Publications

Primal-dual algorithm for contextual stochastic combinatorial optimization

Authors: L. Bouvier, T. Prunet, V. Leclère, A. Parmentier

Primal-dual algorithm for contextual stochastic combinatorial optimization

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Duality of upper bounds in stochastic dynamic programming

Authors: B.F.P da Costa, V. Leclère

Duality of upper bounds in stochastic dynamic programming

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Distributionally robust unit commitment models: Theory and numerical results

Authors: M. Azéma, V. Leclère, W. van Ackooij

Published in Forthcoming in Electric Power Systems Research, 263, 113754., 2027

Distributionally robust unit commitment models: Theory and numerical results

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Stronger cuts for Benders’ decomposition for stochastic Unit Commitment Problems based on interval variables

Authors: M. Azéma, V. Leclère, W. van Ackooij

Published in Accepted/in press in Mathematical Programming Computation., 2026

Stronger cuts for Benders’ decomposition for stochastic Unit Commitment Problems based on interval variables

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Joint production and energy supply planning of an industrial microgrid

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

Published in Energy Systems, 16(4), 1461-1493., 2025

Joint production and energy supply planning of an industrial microgrid

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Ten challenges for mathematical modeling of the green-energy transition

Authors: E. Anderson, M. Ferris, A. Philpott, M. Anitescu, P. Cramton, S. Geng, R. Green, T. Homem-de-Mello, O. Huber, V. Leclère, R. Sioshansi

Published in Current Sustainable/Renewable Energy Reports, 12, 26., 2025

Ten challenges for mathematical modeling of the green-energy transition

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Fairness by design in shared-energy allocation problems

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

Published in Computational Management Science, 22(2), 11., 2025

Fairness by design in shared-energy allocation problems

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Strategic behavior of risk-averse agents under stochastic market clearing

Authors: A. Philpott, V. Leclère

Published in Operations Research Letters, 63, 107365., 2025

Strategic behavior of risk-averse agents under stochastic market clearing

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

Authors: L. Mérabet, B.F.P. Da Costa, V. Leclère

Published in Computational Management Science, 21(2), 43., 2024

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

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Exact quantization of multistage stochastic linear problems

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

Published in SIAM Journal on Optimization, 34(1), 533-562., 2024

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.

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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

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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.

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Robust Optimization Applied to Uncertain Limit Analysis

Authors: J. Bleyer, V. Leclère

Published in Book chapter in Direct Methods for Limit State of Materials and Structures: Advanced Computational Algorithms and Material Modelling, Springer, pp. 225-242. Also on arXiv as "Robust limit analysis theory for computing worst-case limit loads under uncertainties" (arXiv:2203.11354)., 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.

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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

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Integer Programming on the Junction Tree Polytope for Influence Diagrams

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

Published in INFORMS Journal on Optimization, 2020

Mathematical Programming methods for stochastic problems with structured information

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Exact converging bounds for Stochastic Dual Dynamic Programming via Fenchel duality

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

Published in SIAM journal on Optimization, 2020

Theory and convergence of dual SDDP

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Epiconvergence of relaxed stochastic optimization problems

Authors: V. Leclère

Published in Operations Research Letters, 2019

Epiconvergence of approximated problems appearing in DADP

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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

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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

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Building up time-consistency for risk measures and dynamic optimization

Authors: M. De Lara, V. Leclère

Published in European Journal of Operational Research, 2016

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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.

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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

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Decision Focused Scenario Generation for Contextual Two-Stage Stochastic Linear Programming

Authors: J. Hornewall, S. Delannoy-Pavy, T. Homem-de-Mello, V. Leclère

Decision Focused Scenario Generation for Contextual Two-Stage Stochastic Linear Programming

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

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

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

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Efficient smoothed concomitant lasso estimation for high dimensional regression

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

Safe screen rules for square-root lasso

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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.

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Optimization Methods for the Smart Grid

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

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

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

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