Zobrazeno 1 - 10
of 225
pro vyhledávání: '"Sircar, Ronnie"'
This paper introduces a novel approach to addressing uncertainty and associated risks in power system management, focusing on the discrepancies between forecasted and actual values of load demand and renewable power generation. By employing Economic
Externí odkaz:
http://arxiv.org/abs/2408.04830
Autor:
Alaluf, Melda, Crippa, Giulia, Geng, Sinong, Jing, Zijian, Krishnan, Nikhil, Kulkarni, Sanjeev, Navarro, Wyatt, Sircar, Ronnie, Tang, Jonathan
Publikováno v:
Risk and Decision Analysis, Volume 9, 2023
We study paycheck optimization, which examines how to allocate income in order to achieve several competing financial goals. For paycheck optimization, a quantitative methodology is missing, due to a lack of a suitable problem formulation. To deal wi
Externí odkaz:
http://arxiv.org/abs/2403.06011
Autor:
Rigobon, Daniel E., Sircar, Ronnie
We formulate a model of the banking system in which banks control both their supply of liquidity, through cash holdings, and their exposures to risky interbank loans. The value of interbank loans jumps when banks suffer liquidity shortages, which can
Externí odkaz:
http://arxiv.org/abs/2211.12404
Autor:
Graber, P. Jameson, Sircar, Ronnie
We establish the existence and uniqueness of a solution to the master equation for a mean field game of controls with absorption. The mean field game arises as a continuum limit of a dynamic game of exhaustible resources modeling Cournot competition
Externí odkaz:
http://arxiv.org/abs/2111.07020
The problem of portfolio optimization when stochastic factors drive returns and volatilities has been studied in previous works by the authors. In particular, they proposed asymptotic approximations for value functions and optimal strategies in the r
Externí odkaz:
http://arxiv.org/abs/2106.11510
We study a class of deterministic mean field games on finite and infinite time horizons arising in models of optimal exploitation of exhaustible resources. The main characteristic of our game is an absorption constraint on the players' state process.
Externí odkaz:
http://arxiv.org/abs/2104.06152
Autor:
Avanesyan, Levon, Sircar, Ronnie
We consider the forward investment problem in market models where the stock prices are continuous semimartingales adapted to a Brownian filtration. We construct a broad class of forward performance processes with initial conditions of power mixture t
Externí odkaz:
http://arxiv.org/abs/2012.10847
Publikováno v:
In Proceedings of the 37th ICML, Vienna, Austria, PMLR 119, pp. 3431-3441, 2020
We propose a reward function estimation framework for inverse reinforcement learning with deep energy-based policies. We name our method PQR, as it sequentially estimates the Policy, the $Q$-function, and the Reward function by deep learning. PQR doe
Externí odkaz:
http://arxiv.org/abs/2007.07443
We propose a mean field game model to study the question of how centralization of reward and computational power occur in Bitcoin-like cryptocurrencies. Miners compete against each other for mining rewards by increasing their computational power. Thi
Externí odkaz:
http://arxiv.org/abs/1912.01952
Autor:
Graber, P. Jameson, Sircar, Ronnie
Publikováno v:
In Journal of Differential Equations 15 January 2023 343:816-909