In this paper we present a new rolling horizon approach for solving stochastic mixed complementarity problems (MCPs). Such a scheme allows for decision-depen...

Traditionnellement, la planification des réserves opérationnelles dans les réseaux électriques se fait en fonction de la capacité de production disponible et...

We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

Since the financial crisis of 2007-2009, there has been a renewed interest toward quantifying more appropriately the risks involved in financial positions. P...

Portfolio credit risk models are very often constructed with correlation matrices serving as proxies for interrelations in the creditworthiness of each compa...

Le partage de gâteau est une métaphore très utilisée pour décrire les problèmes où un agent principal doit allouer des ressources de manière juste. De tels p...

Modern power systems are undergoing a transitional phase, increasingly incorporating variable generation (VG) to harness the economic and environmental benef...

Facility location decisions play a critical role in transportation planning. In fact, it has recently become essential to study how such commitment integrate...

This paper provides an investigation into an anomaly called a short squeeze, in the CBOT T-Bonds Futures Market, for the period spanning January 1985 to Se...

The optimization of open-pit mine production scheduling (OPMPS) is an intricate process due to its size and uncertainty of key input parameters. Over the las...

The buffer sizing problem in unreliable production lines is a complex combinatorial optimization problem. In the formulation of the problem, the system consi...

While there has been a surge of articles on convergence diagnostic tools for MCMC on continuous stationary distributions and ordinal state spaces, Bayesian c...

Shift scheduling when the demand for employees is stochastic is usually done in two steps. Since employees need to know their shifts before the demand is kno...

On considère un jeu dynamique de contrôle de pollution en présence d'incertitude écologique. On caractérise et on compare les stratégies d'équilibres en rétr...

Les algorithmes de simulation et régression sont désormais un outil de base dans plusieurs domaines d'application de la programmation dynamique, notamment en...

Il existe présentement peu de méthodes systématiques capables de prédire et de gérer le potentiel de réglage offert par de grandes populations d'appareils él...

Nous présentons une approche efficace pour l'évaluation du risque de contrepartie et le calcul de l'ajustement CVA pour le risque de crédit dans le cas de dé...

In this paper, we suggest a new approach called the <i>return function</i> to deal with the determination of Bayesian-Nash equilibria in games of incomplet...

The <b>VRPTW-ST</b> introduced by Errico et al. (2013) in the form of a chance-constrained model mainly differs from other vehicle routing problems with st...

We propose an efficient heuristic method based on Space Partitioning (SP) and Tabu Search (TS) to solve the buffer sizing problem in unreliable production li...