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We extend stochastic network optimization theory to treat networks with arbitrary sample paths for arrivals, channels, and mobility. The network can experience unexpected link or node failures, traffic bursts, and topology changes, and…
When a game involves many agents or when communication between agents is not possible, it is useful to resort to distributed learning where each agent acts in complete autonomy without any information on the other agents' situations.…
We study the problem of optimal trading using general alpha predictors with linear costs and temporary impact. We do this within the framework of stochastic optimization with finite horizon using both limit and market orders. Consistently…
The steadily high demand for cash contributes to the expansion of the network of Bank payment terminals. To optimize the amount of cash in payment terminals, it is necessary to minimize the cost of servicing them and ensure that there are…
The deployment of autonomous AI agents in derivatives markets has widened a practical gap between static model calibration and realized hedging outcomes. We introduce two reinforcement learning frameworks, a novel Replication Learning of…
We study the optimal portfolio liquidation problem over a finite horizon in a limit order book with bid-ask spread and temporary market price impact penalizing speedy execution trades. We use a continuous-time modeling framework, but in…
Successful animal systems often manage risk through synchronous behavior that spontaneously arises without leadership. In critical human systems facing risk, such as financial markets or military operations, our understanding of the…
Autonomous optimization refers to the design of feedback controllers that steer a physical system to a steady state that solves a predefined, possibly constrained, optimization problem. As such, no exogenous control inputs such as setpoints…
Given the return series for a set of instruments, a \emph{trading strategy} is a switching function that transfers wealth from one instrument to another at specified times. We present efficient algorithms for constructing (ex-post) trading…
We study automated intrusion prevention using reinforcement learning. Following a novel approach, we formulate the interaction between an attacker and a defender as an optimal stopping game and let attack and defense strategies evolve…
This paper studies the performative prediction problem which optimizes a stochastic loss function with data distribution that depends on the decision variable. We consider a setting where the agent(s) provides samples adapted to the…
This work is about optimal order execution, where a large order is split into several small orders to maximize the implementation shortfall. Based on the diversity of cryptocurrency exchanges, we attempt to extract cross-exchange signals by…
Recently, there has been a surge in interest in safe and robust techniques within reinforcement learning (RL). Current notions of risk in RL fail to capture the potential for systemic failures such as abrupt stoppages from system failures…
This paper studies optimal pricing and rebalancing policies for Autonomous Mobility-on-Demand (AMoD) systems. We take a macroscopic planning perspective to tackle a profit maximization problem while ensuring that the system is…
In this paper, we extended previous studies of cooperating autonomous robots to include situations when environmental changes and changes in the number of robots in the swarm can affect the efficiency to execute tasks assigned to the swarm…
Autonomous driving algorithms rely heavily on learning-based models, which require large datasets for training. However, there is often a large amount of redundant information in these datasets, while collecting and processing these…
We investigate portfolio optimization in financial markets from a trading and risk management perspective. We term this task Risk-Aware Trading Portfolio Optimization (RATPO), formulate the corresponding optimization problem, and propose an…
LLM-powered coding agents, which operate in iterative loops (turns) to solve software engineering tasks, are becoming increasingly powerful. However, their practical deployment is hindered by significant and unpredictable costs. This…
This paper studies a dynamic discrete-time queuing model where at every period players get a new job and must send all their jobs to a queue that has a limited capacity. Players have an incentive to send their jobs as late as possible;…
We examine the dynamics of informational efficiency in a market with asymmetrically informed, boundedly rational traders who adaptively learn optimal strategies using simple multiarmed bandit (MAB) algorithms. The strategies available to…