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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
782012
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
602014
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
542016
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
532017
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
512012
Dual dynamic programing with cut selection: Convergence proof and numerical experiments
V Guigues
European Journal of Operational Research 258 (1), 47-57, 2017
352017
Robust production management
V Guigues
Optimization and Engineering 10 (4), 505-532, 2009
332009
SDDP for multistage stochastic linear programs based on spectral risk measures
V Guigues, W Römisch
Operations Research Letters 40 (5), 313-318, 2012
282012
Risk-averse feasible policies for large-scale multistage stochastic linear programs
V Guigues, C Sagastizabal
Mathematical Programming 138 (1), 167-198, 2013
252013
Robust Management and Pricing of LNG Contracts with Canellation Options
V Guigues, C Sagastizábal, J Zubelli
IMPA, 2010
23*2010
Inexact cuts in stochastic dual dynamic programming
V Guigues
SIAM Journal on Optimization 30 (1), 407-438, 2020
172020
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
132019
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
132017
Statistical inference and hypotheses testing of risk averse stochastic programs
V Guigues, V Krätschmer, A Shapiro
arXiv preprint arXiv:1603.07384, 2016
122016
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
V Guigues
Computational Optimization and Applications 48 (3), 553-579, 2011
112011
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
102017
Inexact stochastic mirror descent for two-stage nonlinear stochastic programs
V Guigues
Mathematical Programming 187 (1), 533-577, 2021
92021
Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection
V Guigues
arXiv preprint arXiv:1803.06034, 2018
92018
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
92018
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