8 papers
Distributionally Robust Linear Quadratic Gaussian Regulator with Stationary Distributions
Alain Schöbi, Nicolas Lanzetti, Florian Dörfler +2
We study the Linear Quadratic Gaussian regulation problem in the face of worst-case noise distributions when these are mutually independent, zero-mean, stationary, and within a rad…
Strategically Robust Aggregative Games
Andreas Feik, Nicolas Lanzetti, Saverio Bolognani +2
In many multiagent settings, such as electric vehicle charging and traffic routing, agents must make decisions in the face of uncertain behavior exhibited by others. Often, this un…
Hedging against Black Swans in Day-Ahead Energy Markets
Liviu Aolaritei, Boubacar Bangoura, Saverio Bolognani +2
Renewable generators must commit to day-ahead market bids despite uncertainty in both production and real-time prices. While forecasts provide valuable guidance, rare and unpredict…
Learn to Bid as a Price-Maker Wind Power Producer
Shobhit Singhal, Marta Fochesato, Liviu Aolaritei +1
Wind power producers (WPPs) participating in short-term power markets face significant imbalance costs due to their non-dispatchable and variable production. While some WPPs have a…
Strategically Robust Game Theory via Optimal Transport
Nicolas Lanzetti, Sylvain Fricker, Saverio Bolognani +2
In many game-theoretic settings, agents are challenged with taking decisions against the uncertain behavior exhibited by others. Often, this uncertainty arises from multiple source…
First-order Conditions for Optimization in the Wasserstein Space
Nicolas Lanzetti, Saverio Bolognani, Florian Dörfler
We study first-order optimality conditions for constrained optimization in the Wasserstein space, whereby one seeks to minimize a real-valued function over the space of probability…