PGMO Seminars 2013
21 Juin 2013
- Dany Ralph (University of Cambridge) "Risk aversion in capacity equilibria", joint work with Yves Smeers (Université de Louvain)
We look at risk averse electricity generation companies that investing in both new plants and financial products to reduce their risk, where the value (cost of operation) of plants is optimized in each of many (stochastic) spot market scenarios. This results in an investment or capacity equilibrium problem of risk averse agents . Assuming completeness of the risk market, we can reduce a capacity equilibrium between N risk averse firms to a _risk neutral_ Nash game between the same N firms plus an N+1st agent that prices risk. This gives existence of an equilibrium when there are only finitely many spot market scenarios. Time permitting we will discuss existence of an equilibrium when an Lp-space represents random or uncertain vectors.
- Miroslav Pistek (Académie des sciences de Pragues) et Didier Aussel (Université de Perpignan) "An analytical approach of one producer best response to other producers bids estimates in electricity market"
- Nordine MAZEGHRANE et Sébastien Lepaul (EDF R&D) "Modeling the coal market"
21 Mai 2013
- Nadia Oudjane (EDF R&D) "Un autre point de vue sur le Lagrangien augmente pour la gestion de production electrique au court-terme"
- Claude Lemaréchal (INRIA Grenoble) "Duality for Unit-Commitment Primal Heuristics Noisy Oracle"
16 Avril 2013
- Nicolas Beldiceanu (Ecole des Mines de nantes) "Description de contraintes par des méta-données et application à des problèmes d'apprentissage"
- Nicolas Beldiceanu (Ecole des Mines de nantes) "Résolution de problèmes d'ordonnancement cumulatif de grande taille"
5 Avril 2013
- Andrew Phillpott (University of Auckland, New Zealand "Modelling water shortage risks in electricity markets with hydroelectric reservoirs"
26 Mars 2013
- Pauline Sarrabezolles (CERMICS Ecole des Ponts) "Programmation linéaire colorée : bases, polytopes et algorithmes"
- Nabil Mustafa (LIGM, ESIEE) "Local-search techniques for geometric optimization problems"
19 Février 2013 :
- Jean-Christophe Alais (EDF R&D et CERMICS) "Méthodes de décomposition en optimisation stochastique : application à la gestion d'une vallée hydraulique"
- Zheng QU (CMAP, Ecole Polytechnique) "Méthodes max-plus en programmation dynamique approchée"
31 Janvier 2013 : projet PGMO LASON
- Bernardo Pagnoncelli and Tito Homem-de-Mello "Tutorial on stochastic programming: from two stage to multistage risk averse stochastic programming"
- Francisco Silva (Université de Limoges), joint work with J. Frédéric Bonnans (Inria & Ecole Polytechnique) "A glimpse on mean field games and its applications"
- Alejandro Jofré (CMM and DIM, Universidad de Chile), joint work with Nicolas Figueroa "Optimal mechanism-pricing rules for electricity market"
15 Janvier 2013 : Les problèmes d'optimisation du Rapport des Traces
- Mohammed Bellalij (université de Valenciennes) "The trace ratio optimization problem for dimensionality reduction"
- Saïd Hanafi (université de Valenciennes) "Hybrid Approaches for 0-1 Mixed Integer Program"