output
20042026
most citedA regression-based Monte Carlo method to solve backward stochastic differential equations

425 citations

researchers with a paper here

Counting papers with at most 25 authors, so collaboration author lists do not stand in for the people here.

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Showing 2021 · math.OCShow all

4 papers · 2 filters

math.OC2021

Multi-stage Stochastic Alternating Current Optimal Power Flow with Storage: Bounding the Relaxation Gap

Maxime Grangereau, Wim van Ackooij, Stéphane Gaubert

We propose a generic multistage stochastic model for the Alternating Current Optimal Power Flow (AC OPF) problem for radial distribution networks, to account for the random electri…

math.OC2021★ 1 cited

Chance constrained problems: a bilevel convex optimization perspective

Yassine Laguel, Jérôme Malick, Wim Ackooij

Chance constraints are a valuable tool for the design of safe decisions in uncertain environments; they are used to model satisfaction of a constraint with a target probability. Ho…

math.OC2021★ 1 cited

On the Convexity of Level-sets of Probability Functions

Yassine Laguel, Wim van Ackooij, Jérôme Malick +1

In decision-making problems under uncertainty, probabilistic constraints are a valuable tool to express safety of decisions. They result from taking the probability measure of a gi…

math.OC2021★ 16 cited

Neural networks-based algorithms for stochastic control and PDEs in finance

Maximilien Germain, Huyên Pham, Xavier Warin

This paper presents machine learning techniques and deep reinforcement learningbased algorithms for the efficient resolution of nonlinear partial differential equations and dynamic…