Publications

Papers in peer-reviewed journals

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   
• Stability of Multistage Stochastic Programs
  Holger Heitsch, Werner Römisch and Cyrille Strugarek
  SIAM Journal on Optimization, vol. 17(2), pp. 511-525, 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   
• Stability of multistage stochastic programs
  Holger Heitsch, Werner Römisch and Cyrille Strugarek
  Stochastic Programming E-Print Series (SPEPS), vol. 2005-16, aug, 2005   
• Temporal difference learning with kernels for pricing american-style options
  Kengy Barty, Jean-Sébastien Roy and Cyrille Strugarek
  Optimization Online, may, 2005   

2004

• On the Fortet-Mourier metric for the stability of Stochastic Optimization Problems, an example
  Cyrille Strugarek
  Stochastic Programming E-Print Series (SPEPS), vol. 2004-25, 2004   

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

2006

• American Option pricing with Functional Stochastic Algorithms
  Kengy Barty, Pierre Girardeau, Jean-Sébastien Roy and Cyrille Strugarek
  Séminaire Bachelier, Institut Poincaré, mar, 2006   
• Decomposition for Dynamic Stochastic Programs
  Cyrille Strugarek and team SOWG
  International Conference on Optimization and Decision Making, April 18-21, 2006, Pointe-à-Pitre, Guadeloupe, apr, 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   
• Stochastic gradient learning for closed loop control problems
  Cyrille Strugarek
  Conference on Optimization under Uncertainties, Heidelberg, sep, 2005   

2004

• A theorem on dual effect free stochastic scalar state space systems
  Cyrille Strugarek and team SOWG
  Tenth International Conference on Stochastic Programming, Tucson, oct, 2004   
• Dual effect, stability and decomposition for stochastic problems: towards new discretizations?
  Cyrille Strugarek
  Séminaire à l'Université Humboldt, Berlin, jul, 2004   
• Utilisation de la distance de Fortet-Mourier en optimisation stochastique, un exemple
  Cyrille Strugarek
  Journées du groupe MODE, Le Havre, mar 2004   

Doctoral these

2006

• Approches variationnelles et autres contributions en optimisation stochastique
  Cyrille Strugarek
  Ecole des Ponts ParisTech, mai 2006    [ ]