Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Randall Martyr"'
Autor:
Baldeep Singh, Randall Martyr, Thomas Medland, Jamie Astin, Gordon Hunter, Jean-Christophe Nebel
Publikováno v:
Journal of Cloud Computing: Advances, Systems and Applications, Vol 11, Iss 1, Pp 1-17 (2022)
Abstract About fifty years ago, the world’s first fully automated system for trading securities was introduced by Instinet in the US. Since then the world of trading has been revolutionised by the introduction of electronic markets and automatic or
Externí odkaz:
https://doaj.org/article/952f531bd45d48ed85bf6ed4e9eac2c5
Publikováno v:
Mathematical Methods of Operations Research. 97:91-116
We formulate a probabilistic Markov property in discrete time under a dynamic risk framework with minimal assumptions. This is useful for recursive solutions to risk-sensitive versions of dynamic optimisation problems such as optimal prediction, wher
Publikováno v:
Advances in Applied Probability. 51:425-442
In this paper we study continuous-time two-player zero-sum optimal switching games on a finite horizon. Using the theory of doubly reflected BSDEs with interconnected barriers, we show that this game has a value and an equilibrium in the players' swi
We solve non-Markovian optimal switching problems in discrete time on an infinite horizon, when the decision maker is risk aware and the filtration is general, and establish existence and uniqueness of solutions for the associated reflected backward
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a3828a41d56a5b35ef1de9d14dbe5f1d
http://arxiv.org/abs/1910.04047
http://arxiv.org/abs/1910.04047
Autor:
Randall Martyr
Publikováno v:
Mathematics of Operations Research. 41:1432-1447
This paper is concerned with optimal switching over multiple modes in continuous time and on a finite horizon. The performance index includes a running reward, terminal reward and switching costs that can belong to a large class of stochastic process
This paper studies the optimal control of a commercial building's thermostatic load during off-peak hours as an ancillary service to the transmission system operator of a power grid. It provides an algorithmic framework which commercial buildings can
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1cb8d90f3a565eba36f230ee937a8643
A problem of optimally purchasing electricity at a real-valued spot price (that is, with potentially negative cost) has been recently addressed in De Angelis, Ferrari and Moriarty (2015) [SIAM J. Control Optim. 53(3)]. This problem can be considered
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::48c715a3f2c2294f2b971b65cac13963
http://hdl.handle.net/2318/1761927
http://hdl.handle.net/2318/1761927
Publikováno v:
Sustainable Energy, Grids and Networks. 18:100215
As the energy transition transforms power grids across the globe, it poses several challenges regarding grid design and control. In particular, high levels of intermittent renewable generation complicate the task of continuously balancing power suppl
Autor:
Randall Martyr
Publikováno v:
Adv. in Appl. Probab. 48, no. 3 (2016), 832-847
This paper studies a discrete-time optimal switching problem on a finite horizon. The underlying model has a running reward, terminal reward and signed (positive and negative) switching costs. Using the martingale approach to optimal stopping problem
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::88a1032a09b9a9772bec8943e6e4a095
http://projecteuclid.org/euclid.aap/1474296317
http://projecteuclid.org/euclid.aap/1474296317
Autor:
Dávid Zoltán Szabó, Randall Martyr
Publikováno v:
Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences. 375:20160300
This paper is a quantitative study of a reserve contract for real-time balancing of a power system. Under this contract, the owner of a storage device, such as a battery, helps smooth fluctuations in electricity demand and supply by using the device