Publications

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

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Fairness by design in shared-energy allocation problems

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

Fairness by design in shared-energy allocation problems

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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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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

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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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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.

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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

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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 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.

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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, J. Salmon, G. Obozinski

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, 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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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

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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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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.

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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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