Related papers: Pollution regulation for electricity generators in…
We consider an optimal control problem governed by a rate-inde\-pendent system with non-convex energy. The state equation is approximated by means of viscous regularization w.r.t.\ to hierarchy of two different Hilbert spaces. The…
This paper is devoted to a viscosity solution theory of the stochastic Hamilton-Jacobi-Bellman equation in the Wasserstein spaces for the mean-field type control problem which allows for random coefficients and may thus be non-Markovian.…
An optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with a Distribution Market Operator (DMO) is proposed in this paper. The DMO administers the established electricity market in…
The aim of this paper is to address the effect of the carbon emission allowance market on the production policy of a large polluter production firm. We investigate this effect in two cases; when the large polluter cannot affect the risk…
We study a multiscale stochastic optimal control problem subject to state constraints on the slow variable. To address this class of problems, we develop a rigorous theoretical framework based on singular perturbation analysis, tailored to…
This paper presents a data-driven inverse optimization (IO) approach to recover the marginal offer prices of generators in a wholesale energy market. By leveraging underlying market-clearing processes, we establish a closed-form…
There are various undergoing efforts by system operators to set up an electricity market at the distribution level to enable a rapid and widespread deployment of distributed energy resources (DERs) and microgrids. This paper follows the…
This paper is concerned with cost optimization of an insurance company. The surplus of the insurance company is modeled by a controlled regime switching diffusion, where the regime switching mechanism provides the fluctuations of the random…
We provide a theoretical framework to examine how carbon pricing policies influence inflation and to estimate the policy-driven impact on goods prices from achieving net-zero emissions. Firms control emissions by adjusting production,…
Dynamical systems can be used to model a broad class of physical processes, and conservation laws give rise to system properties like passivity or port-Hamiltonian structure. An important problem in practical applications is to steer…
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dimensional It\^{o} diffusion. The control effort that can be applied to this system takes the form that is associated with the so-called…
Stochastic optimal control, which has the goal of driving the behavior of noisy systems, is broadly applicable in science, engineering and artificial intelligence. Our work introduces Stochastic Optimal Control Matching (SOCM), a novel…
We address the problem of combined stochastic and impulse control for a market maker operating in a limit order book. The problem is formulated as a Hamilton-Jacobi-Bellman quasi-variational inequality (HJBQVI). We propose an implicit…
This paper considers the problem of regulating a dynamical system to equilibria that are defined as solutions of an input- and state-constrained optimization problem. To solve this regulation task, we design a state feedback controller…
In this paper, we address a key issue of designing architectures and algorithms which generate optimal demand response in a decentralized manner for a smart-grid consisting of several stochastic renewables and dynamic loads. By optimal…
Optimized certainty equivalents (OCEs) is a family of risk measures widely used by both practitioners and academics. This is mostly due to its tractability and the fact that it encompasses important examples, including entropic risk…
Market makers continuously set bid and ask quotes for the stocks they have under consideration. Hence they face a complex optimization problem in which their return, based on the bid-ask spread they quote and the frequency at which they…
We study an optimal execution problem in a continuous-time market model that considers market impact. We formulate the problem as a stochastic control problem and investigate properties of the corresponding value function. We find that…
We study policy iteration (PI) for deterministic infinite-horizon discounted optimal control problems, whose value function is characterized by a stationary Hamilton--Jacobi--Bellman (HJB) equation. At the PDE level, PI is fundamentally…
Due to increasing air pollution, which is a consequence of the environmental effects of production in various industries, green supply chain management (GSCM) has attracted the attention of both scholars and practitioners. Green supplier…