Vincent Guigues

Allocation and operation of an ambulance fleet under uncertainty (2022) [view]

A single cut proximal bundle method for stochastic convex composite optimization (2022) [view]

Risk-Averse Stochastic Optimal Control: an efficiently computable statistical upper bound (To appear) [view]

Duality and sensitivity analysis of multistage linear stochastic programs (2023) [view]

Exact computation of the CDF of the Euclidean distance between a point and a random variable uniformly distributed in disks, balls, or polyhedrons and application to PSHA (2022) [view]

On the strong concavity of the dual function of an optimization problem (2022) [view]

Stochastic Dynamic Cutting Plane for multistage stochastic convex programs (2021) [view]

Single Cut and Multicut Stochastic Dual Dynamic Programming with Cut Selection for Multistage Stochastic Linear Programs: Convergence Proof and Numerical Experiments (2021) [view]

Inexact Stochastic Mirror Descent for two-stage nonlinear stochastic programs (2021) [view]

Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection (2021) [view]

Inexact cuts in SDDP applied to multistage stochastic nondifferentiable problems (2021) [view]

Constant Depth Decision Rules for multistage optimization under uncertainty (2021) [view]

Inexact cuts in Stochastic Dual Dynamic Programming (2020) [view]

Hypothesis Testing via Euclidean Separation (2020) [view]

Regularized Stochastic Dual Dynamic Programming for convex nonlinear optimization problems (2020) [view]

Statistical inference and hypotheses testing of risk averse stochastic programs (2018) [view]

Change Detection via Affine and Quadratic Detectors, http://dx.doi.org/10.1214/17-EJS1373 (open access) (2018) [view]

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures (2017) [view]

Non-asymptotic confidence bounds for the optimal value of a stochastic program (2017) [view]

Joint dynamic probabilistic constraints with projected linear decision rules (2017) [view]

Dual Dynamic Programing with cut selection: Convergence proof and numerical experiments (2017) [view]

Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs (2016) [view]

SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning (2014) [view]

Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options (2014) [view]

Risk-averse feasible policies for large-scale multistage stochastic linear programs (2013) [view]

The value of rolling-horizon policies for risk-averse hydro-thermal planning (2012) [view]

SDDP for multistage stochastic linear programs based on spectral risk measures (2012) [view]

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs (2012) [view]

Nonparametric multivariate breakpoint detection for the means, variances, and covariances of a discrete time stochastic process (2012) [view]

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures (2012) [view]

A stabilized model and an efficient solution method for the yearly optimal power management (2011)

Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection (2011) [view]

Robust mid-term power generation management (2009) [view]

Robust production management (2009) [view]

Mean and covariance matrix adaptive estimation for a weakly stationary process, Application in stochastic optimization (2008) [view]