Related papers: Max-Plus Synchronization in Decentralized Trading …

The increasing penetration of renewable energy resources has transformed the energy system from traditional hierarchical energy delivery paradigm to a distributed structure. Such development is accompanied with continuous liberalization in…

Distributed optimization for resource allocation problems is investigated and a sub-optimal continuous-time algorithm is proposed. Our algorithm has lower order dynamics than others to reduce burdens of computation and communication, and is…

In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corresponding utility maximization problems. Moreover, we…

In this paper, the problem of load uncertainty in compliance problems is addressed where the uncertainty is described in the form of a set of finitely many loading scenarios. Computationally more efficient methods are proposed to exactly…

Blockchain systems come with the promise of being inclusive for a variety of decentralized applications (DApps) that can serve different purposes and have different urgency requirements. Despite this, the transaction fee mechanisms…

Traffic load-balancing in datacenters alleviates hot spots and improves network utilization. In this paper, a stable in-network load-balancing algorithm is developed in the setting of software-defined networking. A control plane configures…

We apply numerical dynamic programming techniques to solve discrete-time multi-asset dynamic portfolio optimization problems with proportional transaction costs and shorting/borrowing constraints. Examples include problems with multiple…

A class of queueing networks which consist of single-server fork-join nodes with infinite buffers is examined to derive a representation of the network dynamics in terms of max-plus algebra. For the networks, we present a common dynamic…

We investigate how and when to diversify capital over assets, i.e., the portfolio selection problem, from a signal processing perspective. To this end, we first construct portfolios that achieve the optimal expected growth in i.i.d.…

We study a dynamic matching problem on a two-sided platform with unbalanced patience, in which long-lived supply accumulates over time with a unit waiting cost per period, while short-lived demand departs if not matched promptly. High- or…

In this chapter, an input-output economic model with multiple interactive economic systems is considered. The model captures the multi-dimensional nature of the economic sectors or industries in each economic system, the interdependencies…

In the presence of non-convexities, the power market may not have an equilibrium price for power that provides economic stability of the centralized dispatch outcome. In this case, to achieve an economically stable outcome, the uplift…

We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their…

We consider robust pricing and hedging for options written on multiple assets given market option prices for the individual assets. The resulting problem is called the multi-marginal martingale optimal transport problem. We propose two…

In the present work we develop a formalism to tackle the problem of optimal execution when trading market securities. More precisely, we introduce a utility function that balances market impact and timing risk, with this last being modelled…

Transactive or market-based coordination strategies have recently been proposed for controlling the aggregate demand of a large number of electric loads. Such schemes offer operational benefits such as enforcing distribution feeder capacity…

In this paper, we introduce a novel, non-recursive, maximal matching algorithm for double auctions, which aims to maximize the amount of commodities to be traded. It differs from the usual equilibrium matching, which clears a market at the…

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…

We argue that recent developments in proof-of-work consensus mechanisms can be used in accordance with advancements in formal verification techniques to build a distributed payment protocol that addresses important economic drawbacks from…

In computer networks, participants may cooperate in processing tasks, so that loads are balanced among them. We present local distributed algorithms that (repeatedly) use local imbalance criteria to transfer loads concurrently across the…