60 citations · 107 across the 25 of their papers we have counts for
32 papers
An entropy penalized approach for stochastic optimization with marginal law constraints. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
This paper focuses on stochastic optimal control problems with constraints in law, which are rewritten as optimization (minimization) of probability measures problem on the canonic…
Exponential twist of probability measures: drift correction in term of a generalized gradient
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper we study the exponential twist, i.e. a path-integral exponential change of measure, of a Markovian reference probability measure . This type of transformation natu…
An entropy penalized approach for stochastic control problems. Complete version
Thibaut Bourdais, Nadia Oudjane, Francesco Russo
In this paper, we propose an original approach to stochastic control problems. We consider a weak formulation that is written as an optimization (minimization) problem on the space…
Reimagining Demand-Side Management with Mean Field Learning
Bianca Marin Moreno, Margaux Brégère, Pierre Gaillard +1
Integrating renewable energy into the power grid while balancing supply and demand is a complex issue, given its intermittent nature. Demand side management (DSM) offers solutions…
Decomposed resolution of finite-state aggregative optimal control problems
Kang Liu, Nadia Oudjane, Laurent Pfeiffer
A class of finite-state and discrete-time optimal control problems is introduced. The problems involve a large number of agents with independent dynamics, which interact through an…
Large-scale nonconvex optimization: randomization, gap estimation, and numerical resolution
J. Frédéric Bonnans, Kang Liu, Nadia Oudjane +2
We address a large-scale and nonconvex optimization problem, involving an aggregative term. This term can be interpreted as the sum of the contributions of N agents to some common…