Related papers: An Integral Formulation and Convex Hull Pricing fo…
Unit maintenance and unit commitment are two critical and interrelated aspects of electric power system operation, both of which face the challenge of coordinating efforts to enhance reliability and economic performance. This challenge…
We study the convex-hull problem in a probabilistic setting, motivated by the need to handle data uncertainty inherent in many applications, including sensor databases, location-based services and computer vision. In our framework, the…
Enterprise workloads usually call for an uptime service level agreement (SLA) at the pain of contractual penalty in the event of slippage. Often, the strategy is to introduce ad-hoc HA (High Availability) mechanisms in response. Implemented…
The optimal pricing problem is a fundamental problem that arises in combinatorial auctions. Suppose that there is one seller who has indivisible items and multiple buyers who want to purchase a combination of the items. The seller wants to…
We study the optimal routing problem in decentralized exchanges built on Constant Function Market Makers when trades can be split across multiple heterogeneous pools and execution incurs fixed on-chain costs (gas fees). While prior routing…
The convex hull cheapest insertion heuristic is a well-known method that efficiently generates good solutions to the Traveling Salesperson Problem. However, this heuristic has not been adapted to account for precedence constraints that…
In this letter, we investigate the problem of actuator scheduling for networked control systems. Given a stochastic linear system with a number of actuators, we consider the case that one actuator is activated at each time. This problem is…
We present a convex hull algorithm that is accelerated on commodity graphics hardware. We analyze and identify the hurdles of writing a recursive divide and conquer algorithm on the GPU and divise a framework for representing this class of…
We consider the problem of computing upper and lower bounds on the price of a European basket call option, given prices on other similar baskets. Although this problem is very hard to solve exactly in the general case, we show that in some…
We study the convex hulls of reachable sets of nonlinear systems with bounded disturbances and uncertain initial conditions. Reachable sets play a critical role in control, but remain notoriously challenging to compute, and existing…
Convexity, though extremely important in mathematical programming, has not drawn enough attention in the field of dynamic programming. This paper gives conditions for verifying convexity of the cost-to-go functions, and introduces an…
Pricing is an important issue in mobile edge computing. How to appropriately determine the bid of end user (EU) is an incentive factor for edge cloud (EC) to offer service. In this letter, we propose an equilibrium pricing scheme based on…
We develop a sketching algorithm to find the point on the convex hull of a dataset, closest to a query point outside it. Studying the convex hull of datasets can provide useful information about their geometric structure and their…
In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…
This paper describes an optimization model for setting bid levels for certain types of advertisements on web pages. This model is non-convex, but we are able to obtain optimal or near-optimal solutions rapidly using branch and cut…
In this paper, we cope with the following problem: compute the size of the convex hull of a configuration C, where the given data is the number of separating lines between any two points of the configuration (where the lines are generated…
We consider the problem of controlling an unknown linear dynamical system under a stochastic convex cost and full feedback of both the state and cost function. We present a computationally efficient algorithm that attains an optimal…
The unit commitment problem (UC) is an optimization problem concerning the operation of electrical generators. Many algorithms have been proposed for the UC and in recent years a more decentralized approach, by solving the UC with…
Uplift modeling is an emerging machine learning approach for estimating the treatment effect at an individual or subgroup level. It can be used for optimizing the performance of interventions such as marketing campaigns and product designs.…
We introduce an efficient computational framework for solving a class of multi-marginal martingale optimal transport problems, which includes many robust pricing problems of large financial interest. Such problems are typically…