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math.OC2025
Contributions on complexity bounds for Deterministic Partially Observed Markov Decision Process
Cyrille Vessaire, Jean-Philippe Chancelier, Michel de Lara +2
Markov Decision Processes (Mdps) form a versatile framework used to model a wide range of optimization problems. The Mdp model consists of sets of states, actions, time steps, rewa…
math.OC2025
A Two-Timescale Decision-Hazard-Decision Formulation for Storage Usage Values Calculation
Camila Martinez Parra, Michel de Lara, Jean-Philippe Chancelier +3
The penetration of renewable energies requires additional storages to deal with intermittency. Accordingly, there is growing interest in evaluating the opportunity cost (usage valu…
math.OC2024
Decomposition-Coordination Method for Finite Horizon Bandit Problems
Michel de Lara, Benjamin Heymann, Jean-Philippe Chancelier
Optimally solving a multi-armed bandit problem suffers the curse of dimensionality. Indeed, resorting to dynamic programming leads to an exponential growth of computing time, as th…