Bibliography

Major publications by the team in recent years

[1]

O. Bokanowski, H. Zidani.
Anti-duffisive schemes for linear advection and application to Hamilton-Jacobi-Bellman equations, in: J. Sci. Computing, 2005.

[2]

J. F. Bonnans, J. C. Gilbert, C. Lemaréchal, C. Sagastizábal.
Numerical Optimization: Theoretical and Practical Aspects, Second Edition, Springer Verlag, 2006.

[3]

J. F. Bonnans, M. Haddou.
Asymptotic analysis of congested communication networks, in: Mathematics of Operations Research, Rapport de Recherche Inria 3133, 1997, 2000, n^o 25-3, p. 409-426
http://hal.inria.fr/inria-00073556.

[4]

J. Bonnans, E. Ottenwaelter, H. Zidani.
Numerical schemes for the two dimensional second-order HJB equation, in: ESAIM: M2AN, 2004, vol. 38, p. 723-735.

[5]

J. F. Bonnans, A. Shapiro.
Perturbation analysis of optimization problems, Springer-Verlag, 2000.

[6]

J. Bonnans, H. Zidani.
Consistency of generalized finite difference schemes for the stochastic HJB equation, in: SIAM J. Numerical Analysis, 2003, vol. 41, p. 1008-1021.

[7]

J. F. Bonnans, H. Zidani.
Consistency of Generalized Finite Difference Schemes for the Stochastic HJB Equation, in: SIAM J. Numerical Analysis, 2003, vol. 41, n^o 3, p. 1008-1021.

Publications of the year

Books and Monographs

[8]

J. F. Bonnans.
Optimisation continue, 325 pages, Dunod, 2006.

[9]

J. F. Bonnans, J. C. Gilbert, C. Lemaréchal, C. Sagastizábal.
Numerical Optimization: theoretical and numerical aspects, Universitext Series, 485 pages, second edition, Springer-Verlag, Berlin, 2006.

Doctoral dissertations and Habilitation theses

[10]

S. Maroso.
Analyse numérique de problème de contrôle stochastique, Ph. D. Thesis, Université Paris VI - Pierre et Marie Curie, December 7, 2006.

Articles in refereed journals and book chapters

[11]

N. Bérend, J. F. Bonnans, M. Haddou, J. Laurent-Varin, C. Talbot.
An Interior-Point Approach to Trajectory Optimization, in: J. Guidance, Control and Dynamics, to appear, 2006.

[12]

O. Bokanowski, S. Maroso, H. Zidani.
Error estimates for stochastic differential game: the adverse stopping case, in: IMA J. Num. Anal., 2006, vol. 28, p. 188–212.

[13]

0. Bokanowski, S. Martin, R. Munos, H. Zidani.
An anti-diffusive scheme for viability problems, in: Applied Numerical Mathematics, 2006, vol. 56, n^o Issue 9, in Numerical Methods for Viscosity Solutions and Applications, p. 1135-1254.

[14]

O. Bokanowski, N. Megdich, H. Zidani.
An adaptative antidissipative method for optimal control problems, in: ARIMA, 2006, vol. 5, n^o Special Issue TAM TAM'05, p. 253-268.

[15]

J. F. Bonnans, A. Hermant.
Conditions d'optimalité du second ordre nécessaires ou suffisantes pour les problèmes de commande optimale avec une contrainte sur l'état et une commande scalaire, in: Notes aux Comptes-Rendus de l'Académie des Sciences de Paris, 2006, vol. Sér. I 343, p. 473–478.

[16]

J. F. Bonnans, J. Laurent-Varin.
Computation of order conditions for symplectic partitioned Runge-Kutta schemes with application to optimal control, in: Numerische Mathematik, 2006, vol. 103-1, p. 1–10.

[17]

J. F. Bonnans, S. Maroso, H. Zidani.
Error estimates for a stochastic impulse control problem, in: Applied Mathematics and Optimization, to appear, 2006.

Publications in Conferences and Workshops

[18]

S. Adam, J. F. Bonnans, R. Paraisy, S. Veyrat.
Application of convex lexicographical optimization to the balance of GRTgaz gas grid, in: Proc. Operation Research Models and Methods in the Energy Sector Conference (ORMMES 2006), Coimbra, Portugal, Sept. 6-8, 2006.

[19]

J. André, J. F. Bonnans, L. Cornibert.
Planning reinforcement on gas transportation networks with optimization methods, in: Proc. Operation Research Models and Methods in the Energy Sector Conference (ORMMES 2006), Coimbra, Portugal, Sept. 6-8, 2006.

[20]

N. Bérend, J. F. Bonnans, M. Haddou, J. Laurent-Varin, C. Talbot.
Fast Linear Algebra for Multiarc Trajectory Optimization, in: Large Scale Nonlinear Optimization, Springer Verlag, Proc. Erice Workshop, Non convex optimization and its applications series, 2006.

Internal Reports

[21]

J. F. Bonnans, M. André.
Fast computation of the leastcore and prenucleolus of cooperative games, Rapport de Recherche, INRIA-Rocquencourt, July 2006, n^o 5956
http://hal.inria.fr/inria-00087029.

[22]

J. F. Bonnans, A. Hermant.
No-gap Second-order Optimality Conditions for Optimal Control Problems with a Single State Constraint and Control, to appearin Mathematical Programming Series B, Special issue in the honor of S.M. Robinson, INRIA-Rocquencourt, Feb. 2006, n^o 5837
http://hal.inria.fr/inria-00070189.

[23]

J. F. Bonnans, A. Hermant.
Stability and Sensitivity Analysis for Optimal Control Problems with a First-order State Constraint, Rapport de Recherche, INRIA, Rocquencourt, July 2006
http://hal.inria.fr/inria-00087573.

[24]

J. F. Bonnans, A. Hermant.
Well-Posedness of the Shooting Algorithm for State Constrained Optimal Control Problems with a Single Constraint and Control, Rapport de Recherche, INRIA-Rocquencourt, April 2006, n^o 5589
http://hal.inria.fr/inria-00070418.

Miscellaneous

[25]

R. Apparigliato, J. Vial, R. Zorgati.
Management of a hydraulic valley by robust optimization, In preparation.

[26]

J. Vial, R. Apparigliato.
A short introduction of the linear robust optimization, In preparation.

[27]

R. Zorgati, R. Apparigliato, L. Andrieu.
Weekly management of the production: Margin, Risk and Hedging, In preparation.

References in notes

[28]

S. Augoula, R. Agbrall.
High order numerical discretization for Hamilton-Jacobi equations on triangular meshes, in: J. Sci. Comput., 2000, vol. 15, n^o 2, p. 197–229.

[29]

L. Bacaud, C. Lemaréchal, A. Renaud, C. Sagastizábal.
Bundle methods in stochastic optimal power management: a disaggregated approach using preconditioners, in: Computational Optimization and Applications, 2001, n^o 20(3), p. 227-244.

[30]

G. Barles, P. Souganidis.
Convergence of approximation schemes for fully nonlinear second order equations, in: Asymptotic Analysis, 1991, vol. 4, p. 271–283.

[31]

A. Belloni, C. Sagastizábal.
Dynamic Bundle Methods, 2004
http://www.optimization-online.org/DB_HTML/2004/08/925.html.

[32]

J. Betts.
Practical methods for optimal control using nonlinear programming, in: Society for Industrial and Applied Mathematics (SIAM), 2001.

[33]

B. Bruder.
Superreplication of European options with a derivative asset under constrained finite variation strategies, preprint, 2005.

[34]

P. Cheridito, H. Soner, N. Touzi.
The multi-dimensional super-replication problem under gamma constraints, in: Annales de l'Institut Henri Poincaré: Analyse Non Linéaire, To appear.

[35]

J. Cvitanic, H. Pham, N. Touzi.
Super-replication in stochastic volatility models with portfolio constraints, in: Journal of Applied Probability, 1999, vol. 36, p. 523–545.

[36]

K. Ito, K. Kunisch.
Newton's method for a class of weakly singular optimal control problems, in: SIAM J. Optim., 2000, vol. 10, p. 896–916.

[37]

P. Lions, P. Souganidis.
Convergence of MUSCL and filtered schemes for scalar conservation laws and Hamilton-Jacobi equations, in: Numer. Math., 1995, vol. 69, p. 441–470.

[38]

M. Ulbrich.
Semismooth Newton metods for operator equations in function spaces, in: SIAM J. Optim, 2003, vol. 13, n^o 3, p. 805–841.