Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection. - Vincent Guigues (Comput. Optim. Appl., 2011)

A stabilized model and an efficient solution method for the yearly optimal power management. - Vincent Guigues (Optim. Methods Softw., 2011)

The value of rolling-horizon policies for risk-averse hydro-thermal planning. - Vincent Guigues; Claudia A. Sagastizábal (Eur. J. Oper. Res., 2012)

SDDP for multistage stochastic linear programs based on spectral risk measures. - Vincent Guigues; Werner Römisch (Oper. Res. Lett., 2012)

Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs. - Vincent Guigues; Claudia A. Sagastizábal (Oper. Res. Lett., 2012)

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures. - Vincent Guigues; Werner Römisch (SIAM J. Optim., 2012)

Risk-averse feasible policies for large-scale multistage stochastic linear programs. - Vincent Guigues; Claudia A. Sagastizábal (Math. Program., 2013)

SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning. - Vincent Guigues (Comput. Optim. Appl., 2014)

Robust Management and Pricing of Liquefied Natural Gas Contracts with Cancelation Options. - Vincent Guigues; Claudia A. Sagastizábal; Jorge P. Zubelli (J. Optim. Theory Appl., 2014)

Convergence Analysis of Sampling-Based Decomposition Methods for Risk-Averse Multistage Stochastic Convex Programs. - Vincent Guigues (SIAM J. Optim., 2016)

Dual Dynamic Programing with cut selection: Convergence proof and numerical experiments. - Vincent Guigues (Eur. J. Oper. Res., 2017)

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures. - Vincent Guigues (Math. Program., 2017)

Joint dynamic probabilistic constraints with projected linear decision rules. - Vincent Guigues; René Henrion (Optim. Methods Softw., 2017)

Non-asymptotic confidence bounds for the optimal value of a stochastic program. - Vincent Guigues; Anatoli B. Juditsky; Arkadi Nemirovski (Optim. Methods Softw., 2017)

A Central Limit Theorem and Hypotheses Testing for Risk-averse Stochastic Programs. - Vincent Guigues; Volker Krätschmer; Alexander Shapiro 001 (SIAM J. Optim., 2018)

A library to compute the density of the distance between a point and a random variable uniformly distributed in some sets. - Vincent Guigues (CoRR, 2019)

Inexact Cuts in Stochastic Dual Dynamic Programming. - Vincent Guigues (SIAM J. Optim., 2020)

Single cut and multicut stochastic dual dynamic programming with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments. - Michelle Bandarra; Vincent Guigues (Comput. Manag. Sci., 2021)

Constant Depth Decision Rules for multistage optimization under uncertainty. - Vincent Guigues; Anatoli B. Juditsky; Arkadi Nemirovski (Eur. J. Oper. Res., 2021)

Stochastic Dynamic Cutting Plane for Multistage Stochastic Convex Programs. - Vincent Guigues; Renato D. C. Monteiro (J. Optim. Theory Appl., 2021)

Inexact stochastic mirror descent for two-stage nonlinear stochastic programs. - Vincent Guigues (Math. Program., 2021)

Multistage stochastic programs with a random number of stages: dynamic programming equations, solution methods, and application to portfolio selection. - Vincent Guigues (Optim. Methods Softw., 2021)

Inexact Cuts in Stochastic Dual Dynamic Programming Applied to Multistage Stochastic Nondifferentiable Problems. - Vincent Guigues; Renato D. C. Monteiro; Benar Fux Svaiter (SIAM J. Optim., 2021)

Algorithms and a Library for the Exact Computation of the Cumulative Distribution Function of the Euclidean Distance Between a Point and a Random Variable Uniformly Distributed in Disks, Balls, or Polygones and Application to Probabilistic Seismic Hazard Analysis. - Vincent Guigues (Int. J. Comput. Geom. Appl., 2022)

Duality and sensitivity analysis of multistage linear stochastic programs. - Vincent Guigues; Alexander Shapiro 001; Yi Cheng (Eur. J. Oper. Res., 2023)

Risk-averse stochastic optimal control: An efficiently computable statistical upper bound. - Vincent Guigues; Alexander Shapiro 001; Yi Cheng (Oper. Res. Lett., 2023)

Management and Visualization Tools for Emergency Medical Services. - Vincent Guigues; Anton Kleywegt; Victor Hugo Nascimento; Victor Salles Rodrigues; Thais Viana; Edson Medeiros (CoRR, 2024)

A single cut proximal bundle method for stochastic convex composite optimization. - Jiaming Liang; Vincent Guigues; Renato D. C. Monteiro (Math. Program., 2024)