Related papers: Shadow prices and optimal cost in economic applica…

We consider an optimal trading problem over a finite period of time during which an investor has access to both a standard exchange and a dark pool. We take the exchange to be an order-driven market and propose a continuous-time setup for…

There is great uncertainty about future climate conditions and the appropriate policies for managing interactions between the climate and the economy. We develop a multidimensional computational model to examine how uncertainties and risks…

In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and constant relative risk aversion trades with small proportional transaction costs. We derive explicit formulas for the…

We consider an optimal consumption/investment problem to maximize expected utility from consumption. In this market model, the investor is allowed to choose a portfolio which consists of one bond, one liquid risky asset (no transaction…

The evolution of smart microgrid and its demand-response characteristics not only will change the paradigms of the century-old electric grid but also will shape the electricity market. In this new market scenario, once always energy…

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…

We consider indifference pricing of contingent claims consisting of payment flows in a discrete time model with proportional transaction costs and under exponential disutility. This setting covers utility maximisation as a special case. A…

According to the fundamental theorems of welfare economics, any competitive equilibrium is Pareto efficient. Unfortunately, competitive equilibrium prices only exist under strong assumptions such as perfectly divisible goods and convex…

Interconnecting price zones and remote renewable energy sources has emerged as a key solution to achieving climate goals. The objective of this work is to present a formulation that extends the base optimal power flow model with price zones…

For a general optimal control problem for dynamical systems with hybrid dynamics, we study the dependency of the optimal cost and of the value function on the initial conditions, parameters, and perturbations. We show that upper and lower…

Many robotics domains use some form of nonconvex model predictive control (MPC) for planning, which sets a reduced time horizon, performs trajectory optimization, and replans at every step. The actual task typically requires a much longer…

Strategic classification studies the interaction between a classification rule and the strategic agents it governs. Under the assumption that the classifier is known, rational agents respond to it by manipulating their features. However, in…

This paper studies a portfolio optimization problem in a discrete-time Markovian model of a financial market, in which asset price dynamics depend on an external process of economic factors. There are transaction costs with a structure that…

This paper studies convex duality in optimal investment and contingent claim valuation in markets where traded assets may be subject to nonlinear trading costs and portfolio constraints. Under fairly general conditions, the dual expressions…

We develop inference under model uncertainty due to weak, noisy, multiple candidate restrictions and theories, and nuisance control covariates. A unified framework is given with degrees of misspecification and corresponding shadow prices,…

We consider general shape optimization problems governed by Dirichlet boundary value problems. The proposed approach may be extended to other boundary conditions as well. It is based on a recent representation result for implicitly defined…

In many applications of optimal control, the stage cost is not fixed, but rather a design choice with considerable impact on the control performance. In infinite horizon optimal control, the choice of stage cost is often restricted by the…

Decentralized decision making in multi--product firms can lead to efficiency losses when autonomous decision makers fail to internalize cross--product demand interactions. This paper quantifies the magnitude of such losses by analyzing the…

A central challenge in using price signals to coordinate the electricity consumption of a group of users is the operator's lack of knowledge of the users due to privacy concerns. In this paper, we develop a two-time-scale incentive…

We study offline dynamic pricing when historical data provide incomplete coverage of the price space such that some candidate prices, including the optimal one, may be entirely unobserved. This setting is common in practice and is…