CV
An extended pdf version.
Education
- HDR in Mathematics, Université Gustave Eiffel, 2023
- Ph.D in Multistage Stochastic Optimization, Université Paris-Est, 2014
- M2, Applied Probability, Marne la Vallée, 2011
- M2 Optimization and Game Theory, Paris VI, 2010
- Engineer, Ecole Polytechnique, 2006-2010
- Engineering School preparatory classes, St Geneviève, 2004-2006
Work experience
2016 - now : Researcher at Ecole des Ponts
2015 : Post-Doc at Berkeley
2011 - 2014: Ph.D. at Ecole des Ponts
Autumn 2010: Engineering intern, EdF R&D
- Summer 2010: Research Assistant, Rutgers University
- Markovian risk measures
- Summer 2009: Research Assistant, McMaster University
- Financial Mathematics
Service and leadership
- Member of COSP (2023-2025)
- SMAI Vice President for relationship with industry (2023-…)
- SMAI-MODE elected member (2018-2024)
- Animation of Robust Decision Working Axis of CNRS’s research group on operation research (2023-…)
- Elected member of Ecole des Ponts’ Council on Research and Teaching (2019-2025)
Publications
Priority option : the value of being a leader
Grasselli, M. R., V. Leclere, and M. Ludkovski. "Priority option: the value of being a leader." International Journal of Theoretical and Applied Finance 16.01 (2013): 1350004.
Optimization Methods for the Smart Grid
De Lara, Michel, et al. "Optimization methods for the smart grid." Report commissioned by the Conseil Français de l’Energie, Ecole des Ponts ParisTech (2014).
On the convergence of decomposition methods for multistage stochastic convex programs
Girardeau, Pierre, Vincent Leclere, and Andrew B. Philpott. "On the convergence of decomposition methods for multistage stochastic convex programs." Mathematics of Operations Research 40.1 (2015): 130-145.
Building up time-consistency for risk measures and dynamic optimization
De Lara, Michel, and Vincent Leclère. "Building up time-consistency for risk measures and dynamic optimization." European Journal of Operational Research 249.1 (2016): 177-187.
Probabilistic Approach to One-Class Support Vector Machine
Leclère, Vincent, Edouard Grave, and Laurent El Ghaoui. "Probabilistic Approach to One-Class Support Vector Machine." (2016).
Efficient smoothed concomitant lasso estimation for high dimensional regression
Ndiaye, Eugene, et al. "Efficient smoothed concomitant lasso estimation for high dimensional regression." Journal of Physics: Conference Series. Vol. 904. No. 1. IOP Publishing, 2017.
On risk averse competitive equilibrium
Gérard, Henri, Vincent Leclère, and Andy Philpott. "On risk averse competitive equilibrium." Operations Research Letters 46.1 (2018): 19-26.
Stochastic Multi-item Lot-sizing Problem with Bounded Number of Setups
de Saint Germain, Etienne, Vincent Leclère, and Frédéric Meunier. "A Stochastic Multi-item Lot-sizing Problem with Bounded Number of Setups." (2018).
Stochastic decomposition applied to large-scale hydro valleys management
Carpentier, Pierre, et al. "Stochastic decomposition applied to large-scale hydro valleys management." European Journal of Operational Research 270.3 (2018): 1086-1098.
Epiconvergence of relaxed stochastic optimization problems
Leclere, Vincent. "Epiconvergence of relaxed stochastic optimization problems." Operations Research Letters 47.6 (2019): 553-559.
Exact converging bounds for Stochastic Dual Dynamic Programming via Fenchel duality
Leclere, Vincent, et al. "Exact converging bounds for stochastic dual dynamic programming via fenchel duality." SIAM Journal on Optimization 30.2 (2020): 1223-1250.
Integer Programming on the Junction Tree Polytope for Influence Diagrams
Parmentier, Axel, et al. "Integer programming on the junction tree polytope for influence diagrams." INFORMS Journal on Optimization 2.3 (2020): 209-228.
Generalized adaptive partition-based method for two-stage stochastic linear programs: Geometric oracle and analysis
Forcier, M., & Leclère, V. (2022). Generalized adaptive partition-based method for two-stage stochastic linear programs: Geometric oracle and analysis. Operations Research Letters, 50(5), 452-457.
Talks
SAFE elimination of variables
Talk at ENPC, Noisy Champs, Paris
Decomposition Methods in Stochastic Optimization
Talk at University of Auckland, Auckland, New Zealand
Decompositions Methods in Stochastic Optimization (extended version)
Tutorial at IRT System'X, Saclay, France
Stochastic Programming or Dynamic Programming ?
Tutorial at MASCOT-NUM meeting, Paris, France
Computing risk averse equilibrium in incomplete market.
Talk at ECSO, Roma, Italy
Exact and converging bounds for SDDP.
Talk at MODE, Autrans, France
A new look at SDDP.
Talk at SESO, ENPC, France
A dual SDDP algorithm.
Talk at CMS, Trondheim, Norway
Exact quantization methods for MSLP.
Talk at Erice, Erice, Italy
Convergence theory of Trajectory Following Dynamic Programming algorithms.
Talk at Smai-MODE, Limoges, France