À paraître

E. Delage, S. Guo, H. Xu, Shortfall Risk Models When Information of Loss Function Is Incomplete, Operations Research.

M. Poursoltani, E. Delage, Adjustable Robust Optimization Reformulations of Two-Stage Worst-case Regret Minimization Problems, Operations Research.

S. Marzban, E. Delage, J. Y. Li, Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures, Quantitative Finance.

Publications

F. Zhang, V. A. Nguyen, J. Blanchet, E. Delage, Y. Ye, Distributionally Robust Local Non-parametric Conditional Estimation, NeurIPS 2020.

E. Delage, A. Saif, The Value of Randomized Solutions in Mixed-Integer Distributionally Robust Optimization Problems, INFORMS Journal on Computing.

A. Saif, E. Delage, Data-Driven Distributionally Robust Capacitated Facility Location Problem, European Journal of Operational Research, 291(3):995-1007,2021.

F. Rodrigues, A. Agra, C. Requejo, E. Delage, Lagrangian Duality for Robust Problems with Decomposable Functions: The Case of a Robust Inventory Problem, INFORMS Journal on Computing, 33(2):685-705,2021.

A. Ardestani-Jaafari, E. Delage, Linearized Robust Counterparts of Two-stage Robust Optimization Problem with Applications in Operations Management, INFORMS Journal on Computing, 33(3):1138-1161, 2021.

C. Peng, E. Delage, J. Li, Probabilistic Envelope Constrained Multiperiod Stochastic Emergency Medical Services Location Model and Decomposition Scheme, Transportation Science, Transportation Science, 54(6):1471-1494.

T. Bazier-Matte, E. Delage, Generalization Bounds for Regularized Portfolio Selection with Market Side Information, INFOR: Information Systems and Operational Research, 58(2):374-401, 2020.

A. Hajebrahimi, I. Kamwa, E. Delage, M. Abdelaziz, Adaptive Distributionally Robust Optimization for Electricity and Electrified Transportation Planning, IEEE Transactions on Smart Grid, 11(5):4278-4289, 2020.

A. Barbry, M. F. Anjos, E. Delage, Robust Self-Scheduling of a Price-Maker Energy Storage Facility in the New York electricity market, Energy Economics, 78:629-646, 2019.

E. Delage, D. Kuhn, W. Wiesemann, “Dice”-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?, Management Science, 65(7):3282-3301, 2019.

C. Gauvin, E. Delage, M. Gendreau, A Successive Linear Programming Algorithm with Non-Linear Time Series for the Reservoir Management Problem, Computational Management Science, 15(1): 55-86, 2018.

C. Gauvin, E. Delage, M. Gendreau, A Stochastic Program with Tractable Time Series and Affine Decision Rules for the Reservoir Management Problem, European Journal of Operational Research, 267(2): 716-732, 2018.

E. Delage, L. G. Gianoli, B. Sansò, A Practicable Robust Counterpart Formulation for Decomposable Functions: A Network Congestion Case Study, Operations Research, 66(2): 535-567, 2018.

E. Delage, J. Y. Li, Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous, Management Science, 64(1): 327-344, 2018.

A. Ardestani-Jaafari, E. Delage, The Value of Flexibility in Robust Location-transportation Problems, Transportation Science, 52(1): 189-209, 2018.

C. Gauvin, E. Delage, M. Gendreau, Decision rule approximations for the risk averse reservoir management problem, European Journal of Operational Research, 261(1): 317-336, 2017.

M. Denault, E. Delage, J.-G. Simonato, Dynamic portfolio choice: a simulation-and-regression approach, Optimization and Engineering, 18(2): 369-406, 2017.

A. Ardestani-Jaafari, E. Delage, Robust Optimization of Sums of Piecewise Linear Functions with Application to Inventory Problems, Operations Research, 62(2): 474-494, 2016.

E. Delage, D. Iancu, Robust Multistage Decision Making, TutORials in Operations Research, 20-46, 2015.

Armbruster, B., E. Delage. Decision Making under Uncertainty when Preference Information is Incomplete. Management Science, 61(1), 111-128, 2015.

Cheng, J., E. Delage, A. Lisser. Distributionally Robust Stochastic Knapsack Problem. SIAM Journal on Optimization, 24(3), 1485-1506, 2014.

Delage, E., Y. Ye, S. Arroyo. The Value of Stochastic Modeling in Two-Stage Stochastic Programs with Cost Uncertainty. Operations Research, 62(6), 1377-1393, 2014.

Ardestani-Jaafari, E. Delage. Affinely Adjustable Robust Location Transportation Problem. Proceedings of the 2014 Industrial and Systems Engineering Research Conference, 2014.

Carlsson, J. G., E. Delage. Robust Partitioning for Stochastic Multi-Vehicle Routing. Operations Research. 61(3): 727-744, 2013.

Agrawal, S., E. Delage, M. Peters, Z. Wang, Y. Ye. A Unified Framework for Dynamic Prediction Market Design. Operations Research. 59(3): 550-568, 2011.

Delage, E., Y. Ye. Distributionally Robust Optimization under Moment Uncertainty with Application to Data-Driven Problems. Operations Research. 58(3): 596-612, 2010.

Delage, E., S. Mannor. Percentile Optimization for MDP with Parameter Uncertainty. Operations Research. 58(1): 203-213, 2010.

Delage, E. Regret-based Online Ranking for a Growing Digital Library. Proceedings of the 15th ACM SIGKDD Conference on Knowledge Discovery and Data Mining. 229-238, 2009.