Michel Denault

Publication Activity (10 Years)

Years Active: 1994-2017
Publications (10 Years): 1

Top Topics

Regression Model

State Variables

Stochastic Dynamic

Investment Decisions

Top Venues

Comput. Oper. Res.

Publications

Michel Denault, Jean-Guy Simonato
Dynamic portfolio choices by simulation-and-regression: Revisiting the issue of value function vs portfolio weight recursions. Comput. Oper. Res. 79 (2017)
Michel Denault, Jean-Guy Simonato, Lars Stentoft
A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables. Comput. Oper. Res. 40 (11) (2013)
Michel Denault, Jean-Louis Goffin
The Analytic-Center Cutting-Plane Method for Variational Inequalities: A Quadratic-Cut Approach. INFORMS J. Comput. 17 (2) (2005)
Michel Denault, Jean-Louis Goffin
Solving variational inequalities with a quadratic cut method: a primal-dual, Jacobian-free approach. Comput. Oper. Res. 31 (5) (2004)
Michel Denault, Jean-Louis Goffin
On a Primal-Dual Analytic Center Cutting Plane Method for Variational Inequalities. Comput. Optim. Appl. 12 (1-3) (1999)
Michel Denault, Dimitris Karagiannis, Dimitris Gritzalis, Paul G. Spirakis
Intrusion detection: Approach and performance issues of the SECURENET system. Comput. Secur. 13 (6) (1994)