Related papers: Shadow prices and optimal cost in economic applica…
In this paper, we study a retailer price optimization problem which includes the practical constraints: maximum number of price changes and minimum amount of price change (if a change is recommended). We provide a closed-form formula for…
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…
An optimal scheduling model for a microgrid participating in the electricity distribution market in interaction with a Distribution Market Operator (DMO) is proposed in this paper. The DMO administers the established electricity market in…
The competitive nature of Cloud marketplaces as new concerns in delivery of services makes the pricing policies a crucial task for firms. so that, pricing strategies has recently attracted many researchers. Since game theory can handle such…
This study addresses the interpretable estimation of price bounds in the context of price optimization. In recent years, price-optimization methods have become indispensable for maximizing revenue and profits. However, effective application…
The minimization of energy-like cost functionals is addressed in the context of optimal control problems. For a general class of dynamical systems, with possibly unstable and nonlinear free dynamics, it is shown that a sequence of solutions…
The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming…
Cost optimal scenarios derived from models of a highly renewable electricity system depend on the specific input data, cost assumptions and system constraints. Here this influence is studied using a techno-economic optimisation model for a…
The problem of optimal switching between nonlinear autonomous subsystems is investigated in this study where the objective is not only bringing the states to close to the desired point, but also adjusting the switching pattern, in the sense…
Optimizing the total cost of power systems is a common tool for network operation and planning. Besides valuable information about how to run and possibly expand a power system, the optimization provides an optimal Locational Marginal Price…
This paper studies the topic of cost-efficiency in incomplete markets. A payoff is called cost-efficient if it achieves a given probability distribution at some given investment horizon with a minimum initial budget. Extensive literature…
This paper investigates design of noncooperative games from an optimization and control theoretic perspective. Pricing mechanisms are used as a design tool to ensure that the Nash equilibrium of a fairly general class of noncooperative…
Social cost of carbon (SCC) is estimated by integrated assessment models (IAM) and is widely used by government agencies to value climate policy impacts. While there is an ongoing debate about obtained numerical estimates and related…
Shadow estimation provides an efficient framework for estimating observable expectation values using randomized measurements. While originally developed for discrete-variable systems, its recent extensions to continuous-variable (CV)…
Shadow estimation is a recent protocol that allows estimating exponentially many expectation values of a quantum state from ``classical shadows'', obtained by applying random quantum circuits and computational basis measurements. In this…
We consider an investor with constant absolute risk aversion who trades a risky asset with general Ito dynamics, in the presence of small proportional transaction costs. Kallsen and Muhle-Karbe (2012) formally derived the leading-order…
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, which is highly relevant from a financial perspective but also…
The classical optimal trading problem is the closure of a position in an asset over a time interval; the trader maximizes an expected utility under the constraint that the position be fully closed by terminal time. Since the asset price is…
In display advertising, advertisers want to achieve a marketing objective with constraints on budget and cost-per-outcome. This is usually formulated as an optimization problem that maximizes the total utility under constraints. The…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…