Erick Delage

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Battery charging of electric vehicles (EVs) needs to be properly coordinated by electricity producers to maintain the network reliability. In this paper, we ...

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Optimal stopping is the problem of deciding the right time at which to take a particular action in a stochastic system, in order to maximize an expected rewa...

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Generation expansion planning (GEP) is a classical problem that determines an optimal investment plan for existing and future electricity generation technolo...

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Conditional estimation given specific covariate values (i.e., local conditional estimation or functional estimation) is ubiquitously useful with applications...

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We study a distributionally robust version of the classical capacitated facility location problem with a distributional ambiguity set defined as a Wasserst...

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Conditional Value at Risk (CVaR) is widely used to account for the preferences of a risk-averse agent in the extreme loss scenarios. To study the effectiven...

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In this paper, we consider the problem of equal risk pricing and hedging in which the fair price of an option is the price that exposes both sides of the con...

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This paper explores the idea that two-stage worst-case regret minimization problems with either objective or right-hand side uncertainty can be reformulated ...

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We consider a class of min-max robust problems in which the functions that need to be robustified can be decomposed as the sum of arbitrary functions. This...

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Drawing on statistical learning theory, we derive out-of-sample and optimality guarantees about the investment strategy obtained from a regularized portfoli...

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This paper considers a dynamic Emergency Medical Services (EMS) network design problem and introduces two novel two-stage stochastic programming formulatio...

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Randomized decision making refers to the process of taking decisions randomly according to the outcome of an independent randomization device such as a dic...

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Recent progress in energy storage have contributed to create large-scale storage facilities and to decrease their costs. This may bring economic opportunitie...

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Utility-based shortfall risk measure (SR) effectively captures decision maker’s risk attitude on tail losses by an increasing convex loss function. In this ...

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This paper proposes a multi-stage stochastic programming formulation based on affine decision rules for the reservoir management problem. Our approach seeks ...

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In this paper, we study how uncertainties weighing on the climate system impact the optimal technological pathways the world energy system should take to com...

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In this article, we discuss an alternative method for deriving conservative approximation models for two-stage robust optimization problems. The method main...

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Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adv...

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This paper proposes a multi-stage stochastic programming formulation for the reservoir management problem. Our problem specifically consists in minimizing th...

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This paper presents a new formulation for the risk averse stochastic reservoir management problem. Using recent advances in robust optimization and stochasti...

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