Vincent Guigues

Publication Activity (10 Years)

Years Active: 2011-2023
Publications (10 Years): 17

Top Topics

Multistage Stochastic

Top Venues

Optim. Methods Softw.

Eur. J. Oper. Res.

Publications

Vincent Guigues, Alexander Shapiro, Yi Cheng
Risk-averse stochastic optimal control: An efficiently computable statistical upper bound. Oper. Res. Lett. 51 (4) (2023)
Vincent Guigues, Alexander Shapiro, Yi Cheng
Duality and sensitivity analysis of multistage linear stochastic programs. Eur. J. Oper. Res. 308 (2) (2023)
Vincent Guigues
Algorithms and a Library for the Exact Computation of the Cumulative Distribution Function of the Euclidean Distance Between a Point and a Random Variable Uniformly Distributed in Disks, Balls, or Polygones and Application to Probabilistic Seismic Hazard Analysis. Int. J. Comput. Geom. Appl. 32 (3&4) (2022)
Vincent Guigues
Inexact stochastic mirror descent for two-stage nonlinear stochastic programs. Math. Program. 187 (1) (2021)
Vincent Guigues, Renato D. C. Monteiro, Benar Fux Svaiter
Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems. SIAM J. Optim. 31 (3) (2021)
Michelle Bandarra, Vincent Guigues
Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. Comput. Manag. Sci. 18 (2) (2021)
Vincent Guigues
Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection. Optim. Methods Softw. 36 (1) (2021)
Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski
Constant Depth Decision Rules for multistage optimization under uncertainty. Eur. J. Oper. Res. 295 (1) (2021)
Vincent Guigues, Renato D. C. Monteiro
Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs. J. Optim. Theory Appl. 189 (2) (2021)
Vincent Guigues
Inexact Cuts in Stochastic Dual Dynamic Programming. SIAM J. Optim. 30 (1) (2020)
Vincent Guigues
A library to compute the density of the distance between a point and a random variable uniformly distributed in some sets. CoRR (2019)
Vincent Guigues, Volker Krätschmer, Alexander Shapiro
A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs. SIAM J. Optim. 28 (2) (2018)
Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski
Non-asymptotic confidence bounds for the optimal value of a stochastic program. Optim. Methods Softw. 32 (5) (2017)
Vincent Guigues
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures. Math. Program. 163 (1-2) (2017)
Vincent Guigues, René Henrion
Joint dynamic probabilistic constraints with projected linear decision rules. Optim. Methods Softw. 32 (5) (2017)
Vincent Guigues
Dual Dynamic Programing with cut selection: Convergence proof and numerical experiments. Eur. J. Oper. Res. 258 (1) (2017)
Vincent Guigues
Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs. SIAM J. Optim. 26 (4) (2016)
Vincent Guigues, Claudia A. Sagastizábal, Jorge P. Zubelli
Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options. J. Optim. Theory Appl. 161 (1) (2014)
Vincent Guigues
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning. Comput. Optim. Appl. 57 (1) (2014)
Vincent Guigues, Claudia A. Sagastizábal
Risk-averse feasible policies for large-scale multistage stochastic linear programs. Math. Program. 138 (1-2) (2013)
Vincent Guigues, Claudia A. Sagastizábal
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs. Oper. Res. Lett. 40 (6) (2012)
Vincent Guigues, Werner Römisch
Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures. SIAM J. Optim. 22 (2) (2012)
Vincent Guigues, Werner Römisch
SDDP for multistage stochastic linear programs based on spectral risk measures. Oper. Res. Lett. 40 (5) (2012)
Vincent Guigues, Claudia A. Sagastizábal
The value of rolling-horizon policies for risk-averse hydro-thermal planning. Eur. J. Oper. Res. 217 (1) (2012)
Vincent Guigues
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection. Comput. Optim. Appl. 48 (3) (2011)
Vincent Guigues
A stabilized model and an efficient solution method for the yearly optimal power management. Optim. Methods Softw. 26 (1) (2011)