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Stock portfolio optimization is the process of continuous reallocation of funds to a selection of stocks. This is a particularly well-suited problem for reinforcement learning, as daily rewards are compounding and objective functions may…
Industrial demand response (IDR) plays an important role in promoting the utilization of renewable energy (RE) in power systems. However, it will lead to power adjustments on the supply side, which is also a non-negligible factor in…
We consider the joint design and control of discrete-time stochastic dynamical systems over a finite time horizon. We formulate the problem as a multi-step optimization problem under uncertainty seeking to identify a system design and a…
This paper develops an algorithmic framework for real-time optimization of distribution-level distributed energy resources (DERs). The proposed framework optimizes the operation of both DERs that are individually controllable and groups of…
With the aim of boosting the security of the conventional directional modulation (DM) network, a secure DM network assisted by intelligent reflecting surface (IRS) is investigated in this paper. To maximize the secrecy rate (SR), we jointly…
In this study we propose a unified model of optimal retirement, consumption and portfolio choice of an individual agent, which encompasses a large class of the models in the literature and provide a general methodology to solve the model.…
In this paper, we investigate the resource allocation design for intelligent reflecting surface (IRS)-assisted full-duplex (FD) cognitive radio systems. In particular, a secondary network employs an FD base station (BS) for serving multiple…
Portfolio optimization requires dynamic allocation of funds by balancing the risk and return tradeoff under dynamic market conditions. With the recent advancements in AI, Deep Reinforcement Learning (DRL) has gained prominence in providing…
The growing penetration of distributed energy resources (DERs) in distribution networks (DNs) raises new operational challenges, particularly in terms of reliability and voltage regulation. In response to these challenges, we introduce an…
In this paper, we study a stochastic optimal control problem with stochastic volatility. We prove the sufficient and necessary maximum principle for the proposed problem. Then we apply the results to solve an investment, consumption and…
We study an optimal control problem encompassing investment, consumption, and retirement decisions under exponential (CARA-type) utility. The financial market comprises a bond with constant drift and a stock following geometric Brownian…
Designing individualized allocation of treatments so as to maximize the equilibrium welfare of interacting agents has many policy-relevant applications. Focusing on sequential decision games of interacting agents, this paper develops a…
This manuscript studies the preventive replacement policy for a series or parallel system consisting of n independent or dependent heterogeneous components. Firstly, for the age replacement policy, Some sufficient conditions for the…
We study information design in multi-agent systems (MAS) with binary actions and strategic complementarities, where an external designer influences behavior only through signals. Agents play the smallest-equilibrium of the induced Bayesian…
This paper studies the problem of steering large-scale multi-agent stochastic linear systems between Gaussian distributions under probabilistic collision avoidance constraints. We introduce a family of \textit{distributed covariance…
This paper investigates a robust optimal consumption, investment, and reinsurance problem for an insurer with Epstein-Zin recursive preferences operating under model uncertainty. The insurer's surplus follows the diffusion approximation of…
In this paper, a novel distributed control strategy addressing a (feasible) psycho-social-physical welfare problem in islanded Direct Current (DC) smart grids is proposed. Firstly, we formulate a (convex) optimization problem that allows…
The analysis and optimization of single intelligent reflecting surface (IRS)-assisted systems have been extensively studied, whereas little is known regarding multiple-IRS-assisted systems. This paper investigates the analysis and…
Money-back guarantees (MBGs) are features of pooled retirement income products that address bequest concerns by ensuring the initial premium is returned through lifetime payments or, upon early death, as a death benefit to the estate. This…
In this paper, the problem of robust reconfigurable intelligent surface (RIS) system design under changes in data distributions is investigated. Using the notion of invariant risk minimization (IRM), an invariant causal representation…