76 citations · 125 across the 30 of their papers we have counts for
30 papers
A fundamental Game Theoretic model and approximate global Nash Equilibria computation for European Spot Power Markets
Ioan Alexandru Puiu, Raphael Andreas Hauser
Spot electricity markets are considered under a Game-Theoretic framework, where risk averse players submit orders to the market clearing mechanism to maximise their own utility. Co…
On Market Clearing of Day Ahead Auctions for European Power Markets: Cost Minimisation versus Social Welfare Maximisation
Ioan Alexandru Puiu, Raphael Andreas Hauser
For the case of inflexible demand and considering network constraints, we introduce a Cost Minimisation (CM) based market clearing mechanism, and a model representing the standard…
A seven-point algorithm for piecewise smooth univariate minimization
Jonathan Grant-Peters, Raphael Hauser
In this paper, we construct an algorithm for minimising piecewise smooth functions for which derivative information is not available. The algorithm constructs a pair of quadratic f…
Optimal Trade Execution with Uncertain Volume Target
Julien Vaes, Raphael Hauser
In the seminal paper on optimal execution of portfolio transactions, Almgren and Chriss (2001) define the optimal trading strategy to liquidate a fixed volume of a single security…
Low-Rank Boolean Matrix Approximation by Integer Programming
Reka Kovacs, Oktay Gunluk, Raphael Hauser
Low-rank approximations of data matrices are an important dimensionality reduction tool in machine learning and regression analysis. We consider the case of categorical variables,…
Quantifying the Estimation Error of Principal Components
Raphael Hauser, Raul Kangro, Jüri Lember +1
Principal component analysis is an important pattern recognition and dimensionality reduction tool in many applications. Principal components are computed as eigenvectors of a maxi…