5,277 research outputs found
A Lyapunov Optimization Approach to Repeated Stochastic Games
This paper considers a time-varying game with players. Every time slot,
players observe their own random events and then take a control action. The
events and control actions affect the individual utilities earned by each
player. The goal is to maximize a concave function of time average utilities
subject to equilibrium constraints. Specifically, participating players are
provided access to a common source of randomness from which they can optimally
correlate their decisions. The equilibrium constraints incentivize
participation by ensuring that players cannot earn more utility if they choose
not to participate. This form of equilibrium is similar to the notions of Nash
equilibrium and correlated equilibrium, but is simpler to attain. A Lyapunov
method is developed that solves the problem in an online \emph{max-weight}
fashion by selecting actions based on a set of time-varying weights. The
algorithm does not require knowledge of the event probabilities and has
polynomial convergence time. A similar method can be used to compute a standard
correlated equilibrium, albeit with increased complexity.Comment: 13 pages, this version fixes an incorrect statement of the previous
arxiv version (see footnote 1, page 5 in current version for the correction
Low Power Dynamic Scheduling for Computing Systems
This paper considers energy-aware control for a computing system with two
states: "active" and "idle." In the active state, the controller chooses to
perform a single task using one of multiple task processing modes. The
controller then saves energy by choosing an amount of time for the system to be
idle. These decisions affect processing time, energy expenditure, and an
abstract attribute vector that can be used to model other criteria of interest
(such as processing quality or distortion). The goal is to optimize time
average system performance. Applications of this model include a smart phone
that makes energy-efficient computation and transmission decisions, a computer
that processes tasks subject to rate, quality, and power constraints, and a
smart grid energy manager that allocates resources in reaction to a time
varying energy price. The solution methodology of this paper uses the theory of
optimization for renewal systems developed in our previous work. This paper is
written in tutorial form and develops the main concepts of the theory using
several detailed examples. It also highlights the relationship between online
dynamic optimization and linear fractional programming. Finally, it provides
exercises to help the reader learn the main concepts and apply them to their
own optimizations. This paper is an arxiv technical report, and is a
preliminary version of material that will appear as a book chapter in an
upcoming book on green communications and networking.Comment: 26 pages, 10 figures, single spac
Realignments of target zone exchange systems: what do we know?
This article surveys recent work on forecasting realignments and estimating the credibility of target zones. The literature finds that realignments are somewhat predictable from readily available information such as interest rates and position of the exchange rate within the band. The relationship between realignment expectations and macrovariables is weak and uncertain. Realignments are said to "surprise" policy makers and market participants; they can only be predicted a short time before they happen. Further work on the formation of expectations would be an important contribution to future research in this area. Additionally, the role of the U.S. dollar in ERM realignments is often noted but has not yet been incorporated into the estimation techniques.Foreign exchange rates
The giant sucking sound: did NAFTA devour the Mexican peso?
Five years of economic reforms had made Mexico a model for other developing nations by the end of 1993, when Mexico was preparing to enter into the North American Free Trade Agreement (NAFTA) with Canada and the United States. But less than a year later, in December 1994, Mexico experienced a severe financial crisis, forcing it to borrow from the IMF and the United States. Some commentators blamed the enactment of NAFTA for the devaluation of the peso and the ensuing economic turmoil in Mexico, with some calling for renegotiation or even repeal of the agreement. Author Christopher J. Neely examines the relationship between NAFTA and the 1994 peso crisis and raises some provocative questions: did NAFTA cause or exacerbate the devaluation of the peso? or did NAFTA help alleviate some of the consequences of the crisis?North American Free Trade Agreement ; Mexico ; Capital movements ; Devaluation of currency ; Peso, Mexican
The great foreign exchange intervention of 2011
In response to volatile market conditions, the G-7 financial authorities announced late on March 17 that they would jointly intervene the next day to reduce the value of the yen, citing concerns about “excess volatility and disorderly movements.” The yen immediately depreciated and traded with much less volatility in the subsequent week.Foreign exchange ; Yen, Japanese
Technical analysis and the profitability of U.S. foreign exchange intervention
This article reconciles an apparent contradiction found by recent research on U.S. intervention in foreign exchange markets. LeBaron (1996) and Szakmary and Mathur (1997) show that extrapolative technical trading rules trade against U.S. foreign exchange intervention and produce excess returns during intervention periods. Leahy (1995) shows that U.S. intervention itself is profitable over long periods of time. In other words, technical trades make excess returns when they take positions contrary to U.S. intervention - U.S. intervention itself is profitable, however. This article will first present recent research on these subjects. Then it will discuss how differing investment horizons and varying returns and position sizes may reconcile these facts.Foreign exchange - Law and legislation
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