Gennady Shaikhet

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We construct an optimal execution strategy for the purchase of a large number of shares of a financial asset over a fixed interval of time. Purchases of the asset have a nonlinear impact on price, and this is moderated over time by resilience in the limit-order book that determines the price. The limit-order book is permitted to have arbitrary shape. The(More)
A queueing model has J ≥ 2 heterogeneous service stations, each consisting of many independent servers with identical capabilities. Customers of I ≥ 2 classes can be served at these stations at different rates, that depend on both the class and the station. A system administrator dynamically controls scheduling and routing. We study this model in the(More)
We consider scheduling and routing control problems for queueing models with I customer classes and J server pools, each consisting of many statistically identical, exponential servers. Customers require a single service that can be performed by a server from one of the pools; the service rate is ij ≥ 0, which depends on the customer’s class i and the(More)
We consider a problem of supplying electricity to a set of N customers in a smart-grid framework. Each customer requires a certain amount of electrical energy which has to be supplied during the time interval [0, 1]. We assume that each demand has to be supplied without interruption, with possible duration between and r, which are given system parameters ((More)
A large number n of sensors (finite connected intervals) are placed randomly on the real line so that the distances between the consecutive midpoints are independent random variables with expectation inversely proportional to n. In this work we address two fundamental sensor allocation problems. Interference problem tries to reallocate the sensors from(More)
Many processes in automatic regulation, physics, mechanics, biology, economy, ecology etc. can be modelled by hereditary systems (see, e.g. [1-3]). One of the main problems for the theory of such systems and their applications is connected with stability [1,2]. Many stability results were obtained by the construction of appropriate Lyapunov functionals. In(More)
We address the problem of serving plug-in hybrid electric vehicles (PHEVs) in a charging station using a local storage energy unit, with finite capacity. Our goal is to find a control policy minimizing the operational cost of the charging station. We assume that the price of the electrical power unit is determined by a Real Time Pricing scheme, in which,(More)