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Due to increasing shares of renewable energy sources, more frequency reserves are required to maintain power system stability. In this paper, we present a decentralized control scheme that allows a large aggregation of refrigerators to…
In this paper, we present a distributed model predictive control (DMPC) scheme for dynamically decoupled systems which are subject to state constraints, coupling state constraints and input constraints. In the proposed control scheme,…
We present an alternative view for the study of optimal control of partially observed Markov Decision Processes (POMDPs). We first revisit the traditional (and by now standard) separated-design method of reducing the problem to fully…
In various domains, the increasing application of machine learning allows researchers to access inexpensive predictive data, which can be utilized as auxiliary data for statistical inference. Although such data are often unreliable compared…
This paper examines the dividend and investment policies of a cash constrained firm that has access to costly external funding. We depart from the literature by allowing the firm to issue collateralized debt to increase its investment in…
A central goal in algorithmic game theory is to analyze the performance of decentralized multiagent systems, like communication and information networks. In the absence of a central planner who can enforce how these systems are utilized,…
As the developed world replaces Defined Benefit (DB) pension plans with Defined Contribution (DC) plans, there is a need to develop decumulation strategies for DC plan holders. Optimal decumulation can be viewed as a problem in optimal…
Our study provides a survey on how existing stablecoins-- cryptocurrencies aiming at price stabilization-- peg their value to other assets, from the perspective of Decentralized Payment Systems (DPSs). This attempt is important because…
We analyze the problem of optimal reduction of the debt-to-GDP ratio in a stochastic control setting. The debt-to-GDP dynamics are modeled through a stochastic differential equation in which fiscal policy simultaneously affects both debt…
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have found that there exists irremovable…
In decentralized finance, any individual can pool their assets into an automated market maker (AMM) -- herein we focus on the constant product market maker (CPMM) -- in exchange for a claim on a fraction of future pool assets and fees…
By using dissipativity approach, we establish the stability condition for the feedback connection of a deterministic dynamical system $\Sigma$ and a stochastic memoryless map $\Psi$. After that, we extend the result to the class of large…
We introduce and analyze a model for decentral- ized control. The model is broad enough to include problems such as formation control, decentralization of the power grid and flocking. The objective of this paper is twofold. First, we show…
We demonstrate the application of an algorithmic trading strategy based upon the recently developed dynamic mode decomposition (DMD) on portfolios of financial data. The method is capable of characterizing complex dynamical systems, in this…
Computing systems, including real-time embedded systems, are becoming increasingly connected to allow for more advanced and safer operation. Such embedded systems are resource-constrained, such as lower processing capabilities, as compared…
We treat the emerging power systems with direct current (DC) MicroGrids, characterized with high penetration of power electronic converters. We rely on the power electronics to propose a decentralized solution for autonomous learning of and…
Increased uptake of variable renewable generation and further electrification of energy demand necessitate efficient coordination of flexible demand resources to make most efficient use of power system assets. Flexible electrical loads are…
This paper presents a theoretical extension of the DeTEcT framework proposed by Sadykhov et al., DeTEcT, where a formal analysis framework was introduced for modelling wealth distribution in token economies. DeTEcT is a framework for…
A payment channel network is a blockchain-based overlay mechanism that allows parties to transact more efficiently than directly using the blockchain. These networks are composed of payment channels that carry transactions between pairs of…
This paper discusses a decentralized finance (DeFi) application called MakerDAO. The Maker Protocol, built on the Ethereum blockchain, enables users to create and hold currency. Current elements of the Maker Protocol are the Dai stable…