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Safety is a critical feature of controller design for physical systems. When designing control policies, several approaches to guarantee this aspect of autonomy have been proposed, such as robust controllers or control barrier functions.…
We study permissionless spot--perpetual basis trading in decentralized finance as a collateral control problem. The strategy holds spot inventory, hedges directional exposure with a short perpetual, and allocates capital between spot…
Real-world control systems require policies that are not only high-performing but also interpretable and robust. A promising direction toward this goal is model-based control, which learns system dynamics and cost functions from historical…
Convolutional Neural Networks (CNNs) have a large number of parameters and take significantly large hardware resources to compute, so edge devices struggle to run high-level networks. This paper proposes a novel method to reduce the…
The online Dial-a-Ride problem is a fundamental online problem in a metric space, where transportation requests appear over time and may be served in any order by a single server with unit speed. Restricted to the real line, online…
Distributed model predictive control methods for uncertain systems often suffer from considerable conservatism and can tolerate only small uncertainties due to the use of robust formulations that are amenable to distributed design and…
We analyze the stability of general nonlinear discrete-time stochastic systems controlled by optimal inputs that minimize an infinite-horizon discounted cost. Under a novel stochastic formulation of cost-controllability and detectability…
Operators of Electric Autonomous Mobility-on-Demand (E-AMoD) fleets need to make several real-time decisions such as matching available vehicles to ride requests, rebalancing idle vehicles to areas of high demand, and charging vehicles to…
The rapid growth of weather-dependent renewable generation increases price volatility and imbalance penalty risk in power markets, creating the need for advanced quantitative trading strategies. We develop a data-driven continuous-time…
Constraint handling plays a key role in solving realistic complex optimization problems. Though intensively discussed in the last few decades, existing constraint handling techniques predominantly rely on human experts' designs, which more…
Estimation-of-distribution algorithms (EDAs) are optimization algorithms that learn a distribution on the search space from which good solutions can be sampled easily. A key parameter of most EDAs is the sample size (population size). If…
Auto-deleveraging (ADL) mechanisms are a critical yet understudied component of risk management on cryptocurrency futures exchanges. When available margin and other loss-absorbing resources are insufficient to cover losses following large…
We propose a novel change point detection approach for online learning control with full information feedback (state, disturbance, and cost feedback) for unknown time-varying dynamical systems. We show that our algorithm can achieve a…
Rollout control is an MPC-based control method, in which a controller is periodically activated to schedule the transmission of sensor or actuator data. Therein, a preassigned traffic specification acts as a constraint on the scheduled…
This paper presents a sophisticated multi-day turnover quantitative trading algorithm that integrates advanced deep learning techniques with comprehensive cross-sectional stock prediction for the Chinese A-share market. Our framework…
This paper considers the stabilization of nonlinear continuous-time dynamical systems employing periodic event-triggered control (PETC). Assuming knowledge of a stabilizing feedback law for the continuous-time system with a certain…
Data-driven control offers a viable option for control scenarios where constructing a system model is expensive or time-consuming. Nonetheless, many of these algorithms are not entirely automated, often necessitating the adjustment of…
In this paper, we propose a novel data-driven predictive control approach for systems subject to time-domain constraints. The approach combines the strengths of H-infinity control for rejecting disturbances and MPC for handling constraints.…
Statistics of drawdowns (loss from the last local maximum to the next local minimum) plays an important role in risk assessment of investment strategies. As they incorporate higher ($>$ two) order correlations, they offer a better measure…
High-frequency trading (HFT) represents a pivotal and intensely competitive domain within the financial markets. The velocity and accuracy of data processing exert a direct influence on profitability, underscoring the significance of this…