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...

We consider a class of dynamic games played over an event tree, with random terminal. We assume that the players wish to jointly optimize their payoffs thr...

Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

Blackbox optimization problems are often contaminated with numerical noise, and direct search methods such as the Mesh Adaptive Direct Search (MADS) algorit...

The authors investigate the complexity needed in the structure of the scenario trees to maximize energy production in a rolling-horizon framework. Three comp...

We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

We consider within the framework of Mean Field Games theory a dynamic discrete choice model with an advertiser, where a large number of minor agents (e.g., c...

We consider a dynamic collective choice problem where a large number of players are cooperatively choosing between multiple destinations while being influenc...

One of the most complex early-exercise decisions faced by traders in the financial derivatives markets is with T-Bond futures, due to the combination of mu...

This paper presents an optimization method to solve the short-term unit commitment and loading problem with uncertain inflows. A scenario tree is built base...

The recent disappearance of a five-year-maturity gap from the set of Treasury bonds deliverable into the Chicago Board of Trade Treasury bond futures has res...

Given a flight schedule and a set of aircraft of different types, the airline fleet assignment problem (FAP) consists of assigning an aircraft type to each f...

In smart-metered systems, fine-grained power demand data (load profile) is communicated from a user to the utility provider. The correlation of the load pr...

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

In this tutorial, we recall the main ingredients of the theory of dyamic games played over event trees and show step-by-step how to build a sustainable coo...

In early 2001, the U.S. Department of the Treasury suspended the issuance of 30-year bonds, and then resumed issuing its long paper in early 2006. As a res...

With the emphasis on renewable energy integration, stochastic methods have begun to emerge as one of the most viable alternatives to traditional deterministi...

A class of hybrid systems with both autonomous and controlled switchings and jumps is considered where switching manifolds corresponding to autonomous switch...

Starting from the improved primal simplex (IPS) decomposition, introduced by Elhallaoui et al. (2011) to tackle degeneracy in general linear programs, we int...

Non-price attributes such as prior relationship, product quality, and reliability can be more important than bidding prices for the buyers when selecting the...