| Sampling-based decomposition methods for multistage stochastic programs based on extended polyhedral risk measures V Guigues, W Römisch SIAM Journal on Optimization 22 (2), 286-312, 2012 | 83 | 2012 |
| SDDP for some interstage dependent risk-averse problems and application to hydro-thermal planning V Guigues Computational Optimization and Applications 57, 167-203, 2014 | 69 | 2014 |
| Convergence analysis of sampling-based decomposition methods for risk-averse multistage stochastic convex programs V Guigues SIAM Journal on Optimization 26 (4), 2468-2494, 2016 | 62 | 2016 |
| The value of rolling-horizon policies for risk-averse hydro-thermal planning V Guigues, C Sagastizábal European Journal of Operational Research 217 (1), 129-140, 2012 | 61 | 2012 |
| Non-asymptotic confidence bounds for the optimal value of a stochastic program V Guigues, A Juditsky, A Nemirovski Optimization Methods and Software 32 (5), 1033-1058, 2017 | 60 | 2017 |
| Dual dynamic programing with cut selection: Convergence proof and numerical experiments V Guigues European Journal of Operational Research 258 (1), 47-57, 2017 | 39 | 2017 |
| Robust production management V Guigues Optimization and Engineering 10 (4), 505-532, 2009 | 33 | 2009 |
| SDDP for multistage stochastic linear programs based on spectral risk measures V Guigues, W Römisch Operations Research Letters 40 (5), 313-318, 2012 | 31 | 2012 |
| Risk-averse feasible policies for large-scale multistage stochastic linear programs V Guigues, C Sagastizábal Mathematical Programming 138 (1), 167-198, 2013 | 28 | 2013 |
| Inexact cuts in stochastic dual dynamic programming V Guigues SIAM Journal on Optimization 30 (1), 407-438, 2020 | 25 | 2020 |
| Robust Management and Pricing of LNG Contracts with Canellation Options V Guigues, C Sagastizábal, J Zubelli IMPA, 2010 | 23* | 2010 |
| Duality and sensitivity analysis of multistage linear stochastic programs V Guigues, A Shapiro, Y Cheng European Journal of Operational Research 308 (2), 752-767, 2023 | 17* | 2023 |
| Joint dynamic probabilistic constraints with projected linear decision rules V Guigues, R Henrion Optimization Methods and Software 32 (5), 1006-1032, 2017 | 16 | 2017 |
| Single cut and multicut SDDP with cut selection for multistage stochastic linear programs: convergence proof and numerical experiments V Guigues, M Bandarra arXiv preprint arXiv:1902.06757, 2019 | 15 | 2019 |
| Inexact stochastic mirror descent for two-stage nonlinear stochastic programs V Guigues Mathematical Programming 187 (1), 533-577, 2021 | 14 | 2021 |
| Regularized decomposition methods for deterministic and stochastic convex optimization and application to portfolio selection with direct transaction and market impact costs V Guigues, M Lejeune, W Tekaya Available at SSRN 2899448, 2017 | 14 | 2017 |
| Regularized stochastic dual dynamic programming for convex nonlinear optimization problems V Guigues, MA Lejeune, W Tekaya Optimization and Engineering 21, 1133-1165, 2020 | 12 | 2020 |
| Sensitivity analysis and calibration of the covariance matrix for stable portfolio selection V Guigues Computational Optimization and Applications 48 (3), 553-579, 2011 | 12 | 2011 |
| Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures V Guigues Mathematical Programming 163 (1), 169-212, 2017 | 11 | 2017 |
| Statistical inference and hypotheses testing of risk averse stochastic programs V Guigues, V Krätschmer, A Shapiro arXiv preprint arXiv:1603.07384, 2016 | 11 | 2016 |
