Zobrazeno 1 - 10
of 35
pro vyhledávání: '"Nadia Oudjane"'
Autor:
Adrien Seguret, Clemence Alasseur, J. Frédéric Bonnans, Antonio De Paola, Nadia Oudjane, Vincenzo Trovato
Publikováno v:
Applied Mathematics and Optimization
Applied Mathematics and Optimization, 2023, 88 (8), pp.35
Applied Mathematics and Optimization, 2023, 88 (8), pp.35
We consider the framework of convex high dimensional stochastic control problems, in which the controls are aggregated in the cost function. As first contribution, we introduce a modified problem, whose optimal control is under some reasonable assump
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e39e2ef1f88aeeea38908e88e579e04c
https://doi.org/10.1007/s00245-023-09977-1
https://doi.org/10.1007/s00245-023-09977-1
Usually Fokker–Planck type partial differential equations (PDEs) are well-posed if the initial condition is specified. In this paper, alternatively, we consider the inverse problem which consists in prescribing final data: in particular we give suf
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f7905dba54443ae1f172f885f2684c6e
http://hdl.handle.net/10281/359690
http://hdl.handle.net/10281/359690
Publikováno v:
2022 IEEE 61st Conference on Decision and Control (CDC), 4143-4148
STARTPAGE=4143;ENDPAGE=4148;TITLE=2022 IEEE 61st Conference on Decision and Control (CDC)
STARTPAGE=4143;ENDPAGE=4148;TITLE=2022 IEEE 61st Conference on Decision and Control (CDC)
A major challenge in today's electricity system is the management of flexibilities offered by new usages, such as smart home appliances or electric vehicles. By incentivizing energy consumption profiles of individuals, demand response seeks to adjust
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::80eace8518ca7efaf120d19b56ff2343
https://doi.org/10.1109/cdc51059.2022.9992627
https://doi.org/10.1109/cdc51059.2022.9992627
We propose a fully backward representation of semilinear PDEs with application to stochastic control. Based on this, we develop a fully backward Monte-Carlo scheme allowing to generate the regression grid, backwardly in time, as the value function is
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1bdcbd7129c993c2dd95dc1fd19044b6
http://arxiv.org/abs/2104.13641
http://arxiv.org/abs/2104.13641
Publikováno v:
Geometry and Invariance in Stochastic Dynamics ISBN: 9783030874315
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26d1849eb3679aedd2065702b03044d5
https://doi.org/10.1007/978-3-030-87432-2_10
https://doi.org/10.1007/978-3-030-87432-2_10
Publikováno v:
Mathematics of Operations Research
Mathematics of Operations Research, 2022, ⟨10.1287/moor.2022.1321⟩
Mathematics of Operations Research, 2022, ⟨10.1287/moor.2022.1321⟩
This paper shows the existence of $\mathcal{O}(\frac{1}{n^\gamma})$-Nash equilibria in $n$-player noncooperative sum-aggregative games in which the players' cost functions, depending only on their own action and the average of all players' actions, a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c1d0acf7a244287ed952722165da201d
Publikováno v:
CDC
CDC 2019-58th IEEE Conference on Decision and Control
CDC 2019-58th IEEE Conference on Decision and Control, Dec 2019, Nice, France
CDC 2019-58th IEEE Conference on Decision and Control
CDC 2019-58th IEEE Conference on Decision and Control, Dec 2019, Nice, France
We consider a resource allocation problem involving a large number of agents with individual constraints subject to privacy, and a central operator whose objective is to optimizing a global, possibly non-convex, cost while satisfying the agents'c ons
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c37a7ed5fb3decf08da275eadc17622d
https://doi.org/10.1109/cdc40024.2019.9029991
https://doi.org/10.1109/cdc40024.2019.9029991
Publikováno v:
ESAIM: Probability and Statistics. 21:56-87
We develop a pure Monte Carlo method to compute $E(g(X_T))$ where $g$ is a bounded and Lipschitz function and $X_t$ an Ito process. This approach extends a previously proposed method to the general multidimensional case with a SDE with varying coeffi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a84573d8bdd7d3af27eb1290037c6956
https://doi.org/10.1051/ps/2017001
https://doi.org/10.1051/ps/2017001
Publikováno v:
IEEE Transactions on Automatic Control
IEEE Transactions on Automatic Control, Institute of Electrical and Electronics Engineers, 2020, ⟨10.1109/TAC.2020.3008649⟩
IEEE Transactions on Automatic Control, 2020, ⟨10.1109/TAC.2020.3008649⟩
IEEE Transactions on Automatic Control, Institute of Electrical and Electronics Engineers, 2020, ⟨10.1109/TAC.2020.3008649⟩
IEEE Transactions on Automatic Control, 2020, ⟨10.1109/TAC.2020.3008649⟩
Aggregative games have many industrial applications, and computing an equilibrium in those games is challenging when the number of players is large. In the framework of atomic aggregative games with coupling constraints, we show that variational Nash
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1cb10f695d95a14d9ce06c2646814d82
Publikováno v:
IEEE Transactions on Smart Grid
IEEE Transactions on Smart Grid, Institute of Electrical and Electronics Engineers, 2018, ⟨10.1109/TSG.2018.2855041⟩
IEEE Transactions on Smart Grid, 2018, ⟨10.1109/TSG.2018.2855041⟩
IEEE Transactions on Smart Grid, Institute of Electrical and Electronics Engineers, 2018, ⟨10.1109/TSG.2018.2855041⟩
IEEE Transactions on Smart Grid, 2018, ⟨10.1109/TSG.2018.2855041⟩
An important part of the Smart Grid literature on residential Demand Response deals with game-theoretic consumption models. Among those papers, the hourly billing model is of special interest as an intuitive and fair mechanism. We focus on this model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03d74bdc27529b8babe0c634ea102a0b
http://arxiv.org/abs/1712.08622
http://arxiv.org/abs/1712.08622