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

Many fairness criteria constrain the policy or choice of predictors, which can have unwanted consequences, in particular, when optimizing the policy under such constraints. Here, we advocate to instead focus on the utility function the…

In this paper we introduce the problem of dynamic pricing of power for smart-grid networks. This is studied within a network utility maximization (NUM) framework in a deterministic setting with a single provider, multiple users and a finite…

This article addresses the residential energy cost optimization problem in smart grid. To date, most of the previous research only consider a partial aspect of the cost optimization problem. As a result, they fail to analyze scenarios when…

In the present work we tackle the problem of finding the optimal price tariff to be set by a risk-averse electric retailer participating in the pool and whose customers are price-sensitive. We assume that the retailer has access to a…

This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which supports both positive and negative wealth. We prove the…

We study utility maximization problem for general utility functions using dynamic programming approach. We consider an incomplete financial market model, where the dynamics of asset prices are described by an $R^d$-valued continuous…

Real-world engineering systems are typically compared and contrasted using multiple metrics. For practical machine learning systems, performance tuning is often more nuanced than minimizing a single expected loss objective, and it may be…

We propose a general method for optimization with semi-infinite constraints that involve a linear combination of functions, focusing on the case of the exponential function. Each function is lower and upper bounded on sub-intervals by…

We consider a discrete time financial market with proportional transaction costs under model uncertainty, and study a num\'eraire-based semi-static utility maximization problem with an exponential utility preference. The randomization…

Energy prices and net power injection limitations regulate the operations in distribution grids and typically ensure that operational constraints are met. Nevertheless, unexpected or prolonged abnormal events could undermine the grid's…

A model for decision making that generalizes Expected Utility Maximization is presented. This model, Expected Qualitative Utility Maximization, encompasses the Maximin criterion. It relaxes both the Independence and the Continuity…

We study a robust utility maximization problem in the case of an incomplete market and logarithmic utility with general stochastic constraints, not necessarily convex. Our problem is equivalent to maximizing of nonlinear expected…

Prosumer households that generate and store electricity from rooftop PV installations play an increasing role in electricity markets around the world. As retail tariffs usually do not convey time-varying wholesale price signals to…

We consider the problem of utility maximization for small traders on incomplete financial markets. As opposed to most of the papers dealing with this subject, the investors' trading strategies we allow underly constraints described by…

We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…

We study an optimal investment and consumption problem over a finite-time horizon, in which an individual invests in a risk-free asset and a risky asset, and evaluate utility using a general utility function that exhibits loss aversion with…

This memoir presents a systematic study of the utility maximization problem of an investor in a constrained and unbounded financial market. Building upon the work of Hu et al. (2005) [Ann. Appl. Probab., 15, 1691--1712] in a bounded…

Energy consumption is a main issue of concern in wireless networks. Energy minimization increases the time that networks' nodes work properly without recharging or substituting batteries. Another criterion for network performance is data…

The conventional electricity grid system has many critical issues, which could lead to power instability, blackout, and many other issues. One main perspective is to consume the relative amount of distributed renewable energy in the…

We consider the problem of choosing a portfolio that maximizes the cumulative prospect theory (CPT) utility on an empirical distribution of asset returns. We show that while CPT utility is not a concave function of the portfolio weights, it…