Publications

2023

• Unbiasing and robustifying implied volatility calibration in a cryptocurrency market with large bid-ask spreads and missing quotes
  
  • Echenim Mnacho
  • Gobet Emmanuel
  • Maurice Anne-Claire
  Quantitative Finance, Taylor & Francis (Routledge), 2023, 23 (9), pp.1285-1304. (10.1080/14697688.2023.2229022)
  DOI : 10.1080/14697688.2023.2229022
• Orthogonal directions constrained gradient method: from non-linear equality constraints to stiefel manifold
  
  • Schechtman Sholom
  • Tiapkin Daniil
  • Muehlebach Michael
  • Moulines Éric
  , 2023, 195, pp.1228--1258.
• Benchmarking CMA-ES with Basic Integer Handling on a Mixed-Integer Test Problem Suite
  
  • Marty Tristan
  • Semet Yann
  • Auger Anne
  • Héron Sébastien
  • Hansen Nikolaus
  , 2023, pp.1628-1635. (10.1145/3583133.3596411)
  DOI : 10.1145/3583133.3596411
• An Introduction to Scientific Experimentation and Benchmarking
  
  • Auger Anne
  • Hansen Nikolaus
  , 2023, pp.854-877. (10.1145/3583133.3595064)
  DOI : 10.1145/3583133.3595064
• CMA-ES and Advanced Adaptation Mechanisms
  
  • Akimoto Youhei
  • Hansen Nikolaus
  , 2023, pp.1157-1182. (10.1145/3583133.3595054)
  DOI : 10.1145/3583133.3595054
• GECCO 2023 Tutorial on Benchmarking Multiobjective Optimizers 2.0
  
  • Brockhoff Dimo
  • Tusar Tea
  , 2023, pp.1183-1212. (10.1145/2598394.2605339)
  DOI : 10.1145/2598394.2605339
• Comparing Boundary Handling Techniques of CMA-ES on the bbob and sbox-cost Test Suites
  
  • Brockhoff Dimo
  , 2023, pp.2318-2325. (10.1145/3583133.3596413)
  DOI : 10.1145/3583133.3596413
• Benchmarking the Borg algorithm on the Biobjective bbob-biobj Testbed
  
  • Brockhoff Dimo
  • Capetillo Pascal
  • Hornewall Jonathan
  • Walker Raphael
  , 2023, pp.1587-1594. (10.1145/3583133.3596386)
  DOI : 10.1145/3583133.3596386
• Evaluation of the impact of various modifications to CMA-ES that facilitate its theoretical analysis
  
  • Gissler Armand
  , 2023. (10.1145/3583133.3596329)
  DOI : 10.1145/3583133.3596329
• Multiobjective optimization with a quadratic surrogate-assisted CMA-ES
  
  • Gharafi Mohamed
  • Hansen Nikolaus
  • Brockhoff Dimo
  • Le Riche Rodolphe
  , 2023. (10.1145/3583131.3590492)
  DOI : 10.1145/3583131.3590492
• Weak approximations and VIX option price expansions in forward variance curve models
  
  • Bourgey F.
  • Gobet Emmanuel
  • de Marco S.
  Quantitative Finance, Taylor & Francis (Routledge), 2023, 23 (9), pp.1259-1283. (10.1080/14697688.2023.2227230)
  DOI : 10.1080/14697688.2023.2227230
• An Adaptive Multi-Level Max-Plus Method for Deterministic Optimal Control Problems
  
  • Akian Marianne
  • Gaubert Stéphane
  • Liu Shanqing
  , 2023.
• Bayesian calibration of a finite-rate nitridation model from molecular beam and plasma wind tunnel experiments
  
  • Capriati Michele
  • del Val Anabel
  • Schwartzentruber Thomas E
  • Minton Timothy K
  • Congedo Pietro Marco
  • Magin Thierry E
  , 2023. (10.13009/EUCASS2023-897)
  DOI : 10.13009/EUCASS2023-897
• Structures arborescentes aléatoires
  
  • Bellin Etienne
  , 2023.
• Wasserstein medians: robustness, PDE characterization and numerics
  
  • Carlier Guillaume
  • Chenchene Enis
  • Eichinger Katharina
  , 2023.
• Ambitropical geometry, hyperconvexity and zero-sum games
  
  • Akian Marianne
  • Gaubert Stéphane
  • Vannucci Sara
  , 2023.
• Connections between reference prior theory and global sensitivity analysis, an illustration with $f$-divergences
  
  • Van Biesbroeck Antoine
  • Gauchy Clément
  • Garnier Josselin
  • Feau Cyril
  , 2023.
• Optimal monetary policy in an estimated SIR model
  
  • Benmir Ghassane
  • Jaccard Ivan
  • Vermandel Gauthier
  European Economic Review, Elsevier, 2023, 156, pp.104502. (10.1016/j.euroecorev.2023.104502)
  DOI : 10.1016/j.euroecorev.2023.104502
• Results on the Spectral Stability of Standing Wave Solutions of the Soler Model in 1-D
  
  • Aldunate Danko
  • Ricaud Julien
  • Stockmeyer Edgardo
  • van den Bosch Hanne
  Communications in Mathematical Physics, Springer Verlag, 2023, 401 (1), pp.227--273. (10.1007/s00220-023-04646-4)
  DOI : 10.1007/s00220-023-04646-4
• Wind power predictions from nowcasts to 4-hour forecasts: a learning approach with variable selection
  
  • Bouche Dimitri
  • Flamary Rémi
  • D’alché-Buc Florence
  • Plougonven Riwal
  • Clausel Marianne
  • Badosa Jordi
  • Drobinski Philippe
  Renewable Energy, Elsevier, 2023, 211, pp.938-947. (10.1016/j.renene.2023.05.005)
  DOI : 10.1016/j.renene.2023.05.005
• Accessibility constraints in structural optimization via distance functions
  
  • Allaire Grégoire
  • Bihr Martin
  • Bogosel Beniamin
  • Godoy Matías
  Journal of Computational Physics, Elsevier, 2023, 484, pp.112083. (10.1016/j.jcp.2023.112083)
  DOI : 10.1016/j.jcp.2023.112083
• Error estimates of a theta-scheme for second-order mean field games
  
  • Bonnans Joseph Frédéric
  • Liu Kang
  • Pfeiffer Laurent
  ESAIM: Mathematical Modelling and Numerical Analysis, Société de Mathématiques Appliquées et Industrielles (SMAI) / EDP, 2023, 57 (4), pp.2493-2528. (10.1051/m2an/2023059)
  DOI : 10.1051/m2an/2023059
• A second-order accurate numerical scheme for a time-fractional Fokker–Planck equation
  
  • Mustapha Kassem
  • Knio Omar
  • Le Maître Olivier
  IMA Journal of Numerical Analysis, Oxford University Press (OUP), 2023. (10.1093/imanum/drac031)
  DOI : 10.1093/imanum/drac031
• Entropic Fictitious Play for Mean Field Optimization Problem
  
  • Chen Fan
  • Ren Zhenjie
  • Wang Songbo
  Journal of Machine Learning Research, Microtome Publishing, 2023, 24, pp.no. 211.
• Analysis of Stochastic Algorithms for Sampling and Riemannian Approximation
  
  • Jiménez Pablo
  , 2023.