Publications

Papers in peer-reviewed journals

2010

• Decomposition of large-scale stochastic optimal control problems
  Kengy Barty, Pierre Carpentier and Pierre Girardeau
  RAIRO Operations Research, vol. 44, pp. 167-183, jul, 2010   

2008

• Application of kernel-based stochastic gradient algorithms to option pricing
  Kengy Barty, Pierre Girardeau, Cyrille Strugarek and Jean-Sébastien Roy
  Monte Carlo Methods and Applications, vol. 14, pp. 99-127, jul, 2008   

2006

• A Q-Learning Algorithm with Continuous State Space
  Kengy Barty, Pierre Girardeau, Jean-Sébastien Roy and Cyrille Strugarek
  Optimization Online, oct, 2006   
• Dual effect free stochastic controls
  Kengy Barty, Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara and Thérèse Guilbaud
  Annals of Operations Research, vol. 142, pp. 41-62, feb, 2006   

2005

• A Perturbed Gradient Algorithm in Hilbert Spaces
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Optimization Online, mar, 2005   
• A Stochastic Gradient Type Algorithm for Closed Loop Problems
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Stochastic Programming E-Print Series (SPEPS), vol. 2005-14, jul, 2005   
• Temporal difference learning with kernels for pricing american-style options
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Optimization Online, may, 2005   

International conference with proceedings

2007

• Q-Learning with Continuous State Spaces and Finite Decision Set
  Kengy Barty, Pierre Girardeau, Jean-Sébastien Roy and Cyrille Strugarek
  pp. 346-351, IEEE International Symposium on Approximate Dynamic Programming and Reinforcement Learning (ADPRL), apr, 2007   

Conferences without proceedings

2009

• On a decomposition algorithm for a stochastic power management problem
  Kengy Barty, Pierre Girardeau and Basma Kharrat
  20th International Symposium on Mathematical Programming (ISMP), Chicago, USA, aug, 2009    [ ]   

2008

• Combining Decomposition and Dynamic Programming
  Kengy Barty, Pierre Girardeau and Peio Lahirigoyen
  International Federation of Operational Research Societies Conference, 13-18 July 2008, Sandton, South Africa, jul, 2008    [ ]   

2006

• American Option pricing with Functional Stochastic Algorithms
  Kengy Barty, Pierre Girardeau, Jean-Sébastien Roy and Cyrille Strugarek
  Séminaire Bachelier, Institut Poincaré, mar, 2006   

2005

• Functional Stochastic Gradient Algorithm with Kernels
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Congrès annuel de la SMAI, Evian, may, 2005   
• Functional Stochastic Gradient for Optimal Control Problems
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Séminaire Sydoco, INRIA, jun, 2005   
• Gradient perturbé dans un espace de Hilbert. Théorie et applications
  Kengy Barty, Jean-Sébastien Roy et Cyrille Strugarek
  Séminaire EDF, Clamart, mai 2005   

2004

• Discretization of a partial observation problem
  Kengy Barty and team SOWG
  Tenth International Conference on Stochastic Programming, Tucson, oct, 2004   

2003

• Caractérisation de l'absence d'effet dual
  Kengy Barty et team SOWG
  Journées du groupe MODE, Pau, mar 2003   

2002

• Continuité vis à vis de l'information en optimisation stochastique
  Kengy Barty et team SOWG
  Jounées du groupe MODE, Montpelier, mar 2002   

Doctoral these

2004

• Contributions à la discretisation des contraintes de mesurabilité pour les problèmes d'optimisation stochastique
  Kengy Barty
  Ecole des Ponts ParisTech, jun 2004    [ ]   

Preprint

2010

• Price decomposition in large-scale stochastic optimal control
  Kengy Barty, Pierre Carpentier and Guy Cohen
  dec, 2010