Vincent Guigues
Vincent Guigues
Verified email at fgv.br
Title
Cited by
Cited by
Year
Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures
V Guigues, W Römisch
SIAM Journal on Optimization 22 (2), 286-312, 2012
592012
The value of rolling-horizon policies for risk-averse hydro-thermal planning
V Guigues, C Sagastizábal
European Journal of Operational Research 217 (1), 129-140, 2012
402012
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
V Guigues
Computational Optimization and Applications 57 (1), 167-203, 2014
392014
Robust production management
V Guigues
Optimization and Engineering 10 (4), 505, 2009
282009
Non-asymptotic confidence bounds for the optimal value of a stochastic program
V Guigues, A Juditsky, A Nemirovski
Optimization Methods and Software 32 (5), 1033-1058, 2017
272017
Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs
V Guigues
SIAM Journal on Optimization 26 (4), 2468-2494, 2016
262016
SDDP for multistage stochastic linear programs based on spectral risk measures
V Guigues, W Römisch
Operations Research Letters 40 (5), 313-318, 2012
232012
Risk-averse feasible policies for large-scale multistage stochastic linear programs
V Guigues, C Sagastizabal
Mathematical Programming 138 (1-2), 167-198, 2013
202013
Robust Management and Pricing of LNG Contracts with Canellation Options
V Guigues, C Sagastizábal, J Zubelli
IMPA, 2010
19*2010
Dual dynamic programing with cut selection: Convergence proof and numerical experiments
V Guigues
European Journal of Operational Research 258 (1), 47-57, 2017
182017
Regularized decomposition methods for deterministic and stochastic convex optimization and application to portfolio selection with direct transaction and market impact costs
V Guigues, M Lejeune, W Tekaya
arXiv preprint arXiv:1701.03941, 2017
122017
Statistical inference and hypotheses testing of risk averse stochastic programs
V Guigues, V Krätschmer, A Shapiro
arXiv preprint arXiv:1603.07384, 2016
92016
Sampling-based decomposition methods for risk-averse multistage stochastic programs
W Römisch, V Guigues
92010
Joint dynamic probabilistic constraints with projected linear decision rules
V Guigues, R Henrion
Optimization Methods and Software 32 (5), 1006-1032, 2017
72017
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
V Guigues
Mathematical Programming 163 (1-2), 169-212, 2017
72017
Robust mid-term power generation management
V Guigues, R Aid, PM Ndiaye, F Oustry, F Romanet
Optimization 58 (3), 351-371, 2009
72009
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
V Guigues
Computational Optimization and Applications 48 (3), 553-579, 2011
62011
Change detection via affine and quadratic detectors
Y Cao, A Nemirovski, Y Xie, V Guigues, A Juditsky
Electronic Journal of Statistics 12 (1), 1-57, 2018
52018
Multicut decomposition methods with cut selection for multistage stochastic programs
M Bandarra, V Guigues
arXiv preprint arXiv:1705.08977, 2017
52017
A value-at-risk approach for robust management of electricity power generation
R Aïd, V Guigues, PM Ndiaye, F Oustry, F Romanet
Rapport de recherche, IMAG-LMC (submitted), 2006
52006
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