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Research topics of Jean-Sebastien Roy

I have been interested in various research topics for some time now, first as a hobby, then since 1999 as my main occupation at EDF R&D. Beside research, I also teach statistics and the use of SAS.
I'm currently doing a PhD thesis with Pr. Minoux (University Paris 6) on stochastic mixed-integer linear programming applied to nuclear plant maintenance scheduling.
I'm also responsible for the Stochastic Optimization project at EDF R&D.

Topics of interest

Main topics

• Stochastic optimization
• Mixed integer linear programming
• Applied statistics

Hobbies

• Nonlinear optimization

Stochastic optimization

Two other colleagues (K. Barty and C. Strugarek) and I, proposed in 2004 a stochastic gradient algorithm in Hilbert spaces that is implementable. We tried it with success on a few small closed loop problems and extended our approach to stochastic dynamic programming problems. We then applied it to option pricing with the help of P. Girardeau, during his intership at EDF R&D.

Publications

• Hilbert-valued Perturbed Subgradient Algorithms (2005-2006),
  with K. Barty and C. Strugarek, to appear in Mathematics of Operations Research.
• Un usage de l'approximation stochastique pour l'estimation récursive (2005-2006),
  with K. Barty and C. Strugarek, to appear in Comptes Rendus de l'Académie des Sciences.

Preprints

• A Q-Learning Algorithm with Continuous State Space (2006),
  with K. Barty, P. Girardeau and C. Strugarek, submitted to Journal of Machine Learning Research.
• Application of Kernel-based Stochastic Gradient Algorithms to Option Pricing (2005-2006),
  with K. Barty, P. Girardeau and C. Strugarek, submitted to Monte Carlo Methods and Applications.
• Temporal Difference learning with kernels (2005),
  with K. Barty and C. Strugarek.
• A Stochastic Gradient Type Algorithm for Closed Loop Problems (2004-2005),
  with K. Barty and C. Strugarek, submitted to Mathematical Programming.

Software

• The BGRS pricing algorithm implementation inside the PREMIA option pricer, 2006, with K. Barty, P. Girardeau and C. Strugarek.

Talks

• Workshop on Optimization in Finance, July 5-9, 2005, Coimbra.
  Talk: Temporal Difference learning with kernels
• Groupe de travail "Probabilités Numériques et Finance" du Laboratoire de Probabilités et Modèles Aléatoires des Universités Pierre et Marie Curie et Denis Diderot.
  Talk: Approximation Stochastique en Dimension Infinie
• Bachelier Finance Society 2006 Fourth World Congress, Tokyo, August 17-20, 2006.
  Abstract: Kernel Based Stochastic Gradient Algorithms for Option Pricing.
  Talk: Kernel Based Stochastic Gradient

Contributed Talks and Posters

The following talks were given by my colleagues on our common research subjects.

• 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

This is the main subject of my ongoing thesis with Pr. Minoux. I'm currently mainly focused on disjunctive programming and problem reformulation.

Publications and Preprints

• 'Binarize And Project' to Generate Cuts for General Mixed-Integer Programs (2004-2006),
  to appear in Algorithmic Operations Research.

Applied statistics

As my education was mainly centered on economy, statistics and computing, my first research subject was naturally applied statistics. After some small econometric work for the french welfare system, I mainly focused on electricity markets and more precisely on price and load forecasting. I did one of the first spot price model at EDF with three colleagues (H. Fedry, T. Socroun and F. Dazy). After that, I redesigned the french load forecasting model twice: the first model is operationnal at EDF Trading since a few years, the second one is more an advanced proof of concept. Sadly, most of this work was quite confidential.

Contributed Talks

The following talks were given by my colleagues on our common research subjects.

• 15th Power Systems Computation Conference, August 22-26, 2005, Liège, Belgium.
  Article presented: A non-linear regression model for mid-term load forecasting and improvements in seasonnality (joint work with A. Bruhns and G. Deurveillher)
• The 25th International Symposium on Forecasting, San-Antonio, Texas, June 12-15, 2005.
  Talk: "A midway between hourly and daily models for electric load forecast" (joint work with J. Collet)