Related papers: Mitigating Investment Risk Using Modular Technolog…
In the near future FPGAs will be available by the hour, however this new Infrastructure as a Service (IaaS) usage mode presents both an opportunity and a challenge: The opportunity is that programmers can potentially trade resources for…
Optimal execution of a portfolio have been a challenging problem for institutional investors. Traders face the trade-off between average trading price and uncertainty, and traditional methods suffer from the curse of dimensionality. Here,…
The presence of variable renewable energy resources with uncertain outputs in day-ahead electricity markets results in additional balancing needs in real-time. Addressing those needs cost-effectively and reliably within a competitive market…
We propose a robust optimization approach for constructing confidence bands for stochastic processes using a finite number of simulated sample paths. Our approach can be used to quantify uncertainty in realizations of stochastic processes…
The cross dock door design problem consists of deciding on the number and capacity of inbound and outbound doors for receiving product pallets from origin nodes and exiting them to destination nodes. The uncertainty, realized in scenarios,…
Default risk calculus plays a crucial role in portfolio optimization when the risky asset is under threat of bankruptcy. However, traditional stochastic control techniques are not applicable in this scenario, and additional assumptions are…
The need to decarbonize the energy system has intensified the focus on district heating networks in urban and suburban areas. Therefore, exploring transformation pathways with reasonable trade-offs between economic viability and…
The increasing challenges to the grid stability posed by the penetration of renewable energy resources urge a more active role for demand response programs as viable alternatives to a further expansion of peak power generators. This work…
The need for control strategies that can address dynamic system uncertainty is becoming increasingly important. In this work, we propose a Model Predictive Control by quantifying the risk of failure in our system model. The proposed control…
This paper proposes a simulation-based framework for assessing and improving the performance of a pension fund management scheme. This framework is modular and allows the definition of customized performance metrics that are used to assess…
Optimization models have been broadly used within side the energy industry as useful decision-making systems for scheduling and dispatching electric powered energy resources; this is applied in a system called unit commitment (UC). Unit…
Assemblies of modular subsystems are being pressed into service to perform sensing, reasoning, and decision making in high-stakes, time-critical tasks in such areas as transportation, healthcare, and industrial automation. We address the…
Rules are widely used in Fintech institutions to make fraud prevention decisions, since rules are highly interpretable thanks to their intuitive if-then structure. In practice, a two-stage framework of fraud prevention decision rule set…
The growing share of intermittent renewable energy sources, storage technologies, and the increasing degree of so-called sector coupling necessitates optimization-based energy system models with high temporal and spatial resolutions, which…
While consolidation strategies form the backbone of many supply chain optimisation problems, exploitation of multi-tier material relationships through consolidation remains an understudied area, despite being a prominent feature of…
We propose a computational framework to quantify (measure) and to optimize the reliability of complex systems. The approach uses a graph representation of the system that is subject to random failures of its components (nodes and edges).…
In this paper we propose a method for sparse dynamic allocation of resources to bound the risk of spreading processes, such as epidemics and wildfires, using convex optimization and dynamic programming techniques. Here, risk is defined as…
System-Theoretic Process Analysis (STPA) is a recommended method for analysing complex systems, capable of identifying thousands of safety requirements often missed by traditional techniques such as Failure Mode and Effects Analysis (FMEA)…
We study a utility maximization problem in a financial market with a stochastic drift process, combining a worst-case approach with filtering techniques. Drift processes are difficult to estimate from asset prices, and at the same time…
This paper motivates the views that for complex systems, risk should be controlled by enforcing constraints in a modular way at different system levels, that the constraints can be expressed as assurance contracts and that acceptable risk…