Zobrazeno 1 - 10
of 31
pro vyhledávání: '"Boris Defourny"'
Autor:
Boris Defourny, Somayeh Moazeni
Publikováno v:
Quantitative Finance. 21:1935-1954
This paper proposes an approach to compute the implied transition matrices from observations of market data on financial derivatives, when the price of the underlying originates from a structural m...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3caab886ed66a2e3a4d48932019f30ae
https://doi.org/10.1080/14697688.2021.1921242
https://doi.org/10.1080/14697688.2021.1921242
Publikováno v:
Mathematical Methods of Operations Research. 93:521-554
In this article, we introduce the Maximum Diversity Assortment Selection Problem (MDASP), which is a generalization of the two-dimensional Knapsack Problem (2D-KP). Given a set of rectangles and a rectangular container, the goal of 2D-KP is to determ
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::14cb417d1fb837f2ca0b0a897ebb0c20
https://doi.org/10.1007/s00186-021-00740-2
https://doi.org/10.1007/s00186-021-00740-2
Publikováno v:
Management Science. 66:4226-4245
Developing marketing campaigns for a new product or a new target population is challenging because of the scarcity of relevant historical data. Building on dynamic Bayesian learning, a sequential optimization assists in creating new data points withi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ce8a7ba67b71ae70a7c3a56ce84e2bb9
https://doi.org/10.1287/mnsc.2019.3384
https://doi.org/10.1287/mnsc.2019.3384
Publikováno v:
IEEE Transactions on Sustainable Energy. 10:1993-2004
The levelized cost of electricity for wave energy converters (WECs) is high and one important way to reduce this cost is to employ strategies that minimize the cost of maintenance of WECs in a wave farm. In this paper, an optimal maintenance strategy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c3dbd9ee388dc6c32cde3dc1de22ecef
https://doi.org/10.1109/tste.2018.2877437
https://doi.org/10.1109/tste.2018.2877437
Autor:
Shu Tu, Boris Defourny
Publikováno v:
Optimization Letters. 13:1239-1257
This paper proposes a quasi closed-form solution for the reweighting of transition probabilities in finite state, finite action distributionally robust Markov decision processes with good-deal risk measure. The relation to the expected (risk-neutral)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ef097a15c6d3a085dc4e6b0d82fefb71
https://doi.org/10.1007/s11590-019-01413-0
https://doi.org/10.1007/s11590-019-01413-0
Autor:
Somayeh Moazeni, Boris Defourny
Publikováno v:
IISE Transactions. 50:668-682
This article studies the optimal control of energy storage when operations are permitted only at random times. At the arrival of a permission, the storage operator has the option, but not the oblig...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::33631bd7181436c13cc91f34229db2de
https://doi.org/10.1080/24725854.2017.1401756
https://doi.org/10.1080/24725854.2017.1401756
Autor:
Boris Defourny
Publikováno v:
Operations Research Letters. 46:51-55
This paper considers the problem of maximizing the probability of attaining a prescribed count of arrivals generated by a point process, by controlling its intensity. Our analysis shows the existence of optimal intensity switching times that are affi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::9fde1665f9dc91f241cae048817fba37
https://doi.org/10.1016/j.orl.2017.11.003
https://doi.org/10.1016/j.orl.2017.11.003
Autor:
Boris Defourny, Yuhai Hu
Publikováno v:
Annals of Operations Research. 317:623-650
This paper is concerned with grid-level battery storage operations, taking battery aging into consideration. Battery operations under price uncertainty are modeled as a Markov Decision Process with expected cumulated discounted rewards. The structure
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::217ad17d779e4af27e551a1ed31de13b
https://doi.org/10.1007/s10479-017-2505-4
https://doi.org/10.1007/s10479-017-2505-4
Publikováno v:
INFORMS Journal on Computing. 29:332-349
This paper presents an algorithmic strategy to nonstationary policy search for finite-horizon, discrete-time Markovian decision problems with large state spaces, constrained action sets, and a risk-sensitive optimality criterion. The methodology reli
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bca1ef97a65a4ad1e75ac6eb4ba4b8ae
https://doi.org/10.1287/ijoc.2016.0733
https://doi.org/10.1287/ijoc.2016.0733
Autor:
Shu Tu, Boris Defourny
Publikováno v:
Springer Proceedings in Mathematics & Statistics ISBN: 9783030121181
This work is concerned with the impact of gas network disruptions on dual-firing power generation. The question is addressed through the following optimization problem. Markets drive the price of gas, oil, and electricity. The log-prices evolve as co
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e4a4216edd8cf55ab0b7b00e13d2f434
https://doi.org/10.1007/978-3-030-12119-8_2
https://doi.org/10.1007/978-3-030-12119-8_2
