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Contributions of Jean-Sébastien Roy
Last Update : 19 mai 2007
Computing
- Home page of the geometry software
Isard ;
- A few open source codes
(TNC, PuLP, COBYLA, MapKit, RandomKit, MDMalloc, TextTable, NetCDFStruct, FLR, PyCestac, Compte, Horloge, Image2Agenda) ;
- SAS practical work at University Paris V (in french) ;
- Maple practical work at the Lycée Chaptal (in french) ;
- Solutions of two problems of the book Oh, les Nombres ! (Wonders Of Numbers) (in french) ;
Research
Stochastic optimization
Jean-Sébastien Roy, K. Barty and C. Strugarek) proposed in 2004 a stochastic gradient algorithm in Hilbert spaces that is implementable. It has been tested with success on a few small closed loop problems and the approach extended to stochastic dynamic programming problems. Finally it has been applied to option pricing with the help of P. Girardeau, during his intership at EDF R&D.
Publications
Preprints
Software
- The BGRS pricing algorithm implementation inside the PREMIA option pricer, 2006, with K. Barty, P. Girardeau and C. Strugarek.
Talks
Contributed Talks and Posters
- 2eme Congrès national de mathématiques appliquées et industrielles, Evian 23-27 mai 2005. Poster: Functional Stochastic Gradient Algorithm with Kernels
- Séminaire SYDOCO INRIA-Rocquencourt, 8 juin 2005
- International Conference on Optimization under Uncertainties, IWR University of Heidelberg, Germany 28-30 September 2005
- Séminaire Bachelier, Institut Henri Poincaré.
- Optimization Frameworks for industrial applications, Paris, France, supported by EDF, 19-21 October 2005
- Conférence Internationale sur les Mathématiques de l'Optimisation et de la Décision, Université des Antilles-Guyane, 18-21 avril 2006
Mixed integer linear programming
Publications and Preprints
Applied statistics
Contributed Talks