switches" which switches as…
We examine the problem of smoothed online optimization, where a decision maker must sequentially choose points in a normed vector space to minimize the sum of per-round, non-convex hitting costs and the costs of switching decisions between…
Sustainable Development Goals are intrinsically competing, but their embedding into urban systems furthermore emphasises such compromises, due to spatial complexity, the non-optimal nature of such systems, and multi-objective aspects of…