This paper formulates dynamic density functions, based upon skewed-t and similar representations, to model and forecast electricity price spreads between different hours of the day. This supports an optimal day ahead storage and discharge schedule, and thereby facilitates a bidding strategy for...

Problem definition: In contextual optimization, the decision-maker seeks optimal decisions to minimize a cost function, that varies based on observed features. This context is common in many business applications ranging from on-demand delivery and retail operations to portfolio optimization and...

Coordinating contracts have been extensively researched in supply chain management. In this retrospect, we systematically review the profit allocation, decision sequence, and compliance aspects of these contracts. In addition to the existing concepts in the literature, we propose the notion of...

In recent years, understanding the structure and function of complex networks has become the foundation for explaining many different real-world complex biological, technological and informal social phenomena. Techniques from statistical physics have been successfully applied to the analysis of...

Out-of-sample tests are subject to look-ahead bias when a forecaster constructs a model using an intuition derived from empirical patterns in the test sample. Even if model parameters are estimated without the test sample, information from it affects a forecaster's model choice. Since such...

Humans play important roles in the process of quantifying uncertainty. The participation of humans in this important exercise opens the process to behavioral biases. In this paper, we examine the different types of biases that may occur when quantifying uncertainty using a process-oriented...

This paper studies random vectors X featuring symmetric distributions in that i) the order of the random variables in X does not affect its distribution, or ii) the distribution of X is symmetric at zero. We derive a number of characterization results for such random vectors, thereby connecting...

The two forms - additive and index, of the factor analysis of increases and decreases of absolute result quantities are studied. A transition is made from the additive form of the factor analysis with growths of absolute result quantities with non-mean data to its additive and index form with...

This paper develops optimal estimation of a potentially non-differentiable functional Γβ of a regular parameter β, when Γ satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...

This paper develops optimal estimation of a potentially nondifferentiable functional Г(β) of a regular parameter β, when Г satisfies certain conditions. Primary examples are min or max functionals that frequently appear in the analysis of partially identified models. This paper investigates...