3 papers
math.OC2026
Two-stage stochastic algorithm for solving large-scale (non)-convex separable optimization problems under affine constraints
Benjamin Dubois-Taine, Laurent Pfeiffer, Nadia Oudjane +2
We consider nonsmooth optimization problems under affine constraints, where the objective consists of the average of the component functions of a large number of agents, and we…
math.OC2025
A Characterization of Law-Invariant and Coherent Risk Measures through Optimal Transport
Riccardo Bonalli, Benoît Bonnet-Weill, Laurent Pfeiffer
In this article, we propose a novel characterization of law-invariant and coherent risk measures, based on a generalized optimal transport problem in which the second marginal of t…
math.PR2025
A partition method for bounding continuous-time Markov chain models of general reaction network
Guillaume Ballif, Laurent Pfeiffer, Jakob Ruess
In this work, we present a general method to establish properties of multi-dimensional continuous-time Markov chains representing stochastic reaction networks. This method consists…