robust equilibrium
Recently Published Documents


TOTAL DOCUMENTS

25
(FIVE YEARS 14)

H-INDEX

7
(FIVE YEARS 2)

2022 ◽  
pp. 1-12
Author(s):  
Tianyu Zhao ◽  
Hanling Yi ◽  
Minghua Chen ◽  
Chenye Wu ◽  
Yunjian Xu

Author(s):  
Sheng Li

In this paper, we consider the robust investment and reinsurance problem with bounded memory and risk co-shocks under a jump-diffusion risk model. The insurer is assumed to be ambiguity-averse and make the optimal decision under the mean-variance criterion. The insurance market is described by two-dimensional dependent claims while the risky asset is depicted by the jump-diffusion model. By introducing the performance in the past, we derive the wealth process depicted by a stochastic delay differential equation (SDDE). Applying the stochastic control theory under the game-theoretic framework, together with stochastic control theory with delay, the robust equilibrium investment-reinsurance strategy and the corresponding robust equilibrium value function are derived. Furthermore, some numerical examples are provided to illustrate the effect of market parameters on the optimal investment and reinsurance strategy.


Author(s):  
Emre Çelebi ◽  
Vanessa Krebs ◽  
Martin Schmidt

AbstractWe consider uncertain robust electricity market equilibrium problems including transmission and generation investments. Electricity market equilibrium modeling has a long tradition but is, in most of the cases, applied in a deterministic setting in which all data of the model are known. Whereas there exist some literature on stochastic equilibrium problems, the field of robust equilibrium models is still in its infancy. We contribute to this new field of research by considering $$\Gamma $$ Γ -robust electricity market equilibrium models on lossless DC networks with transmission and generation investments. We state the nominal market equilibrium problem as a mixed complementarity problem as well as its variational inequality and welfare optimization counterparts. For the latter, we then derive a $$\Gamma $$ Γ -robust formulation and show that it is indeed the counterpart of a market equilibrium problem with robustified player problems. Finally, we present two case studies to gain insights into the general effects of robustification on electricity market models. In particular, our case studies reveal that the transmission system operator tends to act more risk-neutral in the robust setting, whereas generating firms clearly behave more risk-averse.


Proceedings ◽  
2020 ◽  
Vol 64 (1) ◽  
pp. 23
Author(s):  
Michael Olbrich ◽  
Arwed Schütz ◽  
Koustav Kanjilal ◽  
Tamara Bechtold ◽  
Ulrike Wallrabe ◽  
...  

A current goal for microactuators is to extend their usually small working ranges, which typically result from mechanical connections and restoring forces imposed by cantilevers. In order to overcome this, we present a bistable levitation setup to realise free vertical motion of a magnetic proof mass. By superimposing permanent magnetic fields, we imprint two equilibrium positions, namely on the ground plate and levitating at a predefined height. Energy-efficient switching between both resting positions is achieved by the cooperation of a piezoelectric stack actuator, initially accelerating the proof mass, and subsequent electromagnetic control. A trade-off between robust equilibrium positions and energy-efficient transitions is found by simultaneously optimising the controller and design parameters in a co-design. A flatness-based controller is then proposed for tracking the obtained trajectories. Simulation results demonstrate the effectiveness of the combined optimisation.


2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Chongyi Zhong ◽  
Hui Yang ◽  
Chun Wang

We consider stability of equilibria for population games against slight perturbation on the social state space. We provide a necessary and sufficient condition for the existence of Nash equilibria for perturbed population games, which is very important and interesting. Then, refinements of equilibria for population games are introduced. Equivalent characterizations of perfect equilibrium are given. At last, it is shown that each population game admits at least one perfect (proper, weakly proper, and robust) equilibrium.


Sign in / Sign up

Export Citation Format

Share Document