Related papers: Dynamic Interventions for Networked Contagions
We consider networks of banks with assets and liabilities. Some banks may be insolvent, and a central bank can decide which insolvent banks, if any, to bail out. We view bailouts as an optimization problem where the central bank has given…
Public management and policy scholars have engaged in extensive development of theory and empirical study of networks and collaborative systems of governance. This scholarship has focused on understanding the mechanisms of network formation…
Active distribution networks facilitating bidirectional power exchange with renewable energy resources are susceptible to cyberattacks due to integration of a diverse array of cyber components. This study introduces a grid-level defense…
The concept of emergence is a powerful concept to explain very complex behaviour by simple underling rules. Existing approaches of producing emergent collective behaviour have many limitations making them unable to account for the…
This paper introduces a novel direct approach to system identification of dynamic networks with missing data based on maximum likelihood estimation. Dynamic networks generally present a singular probability density function, which poses a…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
A set of economic entities embedded in a network graph collaborate by opportunistically exchanging their resources to satisfy their dynamically generated needs. Under what conditions their collaboration leads to a sustainable economy? Which…
In this paper, we analyze dynamic programming as a novel approach to solve the problem of maximizing the profits of a bank. The mathematical model of the problem and the description of a bank's work is described in this paper. The problem…
The linear response of a dynamical system refers to changes to properties of the system when small external perturbations are applied. We consider the little-studied question of selecting an optimal perturbation so as to (i) maximise the…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
Suppose an online platform wants to compare a treatment and control policy, e.g., two different matching algorithms in a ridesharing system, or two different inventory management algorithms in an online retail site. Standard randomized…
We consider a class of targeted intervention problems in dynamic network and graphon games. First, we study a general dynamic network game in which players interact over a graph and maximize their heterogeneous, concave goal functionals,…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
Maximizing the damage by attacking specific nodes of the combat network can efficiently disrupt enemies' defense capability, protect our critical units, and enhance the resistance to the destruction of system-of-system~(SOS). However, the…
We study optimal liquidation strategies under partial information for a single asset within a finite time horizon. We propose a model tailored for high-frequency trading, capturing price formation driven solely by order flow through…
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial…
The problem of finding the optimal set of source nodes in a diffusion network that maximizes the spread of information, influence, and diseases in a limited amount of time depends dramatically on the underlying temporal dynamics of the…
This letter deals with the optimization problems of stochastic switching buffer networks, where the switching law is governed by Markov process. The dynamical buffer network is introduced, and its application in modeling the car-sharing…
Modern network systems, such as transportation and communication systems, are prone to cyber-physical disruptions and thus suffer efficiency loss. This paper studies network resiliency, in terms of throughput, and develops resilient control…