Publications

Articles (revues avec comité de lecture)

2015

• On the Convergence of Decomposition Methods for Multistage Stochastic Convex Programs
  Pierre Girardeau, Vincent Leclère and A. B. Philpott
  Mathematics of Operations Research, vol. 40 (1), INFORMS, feb, 2015   

2012

• Dynamic consistency for Stochastic Optimal Control problems
  Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara and Pierre Girardeau
  Annals of Operations Research, vol. 200, pp. 247-263, 2012   

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   

Conférences internationales avec actes

2007

• Estimation of sulphur emissions using ensemble smoothers
  Alina L. Barbu, Remus G. Hanea, Arnold W. Heemink, Martin Schaap and Pierre Girardeau
  vol. 6, pp. 301-317, Air Pollution Modeling and its Application XVIII, C. Borrego & E. Renner (eds.), aug, 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   

Conférences sans actes

2010

• Consistance dynamique en optimisation stochastique en temps discret
  Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara et Pierre Girardeau
  MODE 2010 : Conférence de la SMAI sur l'optimisation et la décision, mar 2010   
• Consistance dynamique pour les problèmes de commande optimale stochastique
  Pierre Girardeau
  Groupe de travail du laboratoire FiME, Institut henri Poincaré, Paris, oct 2010    [ ]   
• Dual Approximate Dynamic Programming for Stochastic Optimal Control problems
  Pierre Girardeau
  12th International Conference on Stochastic Programming (ICSP), Halifax, Canada, aug, 2010    [ ]   
• Dynamical Consistency for Stochastic Optimal Control Problems
  Pierre Carpentier, Jean-Philippe Chancelier, Guy Cohen, Michel De Lara and Pierre Girardeau
  12th International Conference on Stochastic Programming, aug, 2010   

2009

• A Comparison of Sample-based Stochastic Optimal Control Methods for Power System Management
  Pierre Carpentier, Guy Cohen and Pierre Girardeau
  20th International Symposium on Mathematical Programming (ISMP), Chicago, USA, aug, 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    [ ]   
• Decomposition techniques for stochastic optimal control problems
  Pierre Carpentier and Pierre Girardeau
  Conference on Optimization and Practices in Industry, 26-28 Nov. 2008, EDF R&D, Clamart, France, nov, 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   

Thèse

2010

• Résolution de grands problèmes en optimisation stochastique dynamique et synthèse de lois de commande
  Pierre Girardeau
  déc 2010    [ ]   

Rapport de recherche

2010

• A comparison of sample-based Stochastic Optimal Control methods
  Pierre Girardeau
  2010