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The classical theory of efficient allocations of an aggregate endowment in a pure-exchange economy has hitherto primarily focused on the Pareto-efficiency of allocations, under the implicit assumption that transfers between agents are…
Chance constrained optimal power flow (CC-OPF) formulations have been proposed to minimize operational costs while controlling the risk arising from uncertainties like renewable generation and load consumption. To solve CC-OPF, we often…
Dybvig (1988a,b) solves in a complete market setting the problem of finding a payoff that is cheapest possible in reaching a given target distribution ("cost-efficient payoff"). In the presence of ambiguity, the distribution of a payoff is,…
Most cost-benefit analyses assume that the estimates of costs and benefits are more or less accurate and unbiased. But what if, in reality, estimates are highly inaccurate and biased? Then the assumption that cost-benefit analysis is a…
This paper studies a robust utility maximization problem for intractable claims under distributional ambiguity, where the distribution of the claim cannot be inferred from market information and its dependence with tradable assets is…
Traditionally power distribution networks are either not observable or only partially observable. This complicates development and implementation of new smart grid technologies, such as those related to demand response, outage detection and…
Power system expansion models are a widely used tool for planning powersystems, especially considering the integration of large shares of renewableresources. The backbone of these models is an optimization problem, whichdepends on a number…
The increasing share of renewables in the electricity generation mix comes along with an increasing uncertainty in power supply. In the recent years, distributionally robust optimization has gained significant interest due to its ability to…
In this letter, we study the performance of a wireless power transfer system under energy harvesting distribution uncertainty. The uncertainty captures practical nonidealities of the rectification process and is modelled as the maximum…
The reconfiguration of electrical power distribution systems is a crucial optimization problem aimed at minimizing power losses by altering the system topology through the operation of interconnection switches. This problem, typically…
The rapid emergence of massive datasets in various fields poses a serious challenge to traditional statistical methods. Meanwhile, it provides opportunities for researchers to develop novel algorithms. Inspired by the idea of…
We propose a game-theoretic framework that incorporates both incomplete information and general ambiguity attitudes on factors external to all players. Our starting point is players' preferences on payoff-distribution vectors, essentially…
Assessing uncertainty is an important step towards ensuring the safety and reliability of machine learning systems. Existing uncertainty estimation techniques may fail when their modeling assumptions are not met, e.g. when the data…
Redistribution mechanisms have been proposed for more efficient resource allocation but not for profit. We consider redistribution mechanism design in a setting where participants are connected and the resource owner is only connected to…
We study a joint wind farm planning and operational scheduling problem under decision-dependent uncertainty. The objective is to determine the optimal number of wind turbines at each location to minimize total cost, including both…
Given increasing risk from climate-induced natural hazards, there is growing interest in the development of methods that can quantitatively measure resilience in power systems. This work quantifies resilience in electric power transmission…
Whilst an abundance of techniques have recently been proposed to generate counterfactual explanations for the predictions of opaque black-box systems, markedly less attention has been paid to exploring the uncertainty of these generated…
We study a participatory budgeting problem of aggregating the preferences of agents and dividing a budget over the projects. A budget division solution is a probability distribution over the projects. The main purpose of our study concerns…
We study the equilibrium behavior in a multi-commodity selfish routing game with many types of uncertain users where each user over- or under-estimates their congestion costs by a multiplicative factor. Surprisingly, we find that…
This paper aims to provide a practical example on the assessment and propagation of input uncertainty for option pricing when using tree-based methods. Input uncertainty is propagated into output uncertainty, reflecting that option prices…