Publications related to Generalized Bounds for Convex Multistage Stochastic Programs

A Continuized View on Nesterov Acceleration

Nicolas Henri Bernard Flammarion, Raphaël Jean Berthier

We introduce the "continuized" Nesterov acceleration, a close variant of Nesterov acceleration whose variables are indexed by a continuous time parameter. The two variables continuously mix following a linear ordinary differential equation and take gradien ...

2021

Price-based regulation of oligopolistic markets under discrete choice models of demand

Michel Bierlaire, Virginie Janine Camille Lurkin, Stefano Bortolomiol

We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. The framework accommodates general discrete choice ...

2021

Price-based regulation of oligopolistic markets under discrete choice models of demand

Michel Bierlaire, Virginie Janine Camille Lurkin, Stefano Bortolomiol

We propose a framework to find optimal price-based policies to regulate markets characterized by oligopolistic competition and in which consumers make a discrete choice among a finite set of alternatives. With this framework, we can include general discret ...

EPFL2021

MATHICSE Technical Report : A Multilevel Stochastic Gradient method for PDE-constrained Optimal Control Problems with uncertain parameters

Fabio Nobile, Matthieu Claude Martin, Panagiotis Tsilifis

In this paper, we present a multilevel Monte Carlo (MLMC) version of the Stochastic Gradient (SG) method for optimization under uncertainty, in order to tackle Optimal Control Problems (OCP) where the constraints are described in the form of PDEs with rand ...

MATHICSE2020

Symplectic dynamical low rank approximation of wave equations with random parameters

Fabio Nobile, Eleonora Musharbash, Eva Vidlicková

In this paper we propose a dynamical low-rank strategy for the approximation of second order wave equations with random parameters. The governing equation is rewritten in Hamiltonian form and the approximate solution is expanded over a set of 2S dynamical ...

2020

A Local Law for Singular Values from Diophantine Equations

Marius Christopher Lemm

We introduce the

N\times N

random matrices

X_{j,k}=\exp\left(2\pi i \sum_{q=1}^d\ \omega_{j,q} k^q\right) \quad \text{with } \{\omega_{j,q}\}_{\substack{1\leq j\leq N\\ 1\leq q\leq d}} \text{ i.i.d. random variables},

and

d

a fixed integer. We pr ...

2020

A Novel Decomposition Solution Approach for the Restoration Problem in Distribution Networks

Hossein Sekhavatmanesh

The distribution network restoration problem is by nature a mixed integer and non-linear optimization problem due to the switching decisions and Optimal Power Flow (OPF) constraints, respectively. The link between these two parts involves logical implicati ...

IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC2020

A new spatial count data model with Bayesian additive regression trees for accident hot spot identification

Prateek Bansal

The identification of accident hot spots is a central task of road safety management. Bayesian count data models have emerged as the workhorse method for producing probabilistic rankings of hazardous sites in road networks. Typically, these methods assume ...

2020

A Multiagent Model of Efficient and Sustainable Financial Markets

In this paper, we introduce a model of a financial market as a multiagent repeated game where the players are market makers. We formalize the concept of market making and the parameters of the game. Our main contribution is a framework that combines game t ...

2020

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

Matthieu Claude Martin

This thesis work focuses on optimal control of partial differential equations (PDEs) with uncertain parameters, treated as a random variables. In particular, we assume that the random parameters are not observable and look for a deterministic control which ...

EPFL2019

Generalized Bounds for Convex Multistage Stochastic Programs

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A Continuized View on Nesterov Acceleration

Price-based regulation of oligopolistic markets under discrete choice models of demand

Price-based regulation of oligopolistic markets under discrete choice models of demand

MATHICSE Technical Report : A Multilevel Stochastic Gradient method for PDE-constrained Optimal Control Problems with uncertain parameters

Symplectic dynamical low rank approximation of wave equations with random parameters

A Local Law for Singular Values from Diophantine Equations

A Novel Decomposition Solution Approach for the Restoration Problem in Distribution Networks

A new spatial count data model with Bayesian additive regression trees for accident hot spot identification

A Multiagent Model of Efficient and Sustainable Financial Markets

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

Symplectic dynamical low rank approximation of wave equations with random parameters

A Continuized View on Nesterov Acceleration

Price-based regulation of oligopolistic markets under discrete choice models of demand

MATHICSE Technical Report : A Multilevel Stochastic Gradient method for PDE-constrained Optimal Control Problems with uncertain parameters

A Local Law for Singular Values from Diophantine Equations

A Novel Decomposition Solution Approach for the Restoration Problem in Distribution Networks

Price-based regulation of oligopolistic markets under discrete choice models of demand

A Multiagent Model of Efficient and Sustainable Financial Markets

Stochastic approximation methods for PDE constrained optimal control problems with uncertain parameters

A new spatial count data model with Bayesian additive regression trees for accident hot spot identification