4 papers
Pathwise Solutions for Stochastic Hydrostatic Euler Equations under the Local Rayleigh Condition
Ruimeng Hu, Quyuan Lin
The hydrostatic Euler equations are important in the study of atmospheric and oceanic dynamics in the planetary scale. While its deterministic version has been widely studied in th…
Modeling Stochastic Multi-Agent Interaction in Intraday Battery Energy Storage Dispatch with Market Power
Ruimeng Hu, Mike Ludkovski, Hezhong Zhang
We develop a stochastic game-theoretic model for intraday dispatch of grid-scale battery energy storage systems (BESSs). We assume that each BESS operator competitively manages her…
An Actor-Critic Framework for Continuous-Time Jump-Diffusion Controls with Normalizing Flows
Liya Guo, Ruimeng Hu, Xu Yang +1
Continuous-time stochastic control with time-inhomogeneous jump-diffusion dynamics is central in finance and economics, but computing optimal policies is difficult under explicit t…
Deep Reinforcement Learning for Infinite Horizon Mean Field Problems in Continuous Spaces
Andrea Angiuli, Jean-Pierre Fouque, Ruimeng Hu +1
We present the development and analysis of a reinforcement learning (RL) algorithm designed to solve continuous-space mean field game (MFG) and mean field control (MFC) problems in…