Related papers: The Water Puzzle and Marginal Utility Optimization
We survey recent progress on efficient algorithms for approximately diagonalizing a square complex matrix in the models of rational (variable precision) and finite (floating point) arithmetic. This question has been studied across several…
In this article, we introduce the concept of energy-variational solutions for a large class of systems of nonlinear evolutionary partial differential equations. Under certain convexity assumptions, the existence of such solutions can be…
In many urban areas of the developing world, piped water is supplied only intermittently, as valves direct water to different parts of the water distribution system at different times. The flow is transient, and may transition between…
Science about optimization methods is rapidly developing today. In machine learning, computer vision, biology, medicine, construction and in many other different areas optimization methods have vast popularity and they appear as important…
In this paper we look at a class of random optimization problems. We discuss ways that can help determine typical behavior of their solutions. When the dimensions of the optimization problems are large such an information often can be…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
This work presents a tentative discussion of certain aspects of energy behavior in the context of mathematical fluid dynamics. While some observations are made regarding certain patterns in energy behavior under particular conditions, the…
This paper studies stability of the exponential utility maximization when there are small variations on agent's utility function. Two settings are considered. First, in a general semimartingale model where random endowments are present, a…
We expose a theoretical hedging optimization framework with variational preferences under convex risk measures. We explore a general dual representation for the composition between risk measures and utilities. We study the properties of the…
We consider a utility-maximization problem in a general semimartingale financial model, subject to constraints on the number of shares held in each risky asset. These constraints are modeled by predictable convex-set-valued processes whose…
We give explicit solutions for utility maximization of terminal wealth problem $u(X_T)$ in the presence of Knightian uncertainty in continuous time $[0,T]$ in a complete market. We assume there is uncertainty on both drift and volatility of…
Many optimization problems in power transmission networks can be formulated as polynomial problems with complex variables. A polynomial optimization problem with complex variables consists in optimizing a real-valued polynomial whose…
We consider a discrete-time financial market model with finite time horizon and give conditions which guarantee the existence of an optimal strategy for the problem of maximizing expected terminal utility. Equivalent martingale measures are…
This paper presents a new framework for anytime heuristic search where the task is to achieve as many goals as possible within the allocated resources. We show the inadequacy of traditional distance-estimation heuristics for tasks of this…
We study utility maximization for power utility random fields with and without intermediate consumption in a general semimartingale model with closed portfolio constraints. We show that any optimal strategy leads to a solution of the…
Reducing global carbon emissions will require diverse industrial sectors to use energy more efficiently, electrify, and operate intermittently. The water sector is a transformation target, but we lack energy quantification tools to guide…
We introduce a linear space of finitely additive measures to treat the problem of optimal expected utility from consumption under a stochastic clock and an unbounded random endowment process. In this way we establish existence and…
We present a logical framework to represent and reason about fuzzy optimization problems based on fuzzy answer set optimization programming. This is accomplished by allowing fuzzy optimization aggregates, e.g., minimum and maximum in the…
This paper deals with the problem of measurable lifting modification for stochastic processes in its most general form and with the 'product lifting problem'. Solutions to the positive are reduced to the existence of marginals with respect…
In this paper we investigate a utility maximization problem with drift uncertainty in a multivariate continuous-time Black-Scholes type financial market which may be incomplete. We impose a constraint on the admissible strategies that…