Article
Economics
Sharif Mozumder, Taufiq Choudhry, Michael Dempsey
Summary: The study investigates systematic and unsystematic option pricing biases in various models applied to the Black-Scholes-Merton model, including pure jump Levy, jump-diffusion, stochastic volatility, and GARCH models. Options data for S&P500 trades from the CBOE were used, and advanced methodologies such as Bayesian regression and Markov Chain Monte Carlo regression were compared with standard techniques to show their usefulness.
COMPUTATIONAL ECONOMICS
(2021)
Article
Computer Science, Interdisciplinary Applications
Xi Xiang, Tao Fang, Changchun Liu, Zhi Pei
Summary: This study proposed an optimization method for a robust service network design problem, balancing objective value and penalty violation with penalty limit constraint and robustness index. A decomposition method was introduced to solve the problem, with numerical results demonstrating the efficiency of the algorithm. The robust optimization approach was validated using real data, resulting in a robust parcel delivery network design with satisfactory out-of-sample performances.
COMPUTERS & INDUSTRIAL ENGINEERING
(2022)
Article
Economics
Duo Wang, Kai Yang, Lixing Yang, Jianjun Dong
Summary: This study addresses the issue of disaster relief logistics (DRL) by considering supplier selection, inventory pre-positioning, post-disaster procurement, and delivery decisions. A flexible option contract is used to handle the shortage and surplus of relief resources. A novel two-stage distributionally robust optimization (DRO) model is developed to handle the ambiguity in demand probability distribution. The experimental results demonstrate the applicability and performance superiority of the proposed DRO model.
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW
(2023)
Article
Energy & Fuels
Xichen Fang, Ershun Du, Kedi Zheng, Jiajia Yang, Qixin Chen
Summary: This paper develops an uncertainty locational marginal price (ULMP) mechanism to price uncertainties related to renewables in power systems. It aims to minimize system costs and ensure reserve margins cover all uncertainties, with renewables and consumers with uncertainty making extra payments while thermals and FTR holders are compensated. Numerical tests on IEEE systems demonstrate the mechanism's benefits and applicability.
CSEE JOURNAL OF POWER AND ENERGY SYSTEMS
(2021)
Article
Automation & Control Systems
Hiroyasu Tsukamoto, Soon-Jo Chung
Summary: CV-STEM is a state feedback control framework that computes the control input by greedily minimizing an upper bound of the steady-state mean squared tracking error of the system trajectories, providing a sufficient guarantee for exponential boundedness of the error with L-2-robustness properties. Validation shows its superiority over PID, H-infinity, and baseline nonlinear controllers in spacecraft attitude control and synchronization problems.
IEEE TRANSACTIONS ON AUTOMATIC CONTROL
(2021)
Article
Computer Science, Theory & Methods
Hossein Jafari
Summary: This paper defines the Malliavin derivative and Skorohod integral for fuzzy stochastic processes in order to analyze the sensitivity of option prices. It introduces a fuzzy stochastic differential equation for financial pricing models and shows how the Malliavin calculus and integration by parts formula in fuzzy space can be used to bypass the derivative of the payoff function, improving computational efficiency and accuracy.
FUZZY SETS AND SYSTEMS
(2022)
Article
Energy & Fuels
Yi Guo, Xuejiao Han, Xinyang Zhou, Gabriela Hug
Summary: In this paper, a two-stage electricity market framework is proposed to explore the involvement of distributed energy resources (DERs) in both day-ahead (DA) and real-time (RT) markets. The optimal bidding strategies of the aggregated DERs in the DA market are determined using distributionally robust optimization, while online incentive signals are generated for DER-owners to optimize social-welfare in consideration of network operational constraints. A bi-level time-varying optimization problem is proposed in the RT market to design the online incentives for balancing services, taking into account the RT imbalance penalty for distribution system operators (DSOs) and the costs of individual DER-owners. Simulation results demonstrate the necessity and robustness of this two-stage design for network operations.
Article
Management
Santiago R. Balseiro, Anthony Kim, Daniel Russo
Summary: In the context of game theory, the presence of asymmetric information between a principal and an agent can affect the design of dynamic mechanisms, sometimes static mechanisms may prove to be more effective than dynamic mechanisms.
OPERATIONS RESEARCH
(2021)
Article
Economics
Stoyan Stoyanov, Svetlozar T. Rachev, Abootaleb Shirvani, Frank J. Fabozzi
Summary: This paper combines modern portfolio theory and option pricing theory to construct an optimal portfolio for a trader taking a position in a European option contract, underlying assets, and a risk-free bond. The optimal holdings in the underlying assets for the trader's mean-variance portfolio and the amount of unhedged risk prior to maturity are derived under various price dynamics models.
Article
Engineering, Mechanical
Dengji Zhou, Dawen Huang
Summary: This paper establishes a stochastic dynamic model based on the nonlinear characteristics of engine systems, analyzes the influence of uncertainty on thermodynamic and performance parameters, and proposes an optimization method considering stochastic responses. The results show that the robust optimization method significantly reduces uncertainty influence and improves thermodynamics performance.
NONLINEAR DYNAMICS
(2022)
Article
Management
Pnina Feldman, Ella Segev
Summary: A main challenge for service providers is balancing value and congestion control. This study examines a queueing model with rational consumers and finds that time limits are effective in reducing service time and congestion when combined with price mechanisms, leading to optimal outcomes.
MANAGEMENT SCIENCE
(2022)
Article
Management
Jun Han, Thomas A. Weber
Summary: This paper investigates second-degree price discrimination under unknown or imperfectly specified type distribution using ambiguity sets. A performance index is used as a measure of robustness, quantifying the worst-case attainment ratio between actual and ex-post optimal payoff. The paper provides a simple representation of this index and a solution to the robust identification problem, leading to a robust product portfolio with worst-case performance across consumer types. A numerical comparison evaluates the robust solution against alternative belief heuristics.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2023)
Article
Robotics
Manan S. Gandhi, Bogdan Vlahov, Jason Gibson, Grady Williams, Evangelos A. Theodorou
Summary: The proposed novel decision-making architecture for Robust Model-Predictive Path Integral Control (RMPPI) shows superior performance compared to other model predictive controllers. Experimental results demonstrate the applicability and effectiveness of RMPPI in real hardware, outperforming existing controllers in terms of agility and robustness to disturbances.
IEEE ROBOTICS AND AUTOMATION LETTERS
(2021)
Article
Mathematics, Interdisciplinary Applications
Sumei Zhang, Hongquan Yong, Haiyang Xiao
Summary: This paper proposes a fractional stochastic volatility jump-diffusion model to fit the empirical characteristics of asset price fluctuations. By obtaining the characteristic function of log-returns and using Fourier cosine series expansion, approximate European options prices are derived. The model is calibrated to market data using a differential evolution algorithm, and empirical results demonstrate its accuracy.
FRACTAL AND FRACTIONAL
(2023)
Article
Computer Science, Interdisciplinary Applications
Arsalan Yousefloo, Reza Babazadeh, Mehrdad Mohammadi, Amir Pirayesh, Alexandre Dolgui
Summary: This paper proposes a multi-objective scenario-based robust stochastic optimization model for designing a sustainable Municipal Solid Waste (MSW) management network. The model considers the dynamic factors influencing MSW management network and integrates sustainability indicators to achieve a balance between quantitative and qualitative evaluation. Additionally, the model investigates waste treatment technologies and emphasizes the importance of fuel consumption on transportation costs and CO2 emissions.
COMPUTERS & INDUSTRIAL ENGINEERING
(2023)
Article
Management
Chaithanya Bandi, Dimitris Bertsimas, Nataly Youssef
OPERATIONS RESEARCH
(2015)
Article
Management
Chaithanya Bandi, Nikolaos Trichakis, Phebe Vayanos
MANAGEMENT SCIENCE
(2019)
Article
Computer Science, Interdisciplinary Applications
Chaithanya Bandi, Dimitris Bertsimas, Nataly Youssef
Article
Management
Chaithanya Bandi, Dimitris Bertsimas
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH
(2014)
Article
Operations Research & Management Science
Chaithanya Bandi, Dimitris Bertsimas
MATHEMATICS OF OPERATIONS RESEARCH
(2014)
Article
Management
Chaithanya Bandi, Eojin Han, Omid Nohadani
MANAGEMENT SCIENCE
(2019)
Article
Management
Chaithanya Bandi, Diwakar Gupta
M&SOM-MANUFACTURING & SERVICE OPERATIONS MANAGEMENT
(2020)
Proceedings Paper
Automation & Control Systems
Yuanzhang Xiao, Chaithanya Bandi, Ermin Wei
2016 54TH ANNUAL ALLERTON CONFERENCE ON COMMUNICATION, CONTROL, AND COMPUTING (ALLERTON)
(2016)
Proceedings Paper
Automation & Control Systems
Ermin Wei, Chaithanya Bandit
2015 54TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC)
(2015)
Proceedings Paper
Automation & Control Systems
Yuanzhang Xiao, Chaithanya Bandi, Ermin Wei
2015 53RD ANNUAL ALLERTON CONFERENCE ON COMMUNICATION, CONTROL, AND COMPUTING (ALLERTON)
(2015)
Proceedings Paper
Computer Science, Software Engineering
Yuanzhang Xiao, Chaithanya Bandi, Ermin Wei
2015 49TH ASILOMAR CONFERENCE ON SIGNALS, SYSTEMS AND COMPUTERS
(2015)