Related papers: Optimal Incentive for Regulated Production
In this paper, we consider a stochastic recursive optimal control problem under model uncertainty. In this framework, the cost function is described by solutions of a family of backward stochastic differential equations. With the help of…
We develop a financial market model in which a large population of firms chooses dynamic emission strategies under climate transition risk, interacting with both environmentally concerned and neutral investors. Firms face a trade-off…
This research considers the ranking and selection with input uncertainty. The objective is to maximize the posterior probability of correctly selecting the best alternative under a fixed simulation budget, where each alternative is measured…
A two-stage multi-period mixed-integer linear stochastic programming model is proposed to assist qualified operators in long-term generation and transmission expansion planning of electricity and gas systems to meet policy objectives. The…
In electricity markets with a dual-pricing scheme for balancing energy, controllable production units typically participate in the balancing market as "active" actors by offering regulating energy to the system, while renewable stochastic…
This paper studies a model for the optimal control (by a centralized economic agent which we call the planner) of pollution diffusion over time and space. The controls are the investments in production and depollution and the goal is to…
Economic model predictive control has been proposed as a means for solving the unit loading and unit allocation problem in multi-chiller cooling plants. The adjective economic stems from the use of financial cost due to electricity…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
In this work we provide explicit conditions on the existence of optimal feedback controls for stochastic processes with regime-switching. We use the compactification method which needs less regularity conditions on the coefficients of the…
To decarbonize the economy, many governments have set targets for the use of renewable energy sources. These are often formulated as relative shares of electricity demand or supply. Implementing respective constraints in energy models is a…
This paper develops incentive mechanisms for promoting eco-driving with the overarching goal of minimizing emissions in transportation networks. The system operator provides drivers with energy-efficient driving guidance throughout their…
We consider an economy made of competing firms which are heterogeneous in their capital and use several inputs for producing goods. Their consumption policy is fixed rationally by maximizing a utility and their capital cannot fall below a…
A smart grid connects wind or solar or storage farms, fossil fuel plants, industrialor commercial loads, or load serving entities, modeled as stochastic dynamical systems. In each time period, they consume or supply electrical energy, with…
We study the utility maximization problem for power utility random fields in a semimartingale financial market, with and without intermediate consumption. The notion of an opportunity process is introduced as a reduced form of the value…
We investigate constrained optimal control problems for linear stochastic dynamical systems evolving in discrete time. We consider minimization of an expected value cost over a finite horizon. Hard constraints are introduced first, and then…
We study the design of functional incentive mechanisms for dynamical systems, in which a leader designs a fixed incentive function to motivate a self-interested follower to actuate the system beneficially over an extended horizon, without…
In a market system, regulations are designed to prevent or rectify market failures that inhibit fair exchange, such as monopoly or transactions with hidden costs. Because regulations reduce profits to those possessing unfair advantage,…
Due to the established energy production methods contribution to the climate crisis, renewable energy is to replace a substantial part of coal or nuclear plants to prevent greenhouse gases or toxic waste entering the atmosphere. This…
Recent technology advances have enabled firms to flexibly process and analyze sophisticated employee performance data at a reduced and yet significant cost. We develop a theory of optimal incentive contracting where the monitoring…
In this paper we provide a complete theoretical analysis of a two-dimensional degenerate non convex singular stochastic control problem. The optimisation is motivated by a storage-consumption model in an electricity market, and features a…