Related papers: Modeling the US-China trade conflict: a utility th…

Bilateral trade models the task of intermediating between two strategic agents, a seller and a buyer, willing to trade a good for which they hold private valuations. We study this problem from the perspective of a broker, in a regret…

Consider a network design application where we wish to lay down a minimum-cost spanning tree in a given graph; however, we only have stochastic information about the edge costs. To learn the precise cost of any edge, we have to conduct a…

The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…

We develop a probabilistic framework for analysing model-based reinforcement learning in the episodic setting. We then apply it to study finite-time horizon stochastic control problems with linear dynamics but unknown coefficients and…

This paper investigates the problem of maximizing expected terminal utility in a (generically incomplete) discrete-time financial market model with finite time horizon. In contrast to the standard setting, a possibly non-concave utility…

We give a complete solution to the problem of minimizing the expected liquidity costs in presence of a general drift when the underlying market impact model has linear transient price impact with exponential resilience. It turns out that…

Modeling the purposeful behavior of imperfect agents from a small number of observations is a challenging task. When restricted to the single-agent decision-theoretic setting, inverse optimal control techniques assume that observed behavior…

We study an energy market composed of producers who compete to supply energy to different markets and want to maximize their profits. The energy market is modeled by a graph representing a constrained power network where nodes represent the…

We consider the problem of dynamic buying and selling of shares from a collection of $N$ stocks with random price fluctuations. To limit investment risk, we place an upper bound on the total number of shares kept at any time. Assuming that…

We adress the maximization problem of expected utility from terminal wealth. The special feature of this paper is that we consider a financial market where the price process of risky assets can have a default time. Using dynamic…

This working paper is divided into two parts. Firstly, we develop a new combined equilibrium model of business land-use, which puts travelers' traffic equilibrium and business companies' competitive location equilibrium into a unified…

We propose a simple yet effective solution to tackle the often-competing goals of fairness and utility in classification tasks. While fairness ensures that the model's predictions are unbiased and do not discriminate against any particular…

We consider an insurance company modelling its surplus process by a Brownian motion with drift. Our target is to maximise the expected exponential utility of discounted dividend payments, given that the dividend rates are bounded by some…

It has been recently suggested that in wireless networks, CSMA-based distributed MAC algorithms could achieve optimal utility without any message passing. We present the first proof of convergence of such adaptive CSMA algorithms towards an…

In electricity markets, retailers or brokers want to maximize profits by allocating tariff profiles to end consumers. One of the objectives of such demand response management is to incentivize the consumers to adjust their consumption so…

We propose a consensus opinion model based on the evolutionary game. In our model, both of the two connected agents receive a benefit if they have the same opinion, otherwise they both pay a cost. Agents update their opinions by comparing…

In this paper we introduce and analyse, from a game theoretical perspective, several multi-agent or multi-item continuous review inventory models in which the buyers are exempted from ordering costs if the price of their orders is greater…

We provide a strategic model of the formation of production networks that subsumes the standard general equilibrium approach. The objective of firms in our setting is to choose their supply relationships so as to maximize their profit at…

In environments with increasing uncertainty, such as smart grid applications based on renewable energy, planning can benefit from incorporating forecasts about the uncertainty and from systematically evaluating the utility of the forecast…

A joint transmitter-receiver energy harvesting model is considered, where both the transmitter and receiver are powered by (renewable) energy harvesting source. Given a fixed number of bits, the problem is to find the optimal transmission…