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Vincent Guigues
Vincent Guigues
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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
832012
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning
V Guigues
Computational Optimization and Applications 57, 167-203, 2014
702014
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
622016
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
602012
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
592017
Dual dynamic programing with cut selection: Convergence proof and numerical experiments
V Guigues
European Journal of Operational Research 258 (1), 47-57, 2017
392017
Robust production management
V Guigues
Optimization and Engineering 10 (4), 505-532, 2009
342009
SDDP for multistage stochastic linear programs based on spectral risk measures
V Guigues, W Römisch
Operations Research Letters 40 (5), 313-318, 2012
302012
Risk-averse feasible policies for large-scale multistage stochastic linear programs
V Guigues, C Sagastizábal
Mathematical Programming 138 (1), 167-198, 2013
272013
Inexact cuts in stochastic dual dynamic programming
V Guigues
SIAM Journal on Optimization 30 (1), 407-438, 2020
232020
Robust Management and Pricing of LNG Contracts with Canellation Options
V Guigues, C Sagastizábal, J Zubelli
IMPA, 2010
23*2010
Duality and sensitivity analysis of multistage linear stochastic programs
V Guigues, A Shapiro, Y Cheng
European Journal of Operational Research 308 (2), 752-767, 2023
16*2023
Joint dynamic probabilistic constraints with projected linear decision rules
V Guigues, R Henrion
Optimization Methods and Software 32 (5), 1006-1032, 2017
162017
Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments
V Guigues, M Bandarra
arXiv preprint arXiv:1902.06757, 2019
152019
Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
V Guigues
Mathematical Programming 187 (1), 533-577, 2021
142021
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
Available at SSRN 2899448, 2017
142017
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
V Guigues
Computational Optimization and Applications 48 (3), 553-579, 2011
142011
Regularized stochastic dual dynamic programming for convex nonlinear optimization problems
V Guigues, MA Lejeune, W Tekaya
Optimization and Engineering 21, 1133-1165, 2020
122020
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures
V Guigues
Mathematical Programming 163 (1), 169-212, 2017
112017
Statistical inference and hypotheses testing of risk averse stochastic programs
V Guigues, V Krätschmer, A Shapiro
arXiv preprint arXiv:1603.07384, 2016
112016
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Articles 1–20