4 papers
Learning to Bid in FCR Markets: A Best-of-Both-Worlds Approach
Marius Potfer, Cheng Wan, Pierre Gruet
Bidding in the European Frequency Containment Reserve (FCR) market is challenging for flexibility providers because competing offers are hidden and bidders observe only partial fee…
A spectral mixture representation of isotropic kernels with application to random Fourier features
Nicolas Langrené, Xavier Warin, Pierre Gruet
Rahimi and Recht (2007) introduced the idea of decomposing positive definite shift-invariant kernels by randomly sampling from their spectral distribution for machine learning appl…
Game Theory and Multi-Agent Reinforcement Learning for Zonal Ancillary Markets
Francesco Morri, Hélène Le Cadre, Pierre Gruet +1
We characterize zonal ancillary market coupling relying on noncooperative game theory. To that purpose, we formulate the ancillary market as a multi-leader single follower bilevel…
Fast Gaussian process inference by exact Matérn kernel decomposition
Nicolas Langrené, Xavier Warin, Pierre Gruet
To speed up Gaussian process inference, a number of fast kernel matrix-vector multiplication (MVM) approximation algorithms have been proposed over the years. In this paper, we est…