Related papers: Shadow prices and optimal cost in economic applica…
To meet carbon emission targets, governments around the world seek electricity consumers to invest in self-sufficiency technologies such as solar photovoltaic and battery storage. Such behaviour is sought in markets typically characterised…
We consider the problem of feature selection in multi-label classification, considering the costs assigned to groups of features. In this task, the goal is to select a subset of features that will be useful for predicting the label vector,…
We study an optimal execution problem in the infinite horizon setup. Our financial market is given by the Black-Scholes model with a linear price impact. The main novelty of the current note is that we study the constrained case where the…
We address the problem of asset pricing in a market where there is no risky asset. Previous work developed a theoretical model for a shadow riskless rate (SRR) for such a market in terms of the drift component of the state-price deflator…
A significant portion of a consumer's annual electrical costs can be made up of coincident peak charges: a transmission surcharge for power consumed when the entire system is at peak demand. This charge occurs only a few times annually, but…
Minimizing the peak power consumption and matching demand to supply, under fixed threshold polices, are two key requirements for the success of the future electricity market. In this work, we consider dynamic pricing methods to minimize the…
In this paper, I consider a simple heterogeneous agents model of a production economy with uncertain climate change and examine constrained efficient carbon taxation. If there are frictionless, complete financial markets, the simple model…
Modern electricity grids throughout the world, particularly in islands such as Great Britain, face a major problem on the road to decarbonisation: the significantly reduced level of system inertia due to integration of Renewable Energy…
The sum-utility maximization problem is known to be important in the energy systems literature. The conventional assumption to address this problem is that the utility is concave. But for some key applications, such an assumption is not…
We study the optimal liquidation problem in a market model where the bid price follows a geometric pure jump process whose local characteristics are driven by an unobservable finite-state Markov chain and by the liquidation rate. This model…
This two-part paper addresses the design of retail electricity tariffs for distribution systems with distributed energy resources such as solar power and storage. In particular, the optimal design of dynamic two-part tariffs for a regulated…
Data-management-as-a-service systems are increasingly being used in collaborative settings, where multiple users access common datasets. Cloud providers have the choice to implement various optimizations, such as indexing or materialized…
Price controls kill the incentive for arbitrage. We prove a Chaos Theorem: under a binding price ceiling, suppliers are indifferent across destinations, so arbitrarily small cost differences can determine the entire allocation. The economy…
Based on the analog between the stochastic dynamics and quantum harmonic oscillator, we propose a market force driving model to generalize the Black-Scholes model in finance market. We give new schemes of option pricing, in which we can…
This paper studies arbitrage pricing theory in financial markets with implicit transaction costs. We extend the existing theory to include the more realistic possibility that the price at which the investors trade is dependent on the traded…
The spot pricing scheme has been considered to be resource-efficient for providers and cost-effective for consumers in the Cloud market. Nevertheless, unlike the static and straightforward strategies of trading on-demand and reserved Cloud…
We propose a pseudo-market solution to resource allocation problems subject to constraints. Our treatment of constraints is general: including bihierarchical constraints due to considerations of diversity in school choice, or scheduling in…
We consider an optimal control problem for a non-autonomous model of ODEs that describes the evolution of the number of customers in some firm. Namely we study the best marketing strategy. Considering a $L^2$ cost functional, we establish…
We formulate optimization problems to study how data centers might modulate their power demands for cost-effective operation taking into account three key complex features exhibited by real-world electricity pricing schemes: (i)…
Electricity markets often utilize the DC approximation of the AC power flow equations to facilitate solving an otherwise complex nonconvex optimization problem. These DC power flow equations have analogies to DC circuit laws such as…