Profile picture

Daniel Kuhn

Nationalité: Swiss

EPFL CDM MTEI RAO
ODY 1 04 (Odyssea)
Station 5
1015 Lausanne

Publications

2025

Optimality of Linear Policies in Distributionally Robust Linear Quadratic Control

B. TaskesenD. IancuC. KocyigitD. Kuhn

2025

Distributionally Robust Optimization

D. KuhnS. ShafieeW. Wiesemann

Acta Numerica. 2025. DOI : 10.1017/S0962492924000084.

Global Group Fairness in Federated Learning via Function Tracking

Y. RychenerD. KuhnY. Hu

Proceedings of the 28th International Conference on Artificial Intelligence and Statistics (AISTATS) [Forthcoming publication]. 2025. 28th International Conference on Artificial Intelligence and Statistics (AISTATS 2025), Mai Khao, Thailand, 2025-05-03 - 2025-05-05. DOI : 10.48550/arXiv.2503.15163.

Towards Optimal Offline Reinforcement Learning

M. LiD. KuhnTobias Sutter

2025

Distributionally Robust Optimal Allocation with Costly Verification

H. İ. BayrakC. KocyigitD. KuhnM. Pinar

Operations Research. 2025. DOI : 10.1287/opre.2022.0662.

Nash Equilibria, Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization

S. ShafieeL. AolariteiF. DörflerD. Kuhn

Operations Research. 2025. DOI : 10.48550/arXiv.2303.03900.

Machine Learning in Decision-Making Systems: Fairness, Robustness, and Data Bias

Y. Rychener / D. Kuhn (Dir.)

Lausanne, EPFL, 2025. DOI : 10.5075/epfl-thesis-11191.

Policy Gradient Algorithms for Robust MDPs with Non-Rectangular Uncertainty Sets

M. LiT. SutterD. Kuhn

SIAM Journal On Optimization. 2025. DOI : 10.48550/arXiv.2305.19004.

2024

Optimism in the Face of Ambiguity Principle for Multi-Armed Bandits

M. LiD. KuhnB. Taskesen

2024

Frequency Regulation with Storage: On Losses and Profits

D. LauingerF. VuilleD. Kuhn

European Journal of Operational Research. 2024. DOI : 10.1016/j.ejor.2024.03.022.

Wasserstein Distributionally Robust Optimization with Heterogeneous Data Sources

Y. RychenerA. Esteban-PerezJ. M. MoralesD. Kuhn

2024

Regret Minimization and Separation in Multi-Bidder Multi-Item Auctions

C. KocyigitD. KuhnN. Rujeerapaiboon

INFORMS Journal on Computing. 2024. DOI : 10.1287/ijoc.2022.0275.

A Pareto Dominance Principle for Data-Driven Optimization

T. SutterB. Van ParysD. Kuhn

Operations Research. 2024. DOI : 10.1287/opre.2021.0609.

A Planner-Trader Decomposition for Multi-Market Hydro Scheduling

K. SchindlerN. RujeerapaiboonD. KuhnW. Wiesemann

Operations Research. 2024. DOI : 10.1287/opre.2023.2456.

Data-Driven Chance Constrained Programs over Wasserstein Balls

Z. ChenD. KuhnW. Wiesemann

Operations Research. 2024. DOI : 10.1287/opre.2022.2330.

A Geometric Unification of Distributionally Robust Covariance Estimators: Shrinking the Spectrum by Inflating the Ambiguity Set

M.-C. YueY. RychenerD. KuhnV. A. Nguyen

2024

A Large Deviations Perspective on Policy Gradient Algorithms

W. JongeneelD. KuhnM. Li

2024. 6th Annual Learning for Dynamics & Control Conference, Oxford, UK, 2024-07-15 - 2024-07-17.

Stability: a search for structure

W. Jongeneel / D. Kuhn (Dir.)

Lausanne, EPFL, 2024. DOI : 10.5075/epfl-thesis-10550.

Small Errors in Random Zeroth-Order Optimization are Imaginary

W. JongeneelM.-C. YueD. Kuhn

SIAM Journal on Optimization. 2024. DOI : 10.1137/22M1510261.

Multi-Period Optimal Power Flow: Convex Relaxations and Parallel Algorithms

T. YangD. KuhnG. Hug

IEEE PES Innovative Smart Grid Technologies Europe, ISGT EUROPE 2024. 2024. IEEE PES Innovative Smart Grid Technologies Europe Conference, Dubrovnik, Croatia, 2024-10-14 - 2024-10-17. DOI : 10.1109/ISGTEUROPE62998.2024.10863123.

Reliable data-driven decision-making through optimal transport

B. Taskesen / D. Kuhn (Dir.)

Lausanne, EPFL, 2024. DOI : 10.5075/epfl-thesis-10134.

Reliable Frequency Regulation through Vehicle-to-Grid: Encoding Legislation with Robust Constraints

D. LauingerF. VuilleD. Kuhn

Manufacturing & Service Operations Management. 2024. DOI : 10.1287/msom.2022.0154.

2023

Semi-Discrete Optimal Transport: Hardness, Regularization and Numerical Solution

B. TaskesenS. Shafieezadeh AbadehD. Kuhn

Mathematical Programming. 2023. DOI : 10.1007/s10107-022-01856-x.

Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization

V. A. NguyenS. Shafieezadeh AbadehD. KuhnP. Mohajerin Esfahani

Mathematics of Operations Research. 2023. DOI : 10.1287/moor.2021.1176.

On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls

Z. ChenD. KuhnW. Wiesemann

Operations Research Letters. 2023. DOI : 10.1016/j.orl.2023.02.008.

PIQP: A Proximal Interior-Point Quadratic Programming Solver

R. SchwanY. JiangD. KuhnC. N. Jones

2023 62Nd Ieee Conference On Decision And Control, Cdc. 2023. 62nd IEEE Conference on Decision and Control (CDC), Singapore, SINGAPORE, DEC 13-15, 2023. p. 1088 - 1093. DOI : 10.1109/CDC49753.2023.10383915.

Discrete Optimal Transport with Independent Marginals is #P-Hard

B. TaskesenS. Shafieezadeh AbadehD. KuhnK. Natarajan

SIAM Journal on Optimization. 2023. DOI : 10.1137/22M1482044.

Contextual Stochastic Bilevel Optimization

Y. HuJ. WangY. XieA. KrauseD. Kuhn

2023. 37th Conference on Neural Information Processing Systems (NeurIPS), New Orleans, December 10-16, 2023. DOI : 10.48550/arXiv.2310.18535.

Stability Verification of Neural Network Controllers using Mixed-Integer Programming

R. SchwanC. N. JonesD. Kuhn

IEEE Transactions on Automatic Control. 2023. DOI : 10.1109/TAC.2023.3283213.

End-to-End Learning for Stochastic Optimization: A Bayesian Perspective

Y. RychenerD. KuhnT. Sutter

2023. 40th International Conference on Machine Learning, Honolulu, Hawaii, USA, July 23-29 2023. DOI : 10.48550/arXiv.2306.04174.

Efficient Learning of a Linear Dynamical System with Stability Guarantees

W. JongeneelT. SutterD. Kuhn

IEEE Transactions on Automatic Control. 2023. DOI : 10.1109/TAC.2022.3213770.

Distributionally Robust Linear Quadratic Control

B. TaskesenD. IancuC. KocyigitD. Kuhn

2023. 37th Conference on Neural Information Processing Systems (NeurIPS), New Orleans, December 10-16, 2023. DOI : 10.48550/arXiv.2305.17037.

A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle

J. ZhenD. KuhnW. Wiesemann

Operations Research. 2023. DOI : 10.1287/opre.2021.0268.

2022

Topological Linear System Identification via Moderate Deviations Theory

W. JongeneelT. SutterD. Kuhn

IEEE Control Systems Letters. 2022. DOI : 10.1109/LCSYS.2021.3072814.

Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator

V. A. NguyenD. KuhnP. Mohajerin Esfahani

Operations Research. 2022. DOI : 10.1287/opre.2020.2076.

Robust Multidimensional Pricing: Separation without Regret

C. Kocyigit YalcinN. RujeerapaiboonD. Kuhn

Mathematical Programming. 2022. DOI : 10.1007/s10107-021-01615-4.

Metrizing Fairness

Y. RychenerB. TaskesenD. Kuhn

2022

Scenario Reduction Revisited: Fundamental Limits and Guarantees

N. RujeerapaiboonK. SchindlerD. KuhnW. Wiesemann

Mathematical Programming. 2022. DOI : 10.1007/s10107-018-1269-1.

Vehicle-to-Grid for Reliable Frequency Regulation

D. Lauinger / D. KuhnF. R. Vuille (Dir.)

Lausanne, EPFL, 2022. DOI : 10.5075/epfl-thesis-8542.

On Linear Optimization over Wasserstein Balls

M.-C. YueD. KuhnW. Wiesemann

Mathematical Programming. 2022. DOI : 10.1007/s10107-021-01673-8.

2021

From Data to Decisions: Distributionally Robust Optimization is Optimal

B. P. Van ParysP. Mohajerin EsfahaniD. Kuhn

Management Science. 2021. DOI : 10.1287/mnsc.2020.3678.

Mean-Covariance Robust Risk Measurement

V. A. NguyenS. Shafieezadeh AbadehD. FilipovicD. Kuhn

2021

Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts

B. TaskesenM.-C. YueJ. BlanchetD. KuhnV. A. Nguyen

International Conference On Machine Learning. 2021. 38th International Conference on Machine Learning (ICML 2021), Virtual, July 18-24, 2021. p. 7168 - 7179.

A Statistical Test for Probabilistic Fairness

B. TaskesenJ. BlanchetD. KuhnV. A. Nguyen

2021. ACM Conference on Fairness, Accountability, and Transparency, March 3-10, 2021. DOI : 10.1145/3442188.3445927.

Distributionally Robust Optimization with Markovian Data

M. LiT. SutterD. Kuhn

Proceedings of the 38th International Conference on Machine Learning. 2021. 38th International Conference on Machine Learning, Virtual, July 18-24, 2021. p. 6493 - 6503.

Robust Generalization despite Distribution Shift via Minimum Discriminating Information

T. SutterA. KrauseD. Kuhn

2021. 35th Conference on Neural Information Processing Systems (NeurIPS), Virtual, December 7-10, 2021.

Energy and Reserve Dispatch with Distributionally Robust Joint Chance Constraints

C. OrdoudisV. A. NguyenD. KuhnP. Pinson

Operations Research Letters. 2021. DOI : 10.1016/j.orl.2021.01.012.

On Topological Equivalence in Linear Quadratic Optimal Control

W. JongeneelD. Kuhn

2021 European Control Conference (ECC). 2021. 2021 European Control Conference (ECC), Rotterdam, Netherlands, June 29 - July 2, 2021. p. 2002 - 2007. DOI : 10.23919/ECC54610.2021.9654863.

2020

Distributionally Robust Mechanism Design

C. KocyigitG. IyengarD. KuhnW. Wiesemann

Management Science. 2020. DOI : 10.1287/mnsc.2018.3219.

Wasserstein Distributionally Robust Learning

S. Shafieezadeh Abadeh / D. Kuhn (Dir.)

Lausanne, EPFL, 2020. DOI : 10.5075/epfl-thesis-10012.

Distributionally Robust Optimization with Polynomial Densities: Theory, Models and Algorithms

E. de KlerkD. KuhnK. Postek

Mathematical Programming. 2020. DOI : 10.1007/s10107-019-01429-5.

Scalable Stochastic Optimization: Scenario Reduction with Guarantees

K. Schindler / D. Kuhn (Dir.)

Lausanne, EPFL, 2020. DOI : 10.5075/epfl-thesis-10298.

Distributional Robustness in Mechanism Design

C. Kocyigit / D. Kuhn (Dir.)

Lausanne, EPFL, 2020. DOI : 10.5075/epfl-thesis-7442.

2019

"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?

E. DelageD. KuhnW. Wiesemann

Management Science. 2019. DOI : 10.1287/mnsc.2018.3108.

Regularization via Mass Transportation

S. Shafieezadeh AbadehD. KuhnP. Mohajerin Esfahani

Journal of Machine Learning Research. 2019.

The Decision Rule Approach to Optimisation under Uncertainty: Methodology and Applications

A. GeorghiouW. WiesemannD. Kuhn

Computational Management Science. 2019. DOI : 10.1007/s10287-018-0338-5.

Calculating Optimistic Likelihoods Using (Geodesically) Convex Optimization

V. A. NguyenS. Shafieezadeh AbadehM.-C. YueD. KuhnW. Wiesemann

Advances In Neural Information Processing Systems 32 (Nips 2019). 2019. Neural Information Processing Systems, Vancouver, Canada, December 8-14, 2019.

Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation

V. A. NguyenS. Shafieezadeh AbadehM.-C. YueD. KuhnW. Wiesemann

Advances In Neural Information Processing Systems 32 (Nips 2019), 32. 2019. 33rd Conference on Neural Information Processing Systems (NeurIPS), Vancouver, Canada, December 8-14, 2019.

Adversarial Analytics

V. A. Nguyen / D. Kuhn (Dir.)

Lausanne, EPFL, 2019. DOI : 10.5075/epfl-thesis-9731.

Size Matters: Cardinality-Constrained Clustering and Outlier Detection via Conic Optimization

N. RujeerapaiboonK. SchindlerD. KuhnW. Wiesemann

SIAM Journal on Optimization. 2019. DOI : 10.1137/17M1150670.

Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning

D. KuhnP. Mohajerin EsfahaniV. A. NguyenS. Shafieezadeh Abadeh

Operations Research & Management Science in the Age of Analytics; 2019. p. 130 - 166.

DOI : 10.1287/educ.2019.0198.

2018

Wasserstein Distributionally Robust Kalman Filtering

S. Shafieezadeh AbadehV. A. NguyenD. KuhnP. Mohajerin Esfahani

NIPS Proceedings. 2018. Neural Information Processing Systems, Montréal, Canada, December 2-8, 2018.

On Risk Reduction in Kelly Betting Using the Conservative Expected Value

N. RujeerapaiboonB. R. BarmishD. Kuhn

2018 IEEE Conference on Decision and Control (CDC). 2018. 57th IEEE Conference on Decision and Control, Miami Beach, Florida, USA, December 17-19, 2018. p. 5801 - 5806. DOI : 10.1109/CDC.2018.8619186.

From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming

P. Mohajerin EsfahaniT. SutterD. KuhnJ. Lygeros

SIAM Journal on Optimization. 2018. DOI : 10.1137/17M1133087.

Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs

I. YanikogluD. Kuhn

SIAM Journal on Optimization. 2018. DOI : 10.1137/16M1098486.

Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls

G. HanasusantoD. Kuhn

Operations Research. 2018. DOI : 10.1287/opre.2017.1698.

Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations

P. Mohajerin EsfahaniD. Kuhn

Mathematical Programming. 2018. DOI : 10.1007/s10107-017-1172-1.

Data-Driven Inverse Optimization with Incomplete Information

P. Mohajerin EsfahaniS. Shafieezadeh AbadehG. A. HanasusantoD. Kuhn

Mathematical Programming. 2018. DOI : 10.1007/s10107-017-1216-6.

Chebyshev Inequalities for Products of Random Variables

N. RujeerapaiboonD. KuhnW. Wiesemann

Mathematics of Operations Research. 2018. DOI : 10.1287/moor.2017.0888.

2017

Ambiguous Joint Chance Constraints under Mean and Dispersion Information

G. A. HanasusantoV. RoitchD. KuhnW. Wiesemann

Operations Research. 2017. DOI : 10.1287/opre.2016.1583.

Optimal Financial Decision Making Under Uncertainty

G. ConsigliD. KuhnP. Brandimarte

Optimal Financial Decision Making under Uncertainty; Springer International Publishing, 2017. p. 255 - 290.

DOI : 10.1007/978-3-319-41613-7_11.

2016

Generalized Gauss Inequalities via Semidefinite Programming

B. P. G. Van ParysP. J. GoulartD. Kuhn

Mathematical Programming. 2016. DOI : 10.1007/s10107-015-0878-1.

A linear programming approach to the optimization of residential energy systems

D. LauingerP. CaliandroJ. Van HerleD. Kuhn

Journal of Energy Storage. 2016. DOI : 10.1016/j.est.2016.04.009.

K-Adaptability in Two-Stage Distributionally Robust Binary Programming

G. A. HanasusantoD. KuhnW. Wiesemann

Operations Research Letters. 2016. DOI : 10.1016/j.orl.2015.10.006.

Distributionally Robust Control of Constrained Stochastic Systems

B. P. Van ParysD. KuhnP. J. GoulartM. Morari

IEEE Transactions on Automatic Control. 2016. DOI : 10.1109/TAC.2015.2444134.

Dimensionality Reduction in Dynamic Optimization under Uncertainty

N. Rujeerapaiboon / D. KuhnW. Wiesemann (Dir.)

Lausanne, EPFL, 2016. DOI : 10.5075/epfl-thesis-7235.

A Comment on “Computational Complexity of Stochastic Programming Problems”

G. A. HanasusantoD. KuhnW. Wiesemann

Mathematical Programming. 2016. DOI : 10.1007/s10107-015-0958-2.

Robust Growth-Optimal Portfolios

N. RujeerapaiboonD. KuhnW. Wiesemann

Management Science. 2016. DOI : 10.1287/mnsc.2015.2228.

2015

Generalized Decision Rule Approximations for Stochastic Programming via Liftings

A. GeorghiouW. WiesemannD. Kuhn

Mathematical Programming. 2015. DOI : 10.1007/s10107-014-0789-6.

A Distributionally Robust Perspective on Uncertainty Quantification and Chance Constrained Programming

G. A. HanasusantoV. RoitchD. KuhnW. Wiesemann

Mathematical Programming. 2015. DOI : 10.1007/s10107-015-0896-z.

The Stochastic Time-Constrained Net Present Value Problem

W. WiesemannD. Kuhn

Handbook on Project Management and Scheduling Vol. 2; Springer International Publishing, 2015. p. 753 - 780.

DOI : 10.1007/978-3-319-05915-0_5.

Distributionally Robust Multi-Item Newsvendor Problems with Multimodal Demand Distributions

G. A. HanasusantoD. KuhnS. W. WallaceS. Zymler

Mathematical Programming. 2015. DOI : 10.1007/s10107-014-0776-y.

Distributionally Robust Logistic Regression

S. Shafieezadeh AbadehP. Mohajerin EsfahaniD. Kuhn

NIPS Proceedings. 2015. Neural Information Processing Systems, Montréal, Canada, December 7-12, 2015.

Interdiction Games on Markovian PERT Networks

E. GutinD. KuhnW. Wiesemann

Management Science. 2015. DOI : 10.1287/mnsc.2014.1973.

Financial Optimization: Optimization Paradigms and Financial Planning under Uncertainty

G. ConsigliP. BrandimarteD. Kuhn

OR Spectrum. 2015. DOI : 10.1007/s00291-015-0406-y.

K-Adaptability in Two-Stage Robust Binary Programming

G. A. HanasusantoD. KuhnW. Wiesemann

Operations Research. 2015. DOI : 10.1287/opre.2015.1392.

2014

Distributionally Robust Convex Optimization

W. WiesemannD. KuhnM. Sim

Operations Research. 2014. DOI : 10.1287/opre.2014.1314.

2013

Distributionally Robust Joint Chance Constraints with Second-Order Moment Information

S. ZymlerD. KuhnB. Rustem

Mathematical Programming. 2013. DOI : 10.1007/s10107-011-0494-7.

A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs

P. RochaD. Kuhn

Journal of Optimization Theory and Applications. 2013. DOI : 10.1007/s10957-012-0264-6.

Robust Data-Driven Dynamic Programming

G. A. HanasusantoD. Kuhn

NIPS Proceedings 26. 2013. Neural Information Processing Systems, Lake Tahoe, USA, December 2013.

Robust Markov Decision Processes

W. WiesemannD. KuhnB. Rustem

Mathematics of Operations Research. 2013. DOI : 10.1287/moor.1120.0566.

Worst-Case Value at Risk of Nonlinear Portfolios

S. ZymlerD. KuhnB. Rustem

Management Science. 2013. DOI : 10.1287/mnsc.1120.1615.

2012

Guest Editorial: Special Issue on Optimal Decision Making under Uncertainty

R. HochreiterD. Kuhn

Computational Management Science. 2012. DOI : 10.1007/s10287-011-0136-9.

Robust Software Partitioning with Multiple Instantiation

S. A. SpaceyW. WiesemannD. KuhnW. Luk

INFORMS Journal on Computing. 2012. DOI : 10.1287/ijoc.1110.0467.

Risk-averse shortest path problems

C. GavrielG. A. HanasusantoD. Kuhn

2012 IEEE 51st IEEE Conference on Decision and Control (CDC). 2012. 2012 IEEE 51st Annual Conference on Decision and Control (CDC), Maui, HI, USA, December 10-13, 2012. p. 2533 - 2538. DOI : 10.1109/CDC.2012.6426188.

Polynomial Approximations for Continuous Linear Programs

D. BampouD. Kuhn

SIAM Journal on Optimization. 2012. DOI : 10.1137/110822992.

Robust resource allocations in temporal networks

W. WiesemannD. KuhnB. Rustem

Mathematical Programming. 2012. DOI : 10.1007/s10107-011-0478-7.

Multi-resource allocation in stochastic project scheduling

W. WiesemannD. KuhnB. Rustem

Annals of Operations Research. 2012. DOI : 10.1007/s10479-008-0486-z.

A constraint sampling approach for multi-stage robust optimization

P. VayanosD. KuhnB. Rustem

Automatica. 2012. DOI : 10.1016/j.automatica.2011.12.002.

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

P. RochaD. Kuhn

European Journal of Operational Research. 2012. DOI : 10.1016/j.ejor.2011.08.001.

2011

Scenario-free stochastic programming with polynomial decision rules

D. BampouD. Kuhn

IEEE Conference on Decision and Control and European Control Conference. 2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, December 12-15, 2011. p. 7806 - 7812. DOI : 10.1109/CDC.2011.6161150.

A scenario approach for estimating the suboptimality of linear decision rules in two-stage robust optimization

M. J. HadjiyiannisP. J. GoulartD. Kuhn

IEEE Conference on Decision and Control and European Control Conference. 2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, 12-15 December 2011. p. 7386 - 7391. DOI : 10.1109/CDC.2011.6161342.

Barycentric Bounds in Stochastic Programming: Theory and Application

K. FrauendorferD. KuhnM. Schürle

Stochastic Programming: The State of the Art, In Honor of George B. Dantzig; New York, NY: Springer New York, 2011. p. 67 - 96.

DOI : 10.1007/978-1-4419-1642-6_5.

SQPR: Stream query planning with reuse

E. KalyvianakiW. WiesemannQ. H. VuD. KuhnP. Pietzuch

2011 IEEE 27th International Conference on Data Engineering. 2011. 2011 IEEE International Conference on Data Engineering (ICDE 2011), Hannover, Germany, 11-16 04 2011. p. 840 - 851. DOI : 10.1109/ICDE.2011.5767851.

Primal and dual linear decision rules in stochastic and robust optimization

D. KuhnW. WiesemannA. Georghiou

Mathematical Programming. 2011. DOI : 10.1007/s10107-009-0331-4.

Robust portfolio optimization with derivative insurance guarantees

S. ZymlerB. RustemD. Kuhn

European Journal of Operational Research. 2011. DOI : 10.1016/j.ejor.2010.09.027.

An Efficient Method to Estimate the Suboptimality of Affine Controllers

M. J. HadjiyiannisP. GoulartD. Kuhn

IEEE Transactions on Automatic Control. 2011. DOI : 10.1109/TAC.2011.2139390.

Hedging Electricity Swing Options in Incomplete Markets

P. VayanosW. WiesemannD. Kuhn

Proceedings of the 18th IFAC World Congress. 2011. 18th IFAC World Congress, Università Cattolica del Sacro Cuore, Milano, Italy, August 2011. p. 846 - 853. DOI : 10.3182/20110828-6-IT-1002.03528.

Decision rules for information discovery in multi-stage stochastic programming

P. VayanosD. KuhnB. Rustem

IEEE Conference on Decision and Control and European Control Conference. 2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, December 12-15, 2011. p. 7368 - 7373. DOI : 10.1109/CDC.2011.6161382.

Guest Editorial: Special Issue on Computational Finance

D. Kuhn

Computational Management Science. 2011. DOI : 10.1007/s10287-009-0112-9.

Welfare-Maximizing Correlated Equilibria with an Application to Wireless Communication

F. KongD. KuhnB. Rustem

Proceedings of the 18th IFAC World Congress. 2011. 18th IFAC World Congress, Università Cattolica del Sacro Cuore, Milano, Italy, August 2011. p. 8920 - 8925. DOI : 10.3182/20110828-6-IT-1002.02982.

2010

Linearly Adjustable International Portfolios

R. FonsecaD. KuhnB. Rustem

AIP Conference Proceedings. 2010. ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics, Rhodes, Greece, September 19–25, 2010. p. 338 - 341. DOI : 10.1063/1.3498469.

Analysis of the rebalancing frequency in log-optimal portfolio selection

D. KuhnD. G. Luenberger

Quantitative Finance. 2010. DOI : 10.1080/14697680802629400.

Maximizing the net present value of a project under uncertainty

W. WiesemannD. KuhnB. Rustem

European Journal of Operational Research. 2010. DOI : 10.1016/j.ejor.2009.05.045.

A cutting-plane method for Mixed-Logical Semidefinite Programs with an application to multi-vehicle robust path planning

F. W. KongD. KuhnB. Rustem

49th IEEE Conference on Decision and Control (CDC). 2010. 2010 49th IEEE Conference on Decision and Control (CDC), Atlanta, GA, USA, December 15-17, 2010. p. 1360 - 1365. DOI : 10.1109/CDC.2010.5717988.

2009

Valuation of electricity swing options by multistage stochastic programming

G. HaarbrückerD. Kuhn

Automatica. 2009. DOI : 10.1016/j.automatica.2008.11.022.

An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time

D. Kuhn

Mathematics of Operations Research. 2009. DOI : 10.1287/moor.1080.0369.

Convergent Bounds for Stochastic Programs with Expected Value Constraints

D. Kuhn

Journal of Optimization Theory and Applications. 2009. DOI : 10.1007/s10957-008-9476-1.

Dynamic Mean-Variance Portfolio Analysis under Model Risk

D. KuhnP. ParpasB. RustemR. Fonseca

Journal of Computational Finance. 2009. DOI : 10.21314/JCF.2009.202.

Rapid Design Space visualisation through hardware/software partitioning

S. A. SpaceyW. LukP. H. J. KellyD. Kuhn

2009 5th Southern Conference on Programmable Logic (SPL). 2009. 2009 5th Southern Conference on Programmable Logic (SPL), São Carlos, Brazil, 1-3 04 2009. p. 159 - 164. DOI : 10.1109/SPL.2009.4914913.

2008

Bound-based decision rules in multistage stochastic programming

D. KuhnP. ParpasB. Rustem

Kybernetika. 2008.

Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization

D. KuhnP. ParpasB. Rustem

Computational Methods in Financial Engineering; Berlin: Springer Verlag, 2008. p. 3 - 26.

DOI : 10.1007/978-3-540-77958-2_1.

Aggregation and discretization in multistage stochastic programming

D. Kuhn

Mathematical Programming. 2008. DOI : 10.1007/s10107-006-0048-6.

A Stochastic Programming Approach for QoS-Aware Service Composition

W. WiesemannR. HochreiterD. Kuhn

2008 Eighth IEEE International Symposium on Cluster Computing and the Grid (CCGRID). 2008. 2008 8th IEEE International Symposium on Cluster Computing and the Grid (CCGrid), Lyon, France, 19-22 05 2008. p. 226 - 233. DOI : 10.1109/CCGRID.2008.40.

Stochastic Optimization of Investment Planning Problems in the Electric Power Industry

D. KuhnP. ParpasB. Rustem

Energy Systems Engineering; Weinheim: Wiley-VCH, 2008. p. 215 - 230.

DOI : 10.1002/9783527631292.ch7.

2005

Stochastische Optimierung im Energiehandel: Entscheidungsunterstützung und Bewertung für das Portfoliomanagement

K. FrauendorferJ. GüssowG. HaarbrückerD. Kuhn

2005

Swing-Optionen im Elektrizitätsmarkt – Bewertung und optimale Ausübungsstrategien komplexer Stromderivate

K. FrauendorferG. HaarbrückerK. KiskeD. Kuhn

2005

Numerical Methods to Increase the Value Added

D. Kuhn

2005. Energy Talks Ossiach '05, Ossiach, Austria, April 13-15, 2005.

Generalized Bounds for Convex Multistage Stochastic Programs

D. Kuhn

Berlin: Springer-Verlag, 2005.

DOI : 10.1007/b138260.

2003

Energy Business and Finance Policy - Parallels in Methodology and Duties

K. FrauendorferJ. GüssowD. Kuhn

Forschung im Verbund, Schriftenreihe Band 85. 2003. 4. Internationales Energiesymposium, Fuschl, Salzburger Land, Austria, September 25, 2003. p. 124 - 137.

Doctorant·es actuel·les

Mengmeng Li, Philipp Schneider, Roland Schwan, Ehsan Sharifian, Tianshu Yang, Buse Sen, Jakob Nylöf, Lukas Sebastian Looser

A dirigé les thèses EPFL de

Napat Rujeerapaiboon, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh, Cagil Kocyigit, Kilian Schindler, Dirk Lauinger, Bahar Taskesen, Wouter Jongeneel, Yves Rychener

Paul Adrianus Van Baal

Cours

Convex optimization

MGT-418

Ce cours présente la théorie et l'application de l'optimisation convexe moderne du point de vue de l'ingénierie.

Optimal decision making

MGT-483

Introduction aux méthodes quantitatives du management, à savoir aux outils et concepts d'optimisation et d'analyse de décisions permettant aux directeurs de production, logistique, services, marketing, transport et finance de convertir les données en connaissances utiles à la prise de décisions.