Related papers: A refined consumer behavior model for energy syste…
We maximize the expected utility of terminal wealth in an incomplete market where there are cone constraints on the investor's portfolio process and the utility function is not assumed to be strictly concave or differentiable. We establish…
A recent line of work, starting with Beigman and Vohra (2006) and Zadimoghaddam and Roth (2012), has addressed the problem of {\em learning} a utility function from revealed preference data. The goal here is to make use of past data…
Many optimization problems admit a number of local optima, among which there is the global optimum. For these problems, various heuristic optimization methods have been proposed. Comparing the results of these solvers requires the…
The problem of designing a profit-maximizing, Bayesian incentive compatible and individually rational mechanism with flexible consumers and costly heterogeneous supply is considered. In our setup, each consumer is associated with a…
In this paper, we study decentralized decision-making where agents optimize private objectives under incomplete information and imperfect public monitoring, in a non-cooperative setting. By shaping utilities-embedding shadow prices or…
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utility stochastic field. We show that the key conclusions of the…
We consider the portfolio optimisation problem where the terminal function is an S-shaped utility applied at the difference between the wealth and a random benchmark process. We develop several numerical methods for solving the problem…
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust…
We consider the robust exponential utility maximization problem in discrete time: An investor maximizes the worst case expected exponential utility with respect to a family of nondominated probabilistic models of her endowment by…
The rapid growth of the behind-the-meter (BTM) distributed generation has led to initiatives to reform the net energy metering (NEM) policies to address pressing concerns of rising electricity bills, fairness of cost allocation, and the…
Prosumer operators are dealing with extensive challenges to participate in short-term electricity markets while taking uncertainties into account. Challenges such as variation in demand, solar energy, wind power, and electricity prices as…
Extreme weather and volatile wholesale electricity markets expose residential consumers to catastrophic financial risks, yet demand response at the distribution level remains an underutilized tool for grid flexibility and energy…
Smart Home technology is increasingly seen as a solution for improving household energy efficiency. However, its energy-saving potential depends largely on how consumers use the system. To explore how user perception and intention to use…
In electrical distribution grids, the constantly increasing number of power generation devices based on renewables demands a transition from a centralized to a distributed generation paradigm. In fact, power injection from Distributed…
The integration of large shares of electricity produced by non-dispatchable Renewable Energy Sources (RES) leads to an increasingly volatile energy generation side, with temporary local overproduction. The application of energy storage…
We consider a problem of optimal investment with intermediate consumption and random endowment in an incomplete semimartingale model of a financial market. We establish the key assertions of the utility maximization theory assuming that…
The effectiveness of utility-maximization techniques for portfolio management relies on our ability to estimate correctly the parameters of the dynamics of the underlying financial assets. In the setting of complete or incomplete financial…
We consider an online version of the well-studied network utility maximization problem, where users arrive one by one and an operator makes irrevocable decisions for each user without knowing the details of future arrivals. We propose a…
CMO Council reports that 71\% of internet users in the U.S. were influenced by coupons and discounts when making their purchase decisions. It has also been shown that offering coupons to a small fraction of users (called seed users) may…
In electricity markets, retailers or brokers want to maximize profits by allocating tariff profiles to end consumers. One of the objectives of such demand response management is to incentivize the consumers to adjust their consumption so…