25 citations · 42 across the 9 of their papers we have counts for
10 papers
Markov risk mappings and risk-sensitive optimal prediction
Tomasz Kosmala, Randall Martyr, John Moriarty
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 vers…
Discrete-time risk-aware optimal switching with non-adapted costs
Randall Martyr, John Moriarty, Magnus Perninge
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 existe…
Optimal control of a commercial building's thermostatic load for off-peak demand response
Randall Martyr, John Moriarty, Christian Beck
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 gri…
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time
Said Hamadène, Randall Martyr, John Moriarty
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…
Benchmarking the performance of controllers for power grid transient stability
Randall Martyr, Benjamin Schaefer, Christian Beck +1
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 renewabl…
Nonzero-sum games of optimal stopping and generalised Nash equilibrium
Randall Martyr, John Moriarty
In the nonzero-sum setting, we establish a connection between Nash equilibria in games of optimal stopping (Dynkin games) and generalised Nash equilibrium problems (GNEP). In the D…
Optimal Entry to an Irreversible Investment Plan with Non Convex Costs
Tiziano De Angelis, Giorgio Ferrari, Randall Martyr +1
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…
Solving finite time horizon Dynkin games by optimal switching
Randall Martyr
This paper uses recent results on continuous-time finite-horizon optimal switching problems with negative switching costs to prove the existence of a saddle point in an optimal sto…
Dynamic programming for discrete-time finite horizon optimal switching problems with negative switching costs
Randall Martyr
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) swit…
Finite-horizon optimal multiple switching with signed switching costs
Randall Martyr
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…