This paper addresses the limitations of standard uncertainty models, e.g., robust (norm-bounded) and stochastic (one fixed distribution, e.g., Gaussian), and proposes to model uncertainty via Optimal Transport (OT) ambiguity sets. These constitute a...
In this paper we show that the optimal exercise boundary / free boundary of the American put option pricing problem for jump diffusions is continuously differentiable (except at the maturity). This differentiability result has been established by Y...
Converting wind energy into ammonia (WtA) has been recognized as a promising pathway to enhance the usage of wind generation. This paper proposes a generic optimal configuration model of WtA at the network level to minimize the ammonia production cos...
We formulate an infinite-horizon optimal investment and consumption problem, in which an individual forms a habit based on the exponentially weighted average of her past consumption rate, and in which she invests in a Black-Scholes market. The indivi...
In this work, we present a novel approach to bias the driving style of an artificial race driver (ARD) for online time-optimal trajectory planning. Our method leverages a nonlinear model predictive control (MPC) framework that combines time minimizat...
We consider a model of optimal investment and consumption with both habit formation and partial observations in incomplete Itô processes market. The investor chooses his consumption under the addictive habits constraint while only observing the mark...
Optimal use and distribution of Covid-19 vaccines involves adjustments of dosing. Due to the rapidly-evolving pandemic, such adjustments often need to be introduced before full efficacy data are available. As demonstrated in other areas of drug devel...
We characterize the optimal reward functions (scoring rules) that incentivize an agent to acquire information and report it truthfully to the principal. The optimal scoring rules let the agent make a simple binary bet in single-dimensional problems,...
In this paper, we study parametric analysis of semidefinite optimization problems w.r.t. the perturbation of the objective function. We study the behavior of the optimal partition and optimal set mapping on a so-called nonlinearity interval. Furtherm...
How to design tolls that induce socially optimal traffic loads with dynamically arriving travelers who make selfish routing decisions? We propose a two-timescale discrete-time stochastic dynamics that adaptively adjusts the toll prices on a parallel...
The problem of rapid optimal coverage through the distribution a team of robots or static sensors via means of aerial drop is the topic of this work. Considering a nonholonomic (fixed-wing) aerial robot that corresponds to the carrier of a set of sma...
The volume weighted average price (VWAP) execution strategy is well known and widely used in practice. In this study, we explicitly introduce a trading volume process into the Almgren-Chriss model, which is a standard model for optimal execution. We...
We use quantum diffusive trajectories to prove that the time evolution of two-qubit entanglement under spontaneous emission can be fully characterized by optimal continuous monitoring. We analytically determine this optimal unraveling and derive a de...
5 days ago · How Do You Clean A Laptop Fan? Ensuring Optimal Performance Cleaning a laptop fan involves careful steps to remove dust and debris, ensuring optimal cooling and preventing …
The optimal power flow (OPF) is an optimization model dedicated to the development of computational tools used for the planning and operation of electric power systems (EPS). In this work, based on the polar formulation, an extended convex model is p...
We develop and implement a non-parametric method for joint exact calibration of a local volatility model and a correlated stochastic short rate model using semimartingale optimal transport. The method relies on the duality results established in Jose...
Premium Queue package for handling distributed jobs and messages in NodeJS. (⭐ 16239)
An $s$-extremal optimal unimodular lattice in dimension $52$ is constructed for the first time. This lattice is constructed from a certain self-dual $\mathbb{F}_5$-code by Construction A. In addition, as neighbors of the lattice, two more $s$-extrema...
We consider the problem of optimal hedging in an incomplete market with an established pricing kernel. In such a market, prices are uniquely determined, but perfect hedges are usually not available. We work in the rather general setting of a Lévy-It...
We address the problem of reshaping light in the Schrödinger optics regime from the perspective of optimal control theory. In technological applications, Schrödinger optics is often used to model a slowly-varying amplitude of a para-axially propaga...