output
20022025
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

Showing 2017Show all

22 papers · 1 filter

math.OC201760 cited

Analysis and Implementation of a Hourly Billing Mechanism for Demand Response Management

Paulin Jacquot, Olivier Beaude, Stéphane Gaubert +1

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 speci…

stat.ML20176 cited

High-dimensional robust regression and outliers detection with SLOPE

Alain Virouleau, Agathe Guilloux, Stéphane Gaïffas +1

The problems of outliers detection and robust regression in a high-dimensional setting are fundamental in statistics, and have numerous applications. Following a recent set of work…

math.OC201719 cited

Demand Response in the Smart Grid: the Impact of Consumers Temporal Preferences

Paulin Jacquot, Olivier Beaude, Nadia Oudjane +1

In Demand Response programs, price incentives might not be sufficient to modify residential consumers load profile. Here, we consider that each consumer has a preferred profile and…

math.OC201717 cited

Demand Side Management in the Smart Grid: an Efficiency and Fairness Tradeoff

Paulin Jacquot, Olivier Beaude, Stéphane Gaubert +1

We compare two Demand Side Management (DSM) mechanisms, introduced respectively by Mohsenian-Rad et al (2010) and Baharlouei et al (2012), in terms of efficiency and fairness. Each…

math.ST20172 cited

Clustering and Model Selection via Penalized Likelihood for Different-sized Categorical Data Vectors

Esther Derman, Erwan Le Pennec

In this study, we consider unsupervised clustering of categorical vectors that can be of different size using mixture. We use likelihood maximization to estimate the parameters of…

stat.ML20178 cited

Efficient tracking of a growing number of experts

Jaouad Mourtada, Odalric-Ambrym Maillard

We consider a variation on the problem of prediction with expert advice, where new forecasters that were unknown until then may appear at each round. As often in prediction with ex…