765 citations
- École PolytechniqueFR123 papers
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4 papers · 2 filters
A Two-Timescale Decision-Hazard-Decision Formulation for Storage Usage Values Calculation
Camila Martinez Parra, Michel de Lara, Jean-Philippe Chancelier +3
The penetration of renewable energies requires additional storages to deal with intermittency. Accordingly, there is growing interest in evaluating the opportunity cost (usage valu…
Verification theorem related to a zero sum stochastic differential game, based on a chain rule for non-smooth functions
Carlo Ciccarella, Francesco Russo
In the framework of stochastic zero-sum differential games, we establish a verification theorem, inspired by those existing in stochastic control, to provide sufficient conditions…
Inverse optimal control problem in the non autonomous linear-quadratic case
Frédéric Jean, Sofya Maslovskaya
Inverse optimal control problem emerges in different practical applications, where the goal is to design a cost function in order to approximate given optimal strategies of an expe…
On the irreducibility and convergence of a class of nonsmooth nonlinear state-space models on manifolds and their applications to zeroth-order optimization
Armand Gissler, Alain Durmus, Anne Auger
In this paper, we analyze a large class of general nonlinear state-space models on a state-space X, defined by the recursion , , wh…