multi_period_liability_clearing

Code for the paper Multi-period liability clearing via convex optimal control.

Dependencies

The code is written in the Python language, and has the following dependencies:

numpy
scipy
cvxpy
networkx
matplotlib
mosek

To use the MOSEK solver, you will need to follow instructions listed here.

Examples

The examples in section 6.1 are in liability_clearing.py. The example in section 6.2 is in liability_reduction.py. The example in section 6.3 is in liability_mpc.py. The example in section 7.5 is in non_cleared_liabilities.py.

To run, for example, the examples in 6.1, run

$ python liability_clearing.py 

License

This repository carries an Apache 2.0 license.

Citing

If you use multi_period_liability_clearing for research, please cite our accompanying paper:

@article{barratt2020multiperiod,
  author={Barratt, Shane and Boyd, Stephen},
  title={Multi-period liability clearing via convex optimal control},
  journal={Manuscript}.
  year={2020},
}