Vincent Guigues

According to our database, Vincent Guigues authored at least 28 papers between 2011 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

A single cut proximal bundle method for stochastic convex composite optimization.

Jiaming Liang, Vincent Guigues, Renato D. C. Monteiro

Math. Program., November, 2024

Management and Visualization Tools for Emergency Medical Services.

Vincent Guigues, Anton Kleywegt, Victor Hugo Nascimento, Victor Salles Rodrigues, Thais Viana, Edson Medeiros

CoRR, 2024

2023

Risk-averse stochastic optimal control: An efficiently computable statistical upper bound.

Vincent Guigues, Alexander Shapiro, Yi Cheng

Oper. Res. Lett., July, 2023

Duality and sensitivity analysis of multistage linear stochastic programs.

Vincent Guigues, Alexander Shapiro, Yi Cheng

Eur. J. Oper. Res., July, 2023

2022

Algorithms and a Library for the Exact Computation of the Cumulative Distribution Function of the Euclidean Distance Between a Point and a Random Variable Uniformly Distributed in Disks, Balls, or Polygones and Application to Probabilistic Seismic Hazard Analysis.

Vincent Guigues

Int. J. Comput. Geom. Appl., 2022

2021

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems.

Vincent Guigues, Renato D. C. Monteiro, Benar Fux Svaiter

SIAM J. Optim., 2021

Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection.

Vincent Guigues

Optim. Methods Softw., 2021

Inexact stochastic mirror descent for two-stage nonlinear stochastic programs.

Vincent Guigues

Math. Program., 2021

Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs.

Vincent Guigues, Renato D. C. Monteiro

J. Optim. Theory Appl., 2021

Constant Depth Decision Rules for multistage optimization under uncertainty.

Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski

Eur. J. Oper. Res., 2021

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments.

Michelle Bandarra, Vincent Guigues

Comput. Manag. Sci., 2021

2020

Inexact Cuts in Stochastic Dual Dynamic Programming.

Vincent Guigues

SIAM J. Optim., 2020

2019

A library to compute the density of the distance between a point and a random variable uniformly distributed in some sets.

Vincent Guigues

CoRR, 2019

2018

A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs.

Vincent Guigues, Volker Krätschmer, Alexander Shapiro

SIAM J. Optim., 2018

2017

Non-asymptotic confidence bounds for the optimal value of a stochastic program.

Vincent Guigues, Anatoli B. Juditsky, Arkadi Nemirovski

Optim. Methods Softw., 2017

Joint dynamic probabilistic constraints with projected linear decision rules.

Vincent Guigues, René Henrion

Optim. Methods Softw., 2017

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures.

Vincent Guigues

Math. Program., 2017

Dual Dynamic Programing with cut selection: Convergence proof and numerical experiments.

Vincent Guigues

Eur. J. Oper. Res., 2017

2016

Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs.

Vincent Guigues

SIAM J. Optim., 2016

2014

Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options.

Vincent Guigues, Claudia A. Sagastizábal, Jorge P. Zubelli

J. Optim. Theory Appl., 2014

SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning.

Vincent Guigues

Comput. Optim. Appl., 2014

2013

Risk-averse feasible policies for large-scale multistage stochastic linear programs.

Vincent Guigues, Claudia A. Sagastizábal

Math. Program., 2013

2012

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures.

Vincent Guigues, Werner Römisch

SIAM J. Optim., 2012

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs.

Vincent Guigues, Claudia A. Sagastizábal

Oper. Res. Lett., 2012

SDDP for multistage stochastic linear programs based on spectral risk measures.

Vincent Guigues, Werner Römisch

Oper. Res. Lett., 2012

The value of rolling-horizon policies for risk-averse hydro-thermal planning.

Vincent Guigues, Claudia A. Sagastizábal

Eur. J. Oper. Res., 2012

2011

A stabilized model and an efficient solution method for the yearly optimal power management.

Vincent Guigues

Optim. Methods Softw., 2011

Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection.

Vincent Guigues

Comput. Optim. Appl., 2011