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authFullName_s : Kengy Barty
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Decomposition of large-scale stochastic optimal control problems

Kengy Barty , Pierre Carpentier , Pierre Girardeau
2009
Preprints, Working Papers, ... hal-00362135v2

A Stochastic Gradient Type Algorithm for Closed Loop Problems

Kengy Barty , Jean-Sébastien Roy , Cyrille Strugarek
Stochastic Programming E-Print Series (SPEPS), 2005, 2005 (14)
Journal articles hal-00983337v1
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Sensitivity analysis for the outages of nuclear power plants

Kengy Barty , J. Frederic Bonnans , Laurent Pfeiffer
Energy Systems, 2014, 5 (2), pp.371-406. ⟨10.1007/s12667-013-0096-y⟩
Journal articles hal-00671186v1
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Price decomposition in large-scale stochastic optimal control

Kengy Barty , Pierre Carpentier , Guy Cohen , Pierre Girardeau
2010
Preprints, Working Papers, ... hal-00545099v2

Decomposition of large-scale stochastic optimal control problems

Pierre Carpentier , Kengy Barty , Pierre Girardeau
RAIRO - Operations Research, 2010, 44, pp.167-183. ⟨10.1051/ro/2010013⟩
Journal articles hal-01232179v1

Temporal difference learning with kernels for pricing american-style options

Kengy Barty , Jean-Sébastien Roy , Cyrille Strugarek
Optimization Online, 2005
Journal articles hal-00983326v1

Application of kernel-based stochastic gradient algorithms to option pricing

Kengy Barty , Pierre Girardeau , Cyrille Strugarek , Jean-Sébastien Roy
Monte Carlo Methods and Applications, 2008, 14, pp.99-127
Journal articles hal-00976406v1

A Q-Learning Algorithm with Continuous State Space

Kengy Barty , Pierre Girardeau , Jean-Sébastien Roy , Cyrille Strugarek
Optimization Online, 2006
Journal articles hal-00977539v1

Dual effect free stochastic controls

Kengy Barty , Pierre Carpentier , Jean-Philippe Chancelier , Guy Cohen , Michel de Lara et al.
Annals of Operations Research, 2006, 142, pp.41-62. ⟨10.1007/s10479-006-6160-4⟩
Journal articles hal-00978996v1

A Perturbed Gradient Algorithm in Hilbert Spaces

Kengy Barty , Jean-Sébastien Roy , Cyrille Strugarek
Optimization Online, 2005
Journal articles hal-00983332v1