CV
An extended pdf version.
Research interests
- Theory: Multistage Stochastic Programming, Data-driven optimization, Decision focused learning, Decomposition methods, Dynamic programming, Convex optimization
- Applications: Energy, SmartGrid, Microgrid, Supply chain, Transportation, Machine learning
Education
- Habilitation in Mathematics (HDR), Université Gustave Eiffel, 2023
- Exact methods and applications of optimization under uncertainty
- Ph.D in Stochastic Optimization, Ecole des Ponts, 2011-2014
- Contributions to Decomposition Methods in Stochastic Optimization, with the Optimisation & Systèmes team of CERMICS, advised by M. De Lara and P. Carpentier
- Cursus Ingénieur du Corps des Ponts, des Eaux et des Forêts, ENPC, 2010-2011
- M2 Optimization and Game Theory, UPMC, 2009-2011
- M2 Financial Mathematics, Université Marne-la-Vallée, 2009-2011
- Ingénieur Polytechnicien, Ecole Polytechnique, 2006-2010
- Preparatory school, Lycée Sainte Geneviève, Versailles, 2004-2006
Work experience
2016 - now: Researcher (Hab.), IPEF, at Ecole des Ponts
- 2014 - 2015: Post-Doctorate in Operations Research, Berkeley
- Robust Sketching, with Laurent El Ghaoui
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
Advising
See the students page for the PhD students and postdoctorates I advise or have advised.
Grants and industrial contracts
Current contracts
- 2022 - 2025: Optimization of an isolated hybrid system (PI), TotalEnergies
- 2021 - 2024: Optimization of a system coupling industrial production, renewable energy and energy storage (PI), Metron Energy
Past contracts
- 2021 - 2023: Mathematical model and solution methods for resilient and green supply chain design (PI), Chair Supply Chain of Tomorrow
- 2021 - 2023: Reverse logistic inventory routing (co-PI), Renault
- 2019 - 2023: Two-scale optimization problems (PI), PGMO - EDF
- 2018 - 2019: Exact bounds for stochastic optimization (co-PI), DIM-MathInnov
- 2015 - 2018: Balancing cost and flexibility in supply chain (co-PI), Argon Consulting
- 2016 - 2017: Equilibrium and games in energy (PI), PGMO - EDF
- 2015 - 2016: Epi-splines for solar energy prevision (PI), PGMO - EDF
- 2014 - 2015: Robust Sketching for Structured Multi-Instance Optimization with Uncertainty, PGMO - EDF
- 2013 - 2016: SunHydro Project, optimal management of an hydroelectric storage coupled with a renewable energy production unit
- 2012 - 2013: Décomposition/Coordination en commande optimale stochastique (StochDec), PGMO - EDF
- 2012 - 2014: Optimization Methods for Smart Grid, report for the Conseil Français de l’Energie
Conference and workshop organization
- 2025: Organizer of the ICSP XVII conference, the main event in the field of stochastic programming (env. 300 participants)
- 2023: Organizer of the Smart Energy and Stochastic Optimization (SESO) workshop at Ecole des Ponts
- 2023: Co-organizer of the Julia Days workshop at CNAM, Paris
- 2023: Organizer of mini-symposiums on SDDP at ICSP
- 2021 - now: Co-organizer of the decision, algorithm and geometry seminar between CERMICS and CMAP
- 2021: Organizer of a workshop on robust and stochastic optimization methods at Ecole des Ponts
- 2020: Contribution to the organization of the SMAI-MODE conference
- 2019: Co-organizer of a winter school at CIRM (Luminy)
- 2019: Co-organizer of a workshop on Multi-Stage Stochastic Optimization for Clean Energy Transition at Banff International Research Station (Oaxaca, Mexico)
- 2018: Organizer of a stream of invited sessions on SDDP at ISMP
- 2016: Organizer of a mini-symposium on SDDP at ICSP
- 2014 - 2018: Contribution to the organization of the SESO workshop at Ecole des Ponts
Service and leadership
- Member of COSP, the Committee on Stochastic Programming of the Mathematical Programming Society (2023-…)
- SMAI Vice President for industrial relations (2023-2026)
- Co-directing the transversal axis Decision and Robust Optimization of the CNRS research group on operations research (2023-…)
- SMAI-MODE elected member of the steering committee (2018-2024)
- Elected member of Ecole des Ponts’ Council on Research and Teaching (2019-2025)
Evaluation of peers
- Reviewer for numerous scientific journals, notably MP, MPC, SiOPT, OR, ORL, EJOR (2012-…)
- ROADEF best student paper award committee member (2022)
- Nicholson Prize committee member for best student paper (2020-2021)
Publications
Paper Title Number 4
Your Name, You. (2024). "Paper Title Number 3." GitHub Journal of Bugs. 1(3).
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.
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. https://doi.org/10.1287/ijoo.2019.0036
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.
Epiconvergence of relaxed stochastic optimization problems
Leclere, Vincent. "Epiconvergence of relaxed stochastic optimization problems." Operations Research Letters 47.6 (2019): 553-559.
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.
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).
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.
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.
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).
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.
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.
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).
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.
Teaching
The teaching page gathers the course material. The pdf CV lists the full teaching history, including past and industrial courses.