Browsing Produção Intelectual em Bases Externas by Author "Sagastizábal, Claudia"

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Exploiting the structure of autoregressive processes in chance-constrained multistage stochastic linear programs

Guigues, Vincent Gérard Yannick; Sagastizábal, Claudia
2012-11

We consider an interstage dependent stochastic process whose components follow an autoregressive model with time varying order. At a given time, we give some recursive formulae linking future values of the process with ...
Risk-averse feasible policies for large-scale multistage stochastic linear programs

Guigues, Vincent Gérard Yannick; Sagastizábal, Claudia
2013-04

We consider risk-averse formulations of stochastic linear programs having a structure that is common in real-life applications. Specifically, the optimization problem corresponds to controlling over a certain horizon a ...
Robust management and pricing of liquefied natural gas contracts with cancelation options

Guigues, Vincent Gérard Yannick; Sagastizábal, Claudia; Zubelli, Jorge P.
2014

Liquefied Natural Gas contracts offer cancelation options that make their pricing difficult, especially if many gas storages need to be taken into account. We develop a valuation mechanism from the buyer's perspective, a ...