Robust optimization (RO) is a powerful mean to handle optimization problems where there is a set of parameters that are uncertain. The effectiveness of the m...

In this paper we show how to robustify the computation of equilibria in two integrated assessment models for climate change. Both models deal with the optima...

Robust optimization is a methodology that has gained a lot of attention in the recent years. This is mainly due to the simplicity of the modeling process and...

In this paper, we present a stochastic two-level optimization model whose upper-level problem depicts a wastewater treatment plant deciding on the size of co...

Dans cet article, on caractérise les équilibres en stratégies incitatives ainsi que leur crédibilité dans deux classes de jeux dynamiques et stochastiques jo...

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...