Searched for: subject%3A%22Stochastic%255C+processes%22
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Ippolito, Andrea (author)
The increasing number of Renewable Sources (RES) in the European electric grid has resulted in the necessity for producers to adjust their position with respect to the change in weather forecasting. Therefore, the European Power Exchange (EPEX SPOT) has seen an expansion of the Intraday Market (ID) where market participants can trade up until a...
master thesis 2023
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Franci, B. (author), Grammatico, S. (author)
Generative adversarial networks (GANs) are a class of generative models with two antagonistic neural networks: a generator and a discriminator. These two neural networks compete against each other through an adversarial process that can be modeled as a stochastic Nash equilibrium problem. Since the associated training process is challenging,...
journal article 2023
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Mares Nasarre, P. (author), García-Maribona, Julio (author), Mendoza Lugo, M.A. (author), Morales Napoles, O. (author)
An accurate estimation of wind and wave variables is key for coastal and offshore applications. Recently, copulas have gained popularity for modelling wind and waves multivariate dependence, since accounting for the hydrodynamic relationships between them is needed to ensure reliable estimations of the required design values. In this study,...
conference paper 2023
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Dobson, P. (author), Bierkens, G.N.J.C. (author)
In this paper we aim to construct infinite dimensional versions of well established Piecewise Deterministic Monte Carlo methods, such as the Bouncy Particle Sampler, the Zig-Zag Sampler and the Boomerang Sampler. In order to do so we provide an abstract infinite dimensional framework for Piecewise Deterministic Markov Processes (PDMPs) with...
journal article 2023
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Jarne Ornia, D. (author), Zufiria, Pedro J. (author), Mazo, M. (author)
Collaborative multiagent robotic systems, where agents coordinate by modifying a shared environment often result in undesired dynamical couplings that complicate the analysis and experiments when solving a specific problem or task. Simultaneously, biologically inspired robotics rely on simplifying agents and increasing their number to obtain...
journal article 2022
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Scarabaggio, P. (author), Grammatico, S. (author), Carli, Raffaele (author), Dotoli, Mariagrazia (author)
In this article, we propose a distributed demand-side management (DSM) approach for smart grids taking into account uncertainty in wind power forecasting. The smart grid model comprehends traditional users as well as active users (prosumers). Through a rolling-horizon approach, prosumers participate in a DSM program, aiming at minimizing...
journal article 2022
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Chen, Tzu Yin Kasha (author), Hung, Chi Yao (author), Chiang, Y.-C. (author), Hsieh, Meng Long (author), Capart, Hervé (author)
In some steep valleys, flood-induced changes in river bed elevation pose significantly greater risks to infrastructure than floodwaters alone. Over the short term, the river may aggrade or degrade by several meters during a single flood. Whereas floodwaters recede after each event, moreover, riverbed changes add up over successive floods. To...
journal article 2022
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Wang, X. (author), Li, Z. (author), Alonso-Mora, J. (author), Wang, M. (author)
Real-time safety systems are crucial components of intelligent vehicles. This paper introduces a prediction-based collision risk assessment approach on highways. Given a point mass vehicle dynamics system, a stochastic forward reachable set considering two-dimensional motion with vehicle state probability distributions is firstly established. We...
conference paper 2022
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Carli, Raffaele (author), Cavone, Graziana (author), Pippia, T.M. (author), De Schutter, B.H.K. (author), Dotoli, Mariagrazia (author)
This paper focuses on the control of microgrids where both gas and electricity are provided to the final customer, i.e., multi-carrier microgrids. Hence, these microgrids include thermal and electrical loads, renewable energy sources, energy storage systems, heat pumps, and combined heat and power units. The parameters characterizing the...
journal article 2022
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Das, B. (author), Hanjalic, A. (author), Isufi, E. (author)
Data processing over graphs is usually done on graphs of fixed size. However, graphs often grow with new nodes arriving over time. Knowing the connectivity information of these nodes, and thus, the expanded graph is crucial for processing data over the expanded graph. In its absence, its inference and the subsequent data processing become...
journal article 2022
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Wilde, N. (author), Alonso-Mora, J. (author)
In this paper we study the multi-robot task assignment problem with tasks that appear online and need to be serviced within a fixed time window in an uncertain environment. For example, when deployed in dynamic, human-centered environments, the team of robots may not have perfect information about the environment. Parts of the environment may...
conference paper 2022
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van Ginkel, G.J. (author)
In this thesis we study the Symmetric Exclusion Process (SEP) and the Discrete Gaussian Free Field (DGFF) on compact Riemannian manifolds. In particular, we obtain the hydrodynamic limit and the equilibrium fluctuations of SEP and we show that the DGFF converges to its continuous counterpart. To define these discrete models, we construct grids...
doctoral thesis 2021
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Holtrop, Sven (author)
In this thesis, the diffusive limit of active particle motion in R<sup>d</sup> is studied via a technique based on homogenisation. Thereafter, this study is extended to active particle motion on a Riemannian manifold. <br/><br/>Furthermore, as an application of active particle motion, a connection is made with the Dirac equation. On the basis of...
bachelor thesis 2021
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Kooijman, Iris (author)
In financial mathematics, stochastic processes are regularly used to describe observed financial indicators such as stocks, options, futures or interest rates. Identifying the underlying dynamics of observed financial time series is crucial in risk management, as it greatly affects pricing and hedging strategies. The large number of available...
master thesis 2021
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Damos, Petros T. (author), Dorrestijn, J. (author), Thomidis, Thomas (author), Tuells, José (author), Caballero, Pablo (author)
Understanding and predicting mosquito population dynamics is crucial for gaining insight into the abundance of arthropod disease vectors and for the design of effective vector control strategies. In this work, a climate-conditioned Markov chain (CMC) model was developed and applied for the first time to predict the dynamics of vectors of...
journal article 2021
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Ananduta, W. (author), Ocampo-Martinez, Carlos (author), Nedic, Angelia (author)
In this paper, we propose a distributed model predictive control (MPC) scheme for economic dispatch of energy systems with a large number of active components. The scheme uses a distributed optimization algorithm that works over random communication networks and asynchronous updates, implying the resiliency of the proposed scheme with respect...
journal article 2021
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Franci, B. (author), Grammatico, S. (author)
We consider the stochastic generalized Nash equilibrium problem (SGNEP) with expected-value cost functions. Inspired by Yi and Pavel (2019), we propose a distributed generalized Nash equilibrium seeking algorithm based on the preconditioned forward-backward operator splitting for SGNEPs, where, at each iteration, the expected value of the...
journal article 2021
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van Ginkel, G.J. (author), van Gisbergen, Bart (author), Redig, F.H.J. (author)
We study a model of active particles that perform a simple random walk and on top of that have a preferred direction determined by an internal state which is modelled by a stationary Markov process. First we calculate the limiting diffusion coefficient. Then we show that the ‘active part’ of the diffusion coefficient is in some sense maximal...
journal article 2021
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Gravell, Benjamin (author), Mohajerin Esfahani, P. (author), Summers, Tyler H. (author)
The linear quadratic regulator (LQR) problem has reemerged as an important theoretical benchmark for reinforcement learning-based control of complex dynamical systems with continuous state and action spaces. In contrast with nearly all recent work in this area, we consider multiplicative noise models, which are increasingly relevant because...
journal article 2021
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Zhou, X. (author), van Gelder, P.H.A.J.M. (author), Liang, Yongtu (author), Zhang, Haoran (author)
As the main way for the long-distance transportation of refined products, multi-products pipelines are of vital importance to the regional energy security. The supply reliability evaluation of multi-product pipeline systems can improve the effective response to unexpected disruptions and guarantee the reliable oil supply. Based on reliability...
journal article 2020
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