Guigues Vincent

Vincent Guigues

Information about the author Vincent Guigues will soon be added to the site.
Found 4 papers in total
SDDP for some interstage dependent risk‐averse problems and application to hydro‐thermal planning
SDDP for some interstage dependent risk‐averse problems and application to hydro‐thermal planning
2014
We consider interstage dependent stochastic linear programs where both the random...
Exploiting the structure of autoregressive processes in chance‐constrained multistage stochastic linear programs
Exploiting the structure of autoregressive processes in chance‐constrained multistage stochastic linear programs
2012
We consider an interstage dependent stochastic process whose components follow an...
The value of rolling‐horizon policies for risk‐averse hydro‐thermal planning
The value of rolling‐horizon policies for risk‐averse hydro‐thermal planning
2012
We consider the optimal management of a hydro‐thermal power system in the mid...
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection
2011
We recommend an implementation of the Markowitz problem to generate stable portfolios...
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