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2020 – today
- 2024
[j26]Jiaming Liang, Vincent Guigues, Renato D. C. Monteiro:
A single cut proximal bundle method for stochastic convex composite optimization. Math. Program. 208(1): 173-208 (2024)- [i2]Vincent Guigues, Anton Kleywegt, Victor Hugo Nascimento, Victor Salles Rodrigues, Thais Viana, Edson Medeiros:
Management and Visualization Tools for Emergency Medical Services. CoRR abs/2409.09154 (2024) - 2023
- [j25]Vincent Guigues
, Alexander Shapiro, Yi Cheng:
Duality and sensitivity analysis of multistage linear stochastic programs. Eur. J. Oper. Res. 308(2): 752-767 (2023) - [j24]Vincent Guigues, Alexander Shapiro, Yi Cheng:
Risk-averse stochastic optimal control: An efficiently computable statistical upper bound. Oper. Res. Lett. 51(4): 393-400 (2023) - 2022
- [j23]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): 119-174 (2022) - 2021
- [j22]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): 125-148 (2021) - [j21]Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski:
Constant Depth Decision Rules for multistage optimization under uncertainty. Eur. J. Oper. Res. 295(1): 223-232 (2021) - [j20]Vincent Guigues, Renato D. C. Monteiro:
Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs. J. Optim. Theory Appl. 189(2): 513-559 (2021) - [j19]Vincent Guigues:
Inexact stochastic mirror descent for two-stage nonlinear stochastic programs. Math. Program. 187(1): 533-577 (2021) - [j18]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): 211-236 (2021) - [j17]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): 2084-2110 (2021) - 2020
- [j16]Vincent Guigues:
Inexact Cuts in Stochastic Dual Dynamic Programming. SIAM J. Optim. 30(1): 407-438 (2020)
2010 – 2019
- 2019
- [i1]Vincent Guigues:
A library to compute the density of the distance between a point and a random variable uniformly distributed in some sets. CoRR abs/1906.00958 (2019) - 2018
- [j15]Vincent Guigues, Volker Krätschmer, Alexander Shapiro:
A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs. SIAM J. Optim. 28(2): 1337-1366 (2018) - 2017
- [j14]Vincent Guigues:
Dual Dynamic Programing with cut selection: Convergence proof and numerical experiments. Eur. J. Oper. Res. 258(1): 47-57 (2017) - [j13]Vincent Guigues:
Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures. Math. Program. 163(1-2): 169-212 (2017) - [j12]Vincent Guigues, René Henrion:
Joint dynamic probabilistic constraints with projected linear decision rules. Optim. Methods Softw. 32(5): 1006-1032 (2017) - [j11]Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski:
Non-asymptotic confidence bounds for the optimal value of a stochastic program. Optim. Methods Softw. 32(5): 1033-1058 (2017) - 2016
- [j10]Vincent Guigues:
Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs. SIAM J. Optim. 26(4): 2468-2494 (2016) - 2014
- [j9]Vincent Guigues:
SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning. Comput. Optim. Appl. 57(1): 167-203 (2014) - [j8]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): 179-198 (2014) - 2013
- [j7]Vincent Guigues, Claudia A. Sagastizábal:
Risk-averse feasible policies for large-scale multistage stochastic linear programs. Math. Program. 138(1-2): 167-198 (2013) - 2012
- [j6]Vincent Guigues, Claudia A. Sagastizábal:
The value of rolling-horizon policies for risk-averse hydro-thermal planning. Eur. J. Oper. Res. 217(1): 129-140 (2012) - [j5]Vincent Guigues, Werner Römisch:
SDDP for multistage stochastic linear programs based on spectral risk measures. Oper. Res. Lett. 40(5): 313-318 (2012) - [j4]Vincent Guigues, Claudia A. Sagastizábal:
Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs. Oper. Res. Lett. 40(6): 478-483 (2012) - [j3]Vincent Guigues, Werner Römisch:
Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures. SIAM J. Optim. 22(2): 286-312 (2012) - 2011
- [j2]Vincent Guigues:
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection. Comput. Optim. Appl. 48(3): 553-579 (2011) - [j1]Vincent Guigues:
A stabilized model and an efficient solution method for the yearly optimal power management. Optim. Methods Softw. 26(1): 67-88 (2011)
Coauthor Index
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