14 citations · 36 across the 3 of their papers we have counts for
5 papers
Statistical Learning for Probability-Constrained Stochastic Optimal Control
Alessandro Balata, Michael Ludkovski, Aditya Maheshwari +1
We investigate Monte Carlo based algorithms for solving stochastic control problems with probabilistic constraints. Our motivation comes from microgrid management, where the contro…
A Class of Finite-Dimensional Numerically Solvable McKean-Vlasov Control Problems
Alessandro Balata, Côme Huré, Mathieu Laurière +2
We address a class of McKean-Vlasov (MKV) control problems with common noise, called polynomial conditional MKV, and extending the known class of linear quadratic stochastic MKV co…
Regression Monte Carlo for Microgrid Management
Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza +3
We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage sys…
Regress-Later Monte Carlo for optimal control of Markov processes
Alessandro Balata, Jan Palczewski
We develop two Regression Monte Carlo algorithms (value and performance iteration) to solve general problems of optimal stochastic control of discrete-time Markov processes. We for…
Regress-Later Monte Carlo for Optimal Inventory Control with applications in energy
Alessandro Balata, Jan Palczewski
We develop a Monte-Carlo based numerical method for solving discrete-time stochastic optimal control problems with inventory. These are optimal control problems in which the contro…