Related papers: Robust Newsvendor Problem in Global Market: Stable…
We consider a two-stage robust facility location problem on a metric under an uncertain demand. The decision-maker needs to decide on the (integral) units of supply for each facility in the first stage to satisfy an uncertain second-stage…
To guarantee the well-functioning of electricity distribution networks, it is crucial to constantly ensure the demand-supply balance. To do this, one can control the means of production, but also influence the demand: demand-side management…
Decisions for a variable renewable resource generators commitment in the energy market are typically made in advance when little information is obtainable about wind availability and market prices. Much research has been published…
In retailer management, the Newsvendor problem has widely attracted attention as one of basic inventory models. In the traditional approach to solving this problem, it relies on the probability distribution of the demand. In theory, if the…
Newsvendor problems are an important and much-studied topic in stochastic inventory control. One strand of the literature on newsvendor problems is concerned with the fact that practitioners often make judgemental adjustments to the…
In this paper we analyze the effect of two modelling approaches for supply planning problems under uncertainty: two-stage stochastic programming (SP) and robust optimization (RO). The comparison between the two approaches is performed…
A monopolist seller of multiple goods screens a buyer whose type is initially unknown to both but drawn from a commonly known distribution. The buyer privately learns about his type via a signal. We derive the seller's optimal mechanism in…
We consider a set of secondary transmitter-receiver pairs in a cognitive radio setting. Based on channel sensing and access performances, we consider the problem of assigning channels orthogonally to secondary users through distributed…
This paper studies the robust optimal gain selection problem for financial trading systems, formulated within a \emph{double linear policy} framework, which allocates capital across long and short positions. The key objective is to…
We propose a data-driven portfolio selection model that integrates side information, conditional estimation and robustness using the framework of distributionally robust optimization. Conditioning on the observed side information, the…
Stochastic controllers are perceived as a promising solution for techno-economic operation of distribution networks having higher generation uncertainties at large penetration of renewables. These controllers are supported by forecasters…
We consider a learning problem for the stable marriage model under unknown preferences for the left side of the market. We focus on the centralized case, where at each time step, an online platform matches the agents, and obtains a noisy…
A well known result states that stability criterion for matchings in two-sided markets doesn't ensure uniqueness. This opens the door for a moral question with regard to the optimal stable matching from a social point of view. Here, a new…
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
This paper introduces a novel robust trading paradigm, called \textit{multi-double linear policies}, situated within a \textit{generalized} lattice market. Distinctively, our framework departs from most existing robust trading strategies,…
We present a general two-side market model with divisible commodities and price functions of participants. A general existence result on unbounded sets is obtained from its variational inequality re-formulation. We describe an extension of…
This paper addresses the transmission network expansion planning problem under uncertain demand and generation capacity. A two-stage adaptive robust optimization framework is adopted whereby the worst-case operating cost is accounted for…
With the steady increase in global logistics and freight transport demand, the need for efficient and sustainable intermodal transport systems becomes increasingly important. This study addresses the optimization of container movement by…
Facility location decisions significantly impact customer behavior and consequently the resulting demand in a wide range of businesses. Furthermore, sequentially realized uncertain demand enforces strategically determining locations under…
The participation of renewable, energy storage, and resources with limited fuel inventory in electricity markets has created the need for optimal scheduling and pricing across multiple market intervals for resources with intertemporal…