Contributions of Jean-Sébastien Roy

Last Update : 19 mai 2007

Computing

 

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

Talks

Contributed Talks and Posters

Mixed integer linear programming

Publications and Preprints

Applied statistics

Contributed Talks