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Reliable forecasting of prosumer flexibility is critical for demand response aggregators participating in frequency controlled ancillary services market, where strict reliability requirements such as the P90 standard are enforced. Limited…
This paper proposes a risk-averse approach to energy storage price arbitrage, leveraging conformal uncertainty quantification for electricity price predictions. The method addresses the significant challenges posed by the inherent…
We present a synthetic prediction market whose agent purchase logic is defined using a sigmoid transformation of a convex semi-algebraic set defined in feature space. Asset prices are determined by a logarithmic scoring market rule. Time…
In this paper, we present approximation algorithms for combinatorial optimization problems under probabilistic constraints. Specifically, we focus on stochastic variants of two important combinatorial optimization problems: the k-center…
This paper describes an algorithm for selecting parameter values (e.g. temperature values) at which to measure equilibrium properties with Parallel Tempering Monte Carlo simulation. Simple approaches to choosing parameter values can lead to…
Calibration refers to the estimation of unknown parameters which are present in computer experiments but not available in physical experiments. An accurate estimation of these parameters is important because it provides a scientific…
This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…
Computing market equilibria is an important practical problem for market design, for example in fair division of items. However, computing equilibria requires large amounts of information (typically the valuation of every buyer for every…
We consider class of equilibrium models including the implicit Walras supply-demand and competitive models. Such a model in this class, in general, is ill-posed. We formulate such a model in the form a variational inequality having certain…
In this paper we consider the problem of finding bounds on the prices of options depending on multiple assets without assuming any underlying model on the price dynamics, but only the absence of arbitrage opportunities. We formulate this as…
Recommender Systems use the user's profile to generate a recommendation list with unknown items to a target user. Although the primary goal of traditional recommendation systems is to deliver the most relevant items, such an effort…
Simulation models of critical systems often have parameters that need to be calibrated using observed data. For expensive simulation models, calibration is done using an emulator of the simulation model built on simulation output at…
Renewable electricity generation has grown significantly across many European power systems, leading to a greener energy mix, but also additional complexity in balancing electricity supply and demand. Unexpected differences between…
As foundation models grow in size, fine-tuning them becomes increasingly expensive. While GPU spot instances offer a low-cost alternative to on-demand resources, their volatile prices and availability make deadline-aware scheduling…
Understanding how the optimal value of an optimisation problem changes when its input data is modified is an old question in mathematical optimisation. This paper investigates the computation of the optimal values of a family of (possibly…
In this paper we introduce a completely continuous and time-variate model of the evolution of market limit orders based on the existence, uniqueness, and regularity of the solutions to a type of stochastic partial differential equations…
This paper studies Markov perfect equilibria in a repeated duopoly model where sellers choose algorithms. An algorithm is a mapping from the competitor's price to own price. Once set, algorithms respond quickly. Customers arrive randomly…
We study a recommendation system where sellers compete for visibility by strategically offering commissions to a platform that optimally curates a ranked menu of items and their respective prices for each customer. Customers interact…
We consider the Arrow--Debreu exchange market model under the assumption that the agents' demands satisfy the weak gross substitutes (WGS) property. We present a simple auction algorithm that obtains an approximate market equilibrium for…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…