2 citations · 4 across the 9 of their papers we have counts for
16 papers
Deep learning algorithms for FBSDEs with jumps: Applications to option pricing and a MFG model for smart grids
Clémence Alasseur, Zakaria Bensaid, Roxana Dumitrescu +1
In this paper, we introduce various machine learning solvers for (coupled) forward-backward systems of stochastic differential equations (FBSDEs) driven by a Brownian motion and a…
A Quantization Procedure for Nonlinear Pricing with an Application to Electricity Markets
Quentin Jacquet, Wim van Ackooij, Clémence Alasseur +1
We consider a revenue maximization model, in which a company aims at designing a menu of contracts, given a population of customers. A standard approach consists in constructing an…
A mean field model for the development of renewable capacities
Clémence Alasseur, Matteo Basei, Charles Bertucci +1
We propose a model based on a large number of small competitive producers of renewable energies, to study the effect of subsidies on the aggregate level of capacity, taking into ac…
A Rank-Based Reward between a Principal and a Field of Agents: Application to Energy Savings
Clémence Alasseur, Erhan Bayraktar, Roxana Dumitrescu +1
In this paper, we consider the problem of a Principal aiming at designing a reward function for a population of heterogeneous agents. We construct an incentive based on the ranking…
Ergodic control of a heterogeneous population and application to electricity pricing
Quentin Jacquet, Wim van Ackooij, Clémence Alasseur +1
We consider a control problem for a heterogeneous population composed of agents able to switch at any time between different options. The controller aims to maximize an average gai…
Expert Aggregation for Financial Forecasting
Carl Remlinger, Brière Marie, Alasseur Clémence +1
Machine learning algorithms dedicated to financial time series forecasting have gained a lot of interest. But choosing between several algorithms can be challenging, as their estim…
Quadratic Regularization of Bilevel Pricing Problems and Application to Electricity Retail Markets
Quentin Jacquet, Wim van Ackooij, Clémence Alasseur +1
We consider the profit-maximization problem solved by an electricity retailer who aims at designing a menu of contracts. This is an extension of the unit-demand envy-free pricing p…
Computation and implementation of an optimal mean field control for smart charging
Adrien Seguret, Cheng Wan, Clémence Alasseur
This paper addresses an optimal control problem for a large population of identical plug-in electric vehicles (PEVs). The number of PEVs being large, the mean field assumption is f…
MFG model with a long-lived penalty at random jump times: application to demand side management for electricity contracts
Clémence Alasseur, Luciano Campi, Roxana Dumitrescu +1
We consider an energy system with consumers who are linked by a Demand Side Management (DSM) contract, i.e. they agreed to diminish, at random times, their aggregated power con…
Decomposition of convex high dimensional aggregative stochasticcontrol problems
Adrien Séguret, Clémence Alasseur, J. Frédéric Bonnans +3
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 m…
Optimal contracts under adverse selection for staple goods: efficiency of in-kind insurance
Clémence Alasseur, Corinne Chaton, Emma Hubert
An income loss can have a negative impact on households, forcing them to reduce their consumption of some staple goods. This can lead to health issues and, consequently, generate s…
A Principal-Agent approach to Capacity Remuneration Mechanisms
Clémence Alasseur, Heythem Farhat, Marcelo Saguan
We propose to study electricity capacity remuneration mechanism design through a Principal-Agent approach. The Principal represents the aggregation of electricity consumers (or a r…
Peer-to-Peer Electricity Market Analysis: From Variational to Generalized Nash Equilibrium
Hélène Le Cadre, Paulin Jacquot, Cheng Wan +1
We consider a network of prosumers involved in peer-to-peer energy exchanges, with differentiation price preferences on the trades with their neighbors, and we analyze two market d…
Regression Monte Carlo for Microgrid Management
Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza +3
We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage sys…
An adverse selection approach to power pricing
Clémence Alasseur, Ivar Ekeland, Romuald Elie +2
We study the optimal design of electricity contracts among a population of consumers with different needs. This question is tackled within the framework of Principal-Agent problems…
Structural price model for electricity coupled markets
Clemence Alasseur, Olivier Feron
We propose a new structural model that can compute the electricity spot and forward prices in two coupled markets with limited interconnection and multiple fuels. We choose a struc…