3 papers
math.OC2019
Integer programming on the junction tree polytope for influence diagrams
Axel Parmentier, Victor Cohen, Vincent Leclère +2
Influence Diagrams (ID) are a flexible tool to represent discrete stochastic optimization problems, including Markov Decision Process (MDP) and Partially Observable MDP as standard…
math.OC2017
On risk averse competitive equilibrium
Henri Gérard, Vincent Leclère, Andy Philpott
We discuss risked competitive partial equilibrium in a setting in which agents are endowed with coherent risk measures. In contrast to socialplanning models, we show by example tha…
math.OC2017
Stochastic decomposition applied to large-scale hydro valleys management
François Pacaud, Pierre Carpentier, Jean-Philippe Chancelier +1
We are interested in optimally controlling a discrete time dynamical system that can be influenced by exogenous uncertainties. This is generally called a Stochas-tic Optimal Contro…