We extend classical results by Debreu and Dierker about equilibrium prices of a regular economy with continuously differentiable demand functions/excess demand function to a regular exchange economy with these functions being locally Lipschitz. Our concept of a regular economy is based on Clarke’s concept of regular value and we show that such a regular economy … Read more
Motivated by data-driven approaches to sequential decision-making under uncertainty, we study maximum likelihood estimation of a distribution over a general measurable space when, unlike traditional setups, realizations of the underlying uncertainty are not directly observable but instead are known to lie within observable sets. While extant work studied the special cases when the observed sets … Read more
Title Modeling risk for CVaR-based decisions in risk aggregation. Abstract Measuring the risk aggregation is an important exercise for any risk bearing carrier. It is not restricted to evaluation of the known portfolio risk position only, and could include complying with regulatory requirements, diversification, etc. The main difficulty of risk aggregation is creating an underlying … Read more
Asset-liability management (ALM) is a challenging task faced by pension funds due to the uncertain nature of future asset returns and interest rates. To address this challenge, this paper presents a new mathematical model that uses aWorst-case Conditional Value-at-Risk (WCVaR) constraint to ensure that the funding ratio remains above a regulator-mandated threshold with a high … Read more
The stochastic dual dynamic programming (SDDP) algorithm introduced by Pereira and Pinto in 1991 has sparked essential research in the context of water resources management, mainly due to its ability to address large-scale multistage stochastic problems. This paper aims to provide a tutorial-type review of 32 years of research since the publication of the SDDP … Read more
A common assumption in the models for the vehicle routing problem with stochastic demands is that all demands must be satisfied. This is achieved by including recourse actions in two-stage stochastic programming formulations or by ensuring with a high probability that all demand fits within the vehicle capacity (chance-constrained formulations). In this work, we relax … Read more
We propose a new multi-model partially observable Markov decision process (MPOMDP) model to address the issue of model ambiguity in partially observable Markov decision process. Here, model ambiguity is defined as the case where there are multiple credible optimization models with the same structure but different model parameters. The proposed MPOMDP model aims to learn … Read more
The price of natural gas at wholesale markets in Northwest Europe is influenced by numerous parameters. The USD to EUR exchange rate is one of these parameters. Using the LP-based gas market model WEGA, this paper will examine the impact of USD exchange rates on wholesale natural gas prices in Northwest Europe from 2025 to … Read more
Electric vehicles (EV) pave a promising way towards low-carbon transportation, but the transition to all EV fleets creates new challenges for the public transportation sector. Despite increasing adoption of electric buses, the main challenges presented by the battery electric bus technology include the lack of charging facilities, the reduced operating capacity per battery charge compared … Read more
Organ transplantation is an increasingly common therapy for many types of end-stage organ failure, including lungs, hearts, kidneys and livers. The past twenty years have seen increased scrutiny of post-transplant outcomes in the United States, in order to ensure the efficient utilization of the scarce organ supply. Under regulations by the Organ Procurement Transplantation Network … Read more