A Forward Electricity Contract Price Projection: A Market Equilibrium Approach. (arXiv:1904.04225v3 [math.OC] UPDATED)

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This work presents a methodology for forward electricity contract price projection based on market equilibrium and social welfare optimization. In the methodology supply and demand for forward contracts are produced in such a way that each agent (generator/load/trader) optimizes a risk adjusted expected value of its revenue/cost. When uncertainties are represented by a discrete number…

A financial market with a local time drift term and delay. (arXiv:1909.12578v2 [q-fin.MF] UPDATED)

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We study a financial market where the risky asset is modelled by a Brownian motion driven stochastic differential equation with a local time in the drift term. This models a situation where the asset price is partially controlled by a company which intervenes when the price is reaching a certain lower barrier in order to…

Stochastic Orderings of Multivariate Elliptical Distributions. (arXiv:1910.07158v3 [math.ST] UPDATED)

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Let ${\bf X}$ and ${\bf X}$ be two $n$-dimensional elliptical random vectors, we establish an identity for $E[f({\bf Y})]-E[f({\bf X})]$, where $f: \Bbb{R}^n \rightarrow \Bbb{R}$ fulfilling some regularity conditions. Using this identity we provide a unified derivation of sufficient and necessary conditions for classifying multivariate elliptical random vectors according to several main integral stochastic orders.…

Making Good on LSTMs Unfulfilled Promise. (arXiv:1911.04489v2 [cs.LG] UPDATED)

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LSTMs promise much to financial time-series analysis, temporal and cross-sectional inference, but we find they do not deliver in a real-world financial management task. We examine an alternative called Continual Learning (CL), a memory-augmented approach, which can provide transparent explanations; which memory did what and when. This work has implications for many financial applications including…

A Two-stream End-to-End Deep Learning Network for Recognizing Atypical Visual Attention in Autism Spectrum Disorder. (arXiv:1911.11393v1 [eess.IV])

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Eye movements have been widely investigated to study the atypical visual attention in Autism Spectrum Disorder (ASD). The majority of these studies have been focused on limited eye movement features by statistical comparisons between ASD and Typically Developing (TD) groups, which make it difficult to accurately separate ASD from TD at the individual level. The…

Deep adaptive dynamic programming for nonaffine nonlinear optimal control problem with state constraints. (arXiv:1911.11397v1 [eess.SY])

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This paper presents a constrained deep adaptive dynamic programming (CDADP) algorithm to solve general nonlinear optimal control problems with known dynamics. Unlike previous ADP algorithms, it can directly deal with problems with state constraints. Both the policy and value function are approximated by deep neural networks (NNs), which directly map the system state to action…

Distributed Optimal Frequency Control for Integrated Energy Systems with Electricity and Heat. (arXiv:1911.11398v1 [eess.SY])

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With more and more distributed energy resources (DERs) deployed in Integrated Energy Systems (IESs), frequency stability challenges the pursuit of reliability and efficiency. This paper proposes a fully-distributed frequency control method for load-side DERs, in which the optimality can be guaranteed in an IES where electricity and heat are coupled. Moreover, the global asymptotic stability…

COOK: Chirp-OOK Communication with Self-reliant Bitrate Adaptation in Backscatter Networks. (arXiv:1911.11417v1 [eess.SP])

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For large-scale Internet of Things (IoT), backscatter communication is a promising technology to reduce power consumption and simplify deployment. However, backscatter communication lacks stability, along with limited communication range within a few meters. Due to the limited computation ability of backscatter tags, it is burdensome to effectively adapt the bitrate for the time-varying channel. Thus,…

Radiation Damage Studies on Titanium Alloys as High Intensity Proton Accelerator Beam Window Materials. (arXiv:1911.10198v1 [physics.ins-det])

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A high-strength dual alpha+beta phase titanium alloy Ti-6Al-4V is utilized as a material for beam windows in several accelerator target facilities. However, relatively little is known about how material properties of this alloy are affected by high-intensity proton beam irradiation. With plans to upgrade neutrino facilities at J-PARC and Fermilab to over 1 MW beam…