Publications

Strategic behavior of risk-averse agents under stochastic market clearing

Authors: A. Philpott, V. Leclère

Strategic behavior of risk-averse agents under stochastic market clearing

Download here

Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems

Authors: B. Da Costa, V. Leclère

Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems

Download here

Fairness by design in shared-energy allocation problems

Authors: Z. Fornier, V. Leclère, P. Pinson

Fairness by design in shared-energy allocation problems

Download here

Duality of upper bounds in stochastic dynamic programming

Authors: B.F.P da Costa, V. Leclère

Duality of upper bounds in stochastic dynamic programming

Download here

Joint production and energy supply planning of an industrial microgrid

Authors: Z. Fornier, D. Grosso, P. Pinson

Published in Energy Systems, 2024

Joint production and energy supply planning of an industrial microgrid

Download here

Convergence of Trajectory Following Dynamic Programming algorithms for multistage stochastic problems without finite support assumptions

Authors: M. Forcier, V. Leclère

Published in Journal of Convex Analysis, 2023

Convergence of Trajectory Following Dynamic Programming algorithms for multistage stochastic problems without finite support assumptions

Download here

Exact quantization of multistage stochastic linear problems

Authors: M. Forcier, S. Gaubert, V. Leclère

Published in SIAM journal on Optimization, 2023

We show that MLSP with arbitrary cost are equivalent to MLSP with discrete cost and give a geometrical insight to the discretization procedure. Best student paper at ECSO-CMS 2022.

Download here

Joint Production and Energy Supply Planning of an Industrial Microgrid

Authors: Z. Fornier, D. Grosso, V. Leclère

Published in , 2023

Joint Production and Energy Supply Planning of an Industrial Microgrid

Download here

Dual SDDP for risk-averse multistage stochastic programs

Authors: B. Da Costa, V. Leclère

Published in Operation Research Letters, 2023

We apply a dual SDDP approach to risk averse problem.

Download here

Robust Optimization Applied to Uncertain Limit Analysis

Authors: J. Bleyer, V. Leclère

Published in Direct Methods for Limit State of Materials and Structures,, 2023

This work proposes a novel theoretical framework of robust limit analysis i.e. the computation of limit loads of structures in presence of uncertainties using limit analysis and robust optimization theories.

Download here

Generalized adaptive partition-based method for two-stage stochastic linear programs: Geometric oracle and analysis

Authors: M. Forcier, V. Leclère

Published in Operation Research Letters, 2022

Generalized adaptive partition-based method for two-stage stochastic linear programs: Geometric oracle and analysis

Download here

Integer Programming on the Junction Tree Polytope for Influence Diagrams

Authors: A. Parmentier, V. Cohen, V. Leclère, J. Salmon, G. Obozinski

Published in INFORMS Journal on Optimization, 2020

Mathematical Programming methods for stochastic problems with structured information

Download here

Exact converging bounds for Stochastic Dual Dynamic Programming via Fenchel duality

Authors: V. Leclère, P. Carpentier, J-Ph. Chancelier, F. Pacaud

Published in SIAM journal on Optimization, 2020

Theory and convergence of dual SDDP

Download here

Epiconvergence of relaxed stochastic optimization problems

Authors: V. Leclère

Published in Operations Research Letters, 2019

Epiconvergence of approximated problems appearing in DADP

Download here

Stochastic decomposition applied to large-scale hydro valleys management

Authors: P. Carpentier, J-Ph. Chancelier, F. Pacaud, V.Leclère

Published in European Journal of Operational Research, 2018

Application of DADP and other decomposition methods to large-scale hydro problem

Download here

On risk averse competitive equilibrium

Authors: H. Gérard, V.Leclère, A. Philpott

Published in Operations Research Letters, 2018

Showcasing multiple equilibria due to risk-aversion

Download here

Efficient smoothed concomitant lasso estimation for high dimensional regression

Authors: E. Ndiaye, O. Fercoq, A. Gramfort, V. Leclère, J. Salmon

Published in Journal of Physics: Conference Series, 2017

Safe screen rules for square-root lasso

Download here

Building up time-consistency for risk measures and dynamic optimization

Authors: M. De Lara, V. Leclère

Published in European Journal of Operational Research, 2016

Download here

On the convergence of decomposition methods for multistage stochastic convex programs

Authors: P. Girardeau, V.Leclère, A. Philpott

Published in Mathematics of Operations Research, 2015

Asymptotic convergence of SDDP algorithms in the non-linear convex case.

Download here

Priority option : the value of being a leader

Authors: M. Grasselli, V.Leclère, M. Ludkovski

Published in International Journal of Theoretical and Applied Finance, 2013

Download here

Stochastic Multi-item Lot-sizing Problem with Bounded Number of Setups

Authors: E. De Saint Germain, F. Meunier, V. Leclère

A model balancing costs, stocks and flexibility in the supply chain.

Download here

Probabilistic Approach to One-Class Support Vector Machine

Authors: V. Leclère, E. Grave, L. El Ghaoui

A new derivation of the one-class SVMs paradigms.

Download here

Optimization Methods for the Smart Grid

Authors: P. Carpentier, J-Ph. Chancelier, M. De Lara, V.Leclère

Download here

Decomposition-Coordination method for the management of a chain of dams

Authors: J-C. Alais, P. Carpentier, V.Leclère

Download here