39 citations · 54 across the 6 of their papers we have counts for
9 papers
A Stationary Mean-Field Equilibrium Model of Irreversible Investment in a Two-Regime Economy
René Aid, Matteo Basei, Giorgio Ferrari
We consider a mean-field model of firms competing à la Cournot on a commodity market, where the commodity price is given in terms of a power inverse demand function of the industry…
Signalling for Electricity Demand Response: When is Truth Telling Optimal?
Rene Aid, Anupama Kowli, Ankur A. Kulkarni
Utilities and transmission system operators (TSO) around the world implement demand response programs for reducing electricity consumption by sending information on the state of ba…
A policy iteration algorithm for nonzero-sum stochastic impulse games
René Aïd, Francisco Bernal, Mohamed Mnif +2
This work presents a novel policy iteration algorithm to tackle nonzero-sum stochastic impulse games arising naturally in many applications. Despite the obvious impact of solving s…
A McKean-Vlasov approach to distributed electricity generation development
René Aïd, Matteo Basei, Huyên Pham
This paper analyses the interaction between centralised carbon emissive technologies and distributed intermittent non-emissive technologies. In our model, there is a representative…
Deep Convolutional Neural Networks on Cartoon Functions
Philipp Grohs, Thomas Wiatowski, Helmut Bölcskei
Wiatowski and Bölcskei, 2015, proved that deformation stability and vertical translation invariance of deep convolutional neural network-based feature extractors are guaranteed by…
An optimal trading problem in intraday electricity markets
René Aïd, Pierre Gruet, Huyên Pham
We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random resi…
On the spot-futures no-arbitrage relations in commodity markets
René Aïd, Luciano Campi, Delphine Lautier
In commodity markets the convergence of futures towards spot prices, at the expiration of the contract, is usually justified by no-arbitrage arguments. In this article, we propose…
Explicit investment rules with time-to-build and uncertainty
René Aid, Salvatore Federico, Huyên Pham +1
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random…
A probabilistic numerical method for optimal multiple switching problem and application to investments in electricity generation
René Aïd, Luciano Campi, Nicolas Langrené +1
In this paper, we present a probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions to solve non-stationary optimal mul…