Related papers: A refined consumer behavior model for energy syste…

This article studies the problem of utility maximization in an incomplete market under a class of nonlinear expectations and general constraints on trading strategies. Using a $g$-martingale method, we provide an explicit solution to our…

In this paper, we consider the classical problem of utility maximization in a financial market allowing jumps. Assuming that the constraint set is a compact set, rather than a convex one, we use a dynamic method from which we derive a…

This paper discusses the num\'eraire-based utility maximization problem in markets with proportional transaction costs. In particular, the investor is required to liquidate all her position in stock at the terminal time. We first observe…

This paper studies a finite-horizon portfolio selection problem with non-concave terminal utility and proportional transaction costs, in which the commonly used concavification principle for terminal value is no longer applicable. We…

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…

In this paper we extend the stability results of [4]}. Our utility maximization problem is defined as an essential supremum of conditional expectations of the terminal values of wealth processes, conditioned on the filtration at the…

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…

In this paper, the problem of smart grid energy management under stochastic dynamics is investigated. In the considered model, at the demand side, it is assumed that customers can act as prosumers who own renewable energy sources and can…

We study the stochastic versions of a broad class of combinatorial problems where the weights of the elements in the input dataset are uncertain. The class of problems that we study includes shortest paths, minimum weight spanning trees,…

The problem of robust utility maximization in an incomplete market with volatility uncertainty is considered, in the sense that the volatility of the market is only assumed to lie between two given bounds. The set of all possible models…

Driven by green communications, energy efficiency (EE) has become a new important criterion for designing wireless communication systems. However, high EE often leads to low spectral efficiency (SE), which spurs the research on EE-SE…

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…

Energy system optimization models (ESOMs) are designed to examine the potential effects of a proposed policy, but often represent energy-efficient technologies and policies in an overly simplified way. Most ESOMs include different end-use…

To study the assumption that the utility maximization hypothesis implicitly adds to consumer theory, we consider a mathematical representation of pre-marginal revolution consumer theory based on subjective exchange ratios. We introduce two…

In this paper, we study the classic submodular maximization problem subject to a group equality constraint under both non-adaptive and adaptive settings. It has been shown that the utility function of many machine learning applications,…

This paper proposes a novel energy sharing mechanism for prosumers who can produce and consume. Different from most existing works, the role of individual prosumer as a seller or buyer in our model is endogenously determined. Several…

Energy system optimization models are becoming increasingly popular for analyzing energy markets, such as the impact of new policies or interactions between energy carriers. One key challenge of these models is the trade-off between…

In this paper, we investigate the network utility maximization problem in FDMA systems. We summarize with a suite of criteria on designing utility functions so as to achieve the global optimization convex. After proposing the general form…

This paper explores an idea of demand-supply balance for smart grids in which consumers are expected to play a significant role. The main objective is to motivate the consumer, by maximizing their benefit both as a seller and a buyer, to…

The goal of a sequential decision making problem is to design an interactive policy that adaptively selects a group of items, each selection is based on the feedback from the past, in order to maximize the expected utility of selected…