arXiv subjects

Jean-Philippe Chancelier

Publications and source records attributed to Jean-Philippe Chancelier.

At least 19 recordsLinked to original sources

arXiv2026

A formal proof of the Sands-Sauer-Woodrow theorem using the Rocq prover and mathcomp/ssreflect

We present a formal proof of the Sands-Sauer-Woodrow (SSW) theorem using the Rocq proof assistant and the MathComp/SSReflect library. The SSW theorem states that in a directed graph whose edges are colored with two colors and that contains no monochromatic infinite outward path, there exists an independent set S of vertices such that every vertex outside S can reach S by a monochromatic path. We formalize the graph using two binary relations Eb and Er , representing the blue and red edges respectively, and we develop a dedicated library for binary relations represented as classical sets. Beyond formalizing the original SSW theorem, we establish a strictly stronger version in which the assumption ''no monochromatic infinite outward path'' is replaced by the weaker condition that the asymmetric parts of the transitive closures of Eb and Er admit no infinite outward paths. The original SSW theorem is then recovered as a corollary via a lemma showing that an infinite path for the asymmetric part of the transitive closure of a relation implies an infinite path for the relation.

cs.DM↗

arXiv2025

Optimal Operation and Valuation of Electricity Storages in Intraday Markets

This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our valuations are based on the indifference pricing principle, which builds on optimal trading strategies and calibrates to the user's financial position, market views and risk preferences. The underlying optimization problem is solved with the Stochastic Dual Dynamic Programming algorithm which is applicable to various specifications of storages, and it allows for e.g. hard constraints on storage capacity and charging speed. We illustrate the approach in intraday trading where the agent charges or discharges a battery over a finite number of delivery periods, and the electricity prices are subject to bid-ask spreads and significant uncertainty. Optimal strategies are found in a matter of minutes on a regular PC. We find that the corresponding trading strategies and battery valuations vary consistently with respect to the agent's risk preferences as well as the physical characteristics of the battery.

math.OC↗

arXiv2025

Temporal and Spatial Decomposition for Prospective Studies in Energy Systems under Uncertainty

The increasing penetration of renewable energy requires greater use of storage resources to manage system intermittency. As a result, there is growing interest in evaluating the opportunity cost of stored energy, or usage values, which can be derived by solving a multistage stochastic optimization problem. Stochasticity arises from net demand (the aggregation of demand and non-dispatchable generation), the availability of dispatchable generation, and inflows when the storage facilities considered are hydroelectric dams. We aim to compute these usage values for each market zone of the interconnected European electricity system, in the context of prospective studies currently conducted by RTE, the French TSO. The energy system is mathematically modelled as a directed graph, where nodes represent market zones and arcs represent interconnection links. In large energy systems, spatial complexity (thirty nodes in the system, each with at most one aggregated storage unit) compounds temporal complexity (a one-year horizon modelled with two timescales: weekly subproblems with hourly time steps). This work addresses three main sources of complexity: temporal, spatial, and stochastic. We tackle the multinode multistage stochastic optimisation problem by incorporating a spatio-temporal decomposition scheme. To efficiently compute usage values, we apply Dual Approximate Dynamic Programming (DADP), which enables tractable decomposition across both time and space. This approach yields nodal usage values that depend solely on the local state of each node, independently of the others. We conduct numerical studies on a realistic system composed of thirty nodes (modelling part of Europe) and show that DADP obtains competitive results when comparing with traditional methods like Stochastic Dual Dynamic Programming (SDDP).

math.OC↗

arXiv2025

Low-thrust Interplanetary Trajectories with Missed Thrust Events: a Numerical Approach

The problem under consideration is to drive a spatial vehicle to a target at a given final time while minimizing fuel consumption. This is a classical optimal control problem in a deterministic setting. However temporary stochastic failures of the engine may prevent reaching the target after the engine usage is recovered. Therefore, a stochastic optimal control problem is formulated under the constraint of ensuring a minimal probability of hitting the target. This problem is modeled, improved and finally solved by dualizing the probability constraint and using an Arrow-Hurwicz stochastic algorithm. Numerical results concerning an interplanetary mission are presented.

math.NA↗

arXiv2025

What are Capra-Convex Sets?

This paper focuses on a specific form of abstract convexity known as Capra-convexity, where a constant along primal rays (Capra) coupling replaces the scalar product used in standard convex analysis to define generalized Fenchel conjugacies. A key motivating result is that the ${\ell}$0 pseudonorm - which counts the number of nonzero components in a vector - is equal to its Capra-biconjugate. This implies that ${\ell}$0 is a Capra-convex function, highlighting potential applications in statistics and machine learning, particularly for enforcing sparsity in models. Building on prior work characterizing the Capra-subdifferential of ${\ell}$0 and the role of source norms in defining the Capra-coupling, the paper provides a characterization of Capra-convex sets.

math.OC↗

arXiv2025

Optimal Operation and Valuation of Electricity Storages

This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of storages, and it allows for e.g.\ hard constraints on storage capacity and charging speed. Our valuations are based on the indifference pricing principle, which builds on optimal trading strategies and calibrates to the user's initial position, market views and risk preferences. We illustrate the effects of storage capacity and charging speed by numerically computing the valuations using stochastic dual dynamic programming.

math.OC↗

arXiv2025

A Production Routing Problem with Mobile Inventories

Hydrogen is an energy vector, and one possible way to reduce CO 2 emissions. This paper focuses on a hydrogen transport problem where mobile storage units are moved by trucks between sources to be refilled and destinations to meet demands, involving swap operations upon arrival. This contrasts with existing literature where inventories remain stationary. The objective is to optimize daily routing and refilling schedules of the mobile storages. We model the problem as a flow problem on a time-expanded graph, where each node of the graph is indexed by a time-interval and a location and then, we give an equivalent Mixed Integer Linear Programming (MILP) formulation of the problem. For small to medium-sized instances, this formulation can be efficiently solved using standard MILP solvers. However, for larger instances, the computational complexity increases significantly due to the highly combinatorial nature of the refilling process at the sources. To address this challenge, we propose a two-step heuristic that enhances.

math.OC↗

arXiv2025

A Two-Timescale Decision-Hazard-Decision Formulation for Storage Usage Values Calculation

The penetration of renewable energies requires additional storages to deal with intermittency. Accordingly, there is growing interest in evaluating the opportunity cost (usage value) associated with stored energy in large storages, a cost obtained by solving a multistage stochastic optimization problem. Today, to compute usage values under uncertainties, an adequacy resource problem is solved using stochastic dynamic programming assuming a hazard-decision information structure. This modelling assumes complete knowledge of the coming week uncertainties, which is not adapted to the system operation as the intermittency occurs at smaller timescale. We equip the twotimescale problem with a new information structure considering planning and recourse decisions: decision-hazard-decision. This structure is used to decompose the multistage decision-making process into a nonanticipative planning step in which the on/off decisions for the thermal units are made, and a recourse step in which the power modulation decisions are made once the uncertainties have been disclosed. In a numerical case, we illustrate how usage values are sensitive as how the disclosure of information is modelled.

math.OC↗

arXiv2025

Geometry of Sparsity-Inducing Norms

Sparse optimization seeks an optimal solution with few nonzero entries. To achieve this, it is common to add to the criterion a penalty term proportional to the $\ell_1$-norm, which is recognized as the archetype of sparsity-inducing norms. In this approach, the number of nonzero entries is not controlled a priori. By contrast, in this paper, our motivation is to find an optimal solution with at most~$k$ nonzero coordinates (or for short, $k$-sparse vectors), where $k$ is a given sparsity threshold (or ``sparsity budget''). For this purpose, we study the class of generalized $k$-support dual~norms that arise from any given so-called source norm. When added as a penalty term, we provide conditions under which such generalized $k$-support dual~norms promote $k$-sparse solutions. The result follows from an analysis of the exposed faces of closed convex sets generated by $k$-sparse vectors, and of how primal support identification can be deduced from dual information. Finally, we study some of the geometric properties of the unit balls for the $k$-support dual~norms and their dual norms when the source norm belongs to the family of $\ell_p$-norms. In particular, we show a striking structural property: every proper face of the unit balls for the $k$-support dual~norms is a hypersimplex, i.e., the convex hull of $0/1$-valued points with the same $\ell_0$-norm.

math.OC↗

arXiv2024

A Unified View of Polarity for Functions

We propose a unified view of the polarity of functions, that encompasses all specific definitions, generalizes several well-known properties and provides new results. We show that bipolar sets and bipolar functions are isomorphic lattices. Also, we explore three possible notions of polar subdifferential associated with a nonnegative function, and we make the connection with the notion of alignement of vectors.

math.OC↗

arXiv2024

Multistage stochastic optimization of a mono-site hydrogen infrastructure by decomposition techniques

The development of hydrogen infrastructures requires to reduce their costs. In this paper, we develop a multistage stochastic optimization model for the management of a hydrogen infrastructure which consists of an electrolyser, a compressor and a storage to serve a transportation demand. This infrastructure is powered by three different sources: on-site photovoltaic panels (PV), renewable energy through a power purchase agreement (PPA) and the power grid. We consider uncertainties affecting on-site photovoltaic production and hydrogen demand. Renewable energy sources are emphasized in the hydrogen production process to ensure eligibility for a subsidy, which is awarded if the proportion of nonrenewable electricity usage stays under a predetermined threshold. We solve the multistage stochastic optimization problem using a decomposition method based on Lagrange duality. The numerical results indicate that the solution to this problem, formulated as a policy, achieves a small duality gap, thus proving the effectiveness of this approach.

math.OC↗

arXiv2024

Learning with Fitzpatrick Losses

Fenchel-Young losses are a family of convex loss functions, encompassing the squared, logistic and sparsemax losses, among others. Each Fenchel-Young loss is implicitly associated with a link function, for mapping model outputs to predictions. For instance, the logistic loss is associated with the soft argmax link function. Can we build new loss functions associated with the same link function as Fenchel-Young losses? In this paper, we introduce Fitzpatrick losses, a new family of convex loss functions based on the Fitzpatrick function. A well-known theoretical tool in maximal monotone operator theory, the Fitzpatrick function naturally leads to a refined Fenchel-Young inequality, making Fitzpatrick losses tighter than Fenchel-Young losses, while maintaining the same link function for prediction. As an example, we introduce the Fitzpatrick logistic loss and the Fitzpatrick sparsemax loss, counterparts of the logistic and the sparsemax losses. This yields two new tighter losses associated with the soft argmax and the sparse argmax, two of the most ubiquitous output layers used in machine learning. We study in details the properties of Fitzpatrick losses and in particular, we show that they can be seen as Fenchel-Young losses using a modified, target-dependent generating function. We demonstrate the effectiveness of Fitzpatrick losses for label proportion estimation.

stat.ML↗

arXiv2024

Decomposition-Coordination Method for Finite Horizon Bandit Problems

Optimally solving a multi-armed bandit problem suffers the curse of dimensionality. Indeed, resorting to dynamic programming leads to an exponential growth of computing time, as the number of arms and the horizon increase. We introduce a decompositioncoordination heuristic, DeCo, that turns the initial problem into parallelly coordinated one-armed bandit problems. As a consequence, we obtain a computing time which is essentially linear in the number of arms. In addition, the decomposition provides a theoretical lower bound on the regret. For the two-armed bandit case, dynamic programming provides the exact solution, which is almost matched by the DeCo heuristic. Moreover, in numerical simulations with up to 100 rounds and 20 arms, DeCo outperforms classic algorithms (Thompson sampling and Kullback-Leibler upper-confidence bound) and almost matches the theoretical lower bound on the regret for 20 arms.

math.OC↗

arXiv2024

Conditional Separation as a Binary Relation. A Coq Assisted Proof

The concept of d-separation holds a pivotal role in causality theory, serving as a fundamental tool for deriving conditional independence properties from causal graphs. Pearl defined the d-separation of two subsets conditionally on a third one. In this study, we present a novel perspective by showing i) how the d-separation can be extended beyond acyclic graphs, possibly infinite, and ii) how it can be expressed and characterized as a binary relation between vertices. Compared to the typical perspectives in causality theory, our equivalence opens the door to more compact and computational proofing techniques, because the language of binary relations is well adapted to equational reasoning. Additionally, and of independent interest, the proofs of the results presented in this paper are checked with the Coq proof assistant.

cs.DM↗

arXiv2023

Time Blocks Decomposition of Multistage Stochastic Optimization Problems

Multistage stochastic optimization problems are, by essence, complex as their solutions are indexed both by stages and by uncertainties. Their large scale nature makes decomposition methods appealing, like dynamic programming which is a sequential decomposition using a state variable defined at all stages. In this paper, we introduce the notion of state reduction by time blocks, that is, at stages that are not necessarily all the original stages. Then, we prove a reduced dynamic programming equation. We position our result with respect to the most well-known mathematical frameworks for dynamic programming. We illustrate our contribution by showing its potential for applied problems with two time scales.

math.OC↗

arXiv2023

Decomposition Methods for Dynamically Monotone Two-Time-Scale Stochastic Optimization Problems

In energy management, it is common that strategic investment decisions (storage capacity, production units) are made at a slow time scale, whereas operational decisions (storage, production) are made at a fast time scale: for such problems, the total number of decision stages may be huge. In this paper, we consider multistage stochastic optimization problems with two time-scales, and we propose a time block decomposition scheme to address them numerically. More precisely, our approach relies on two assumptions. On the one hand, we suppose slow time scale stagewise independence of the noise process: the random variables that occur during a slow time scale interval are independent of those at another slow time scale interval. This makes it possible to use Dynamic Programming at the slow time scale. On the other hand, we suppose a dynamically monotone property for the problem under consideration, which makes it possible to obtain bounds. Then, we present two algorithmic methods to compute upper and lower bounds for slow time scale Bellman value functions. Both methods rely respectively on primal and dual decomposition of the Bellman equation applied at the slow time scale. We assess the methods tractability and validate their efficiency by solving a battery management problem where the fast time scale operational decisions have an impact on the storage current capacity, hence on the strategic decisions to renew the battery at the slow time scale.

math.OC↗

arXiv2023

Rank-Based Norms, Capra-Conjugacies and the Rank Function

We consider the space of matrices, with given number of rows and of columns, equipped with the classic trace scalar product. With any matrix (source) norm, we associate a coupling, called Capra, between the space of matrices and itself. Then, we compute the Capra conjugate and biconjugate of the rank function. They are expressed in function of a sequence of rank-based norms, more precisely generalized r-rank and dual r-rank matrix norms associated with the matrix source norm. We deduce a lower bound of the rank function given by a variational formula which involves the generalized r-rank norms. In the case of the Frobenius norm, we show that the rank function is equal to the variational formula.

math.OC↗

arXiv2023

Contributions on complexity bounds for Deterministic Partially Observed Markov Decision Process

Markov Decision Processes (Mdps) form a versatile framework used to model a wide range of optimization problems. The Mdp model consists of sets of states, actions, time steps, rewards, and probability transitions. When in a given state and at a given time, the decision maker's action generates a reward and determines the state at the next time step according to the probability transition function. However, Mdps assume that the decision maker knows the state of the controlled dynamical system. Hence, when one needs to optimize controlled dynamical systems under partial observation, one often turns toward the formalism of Partially Observed Markov Decision Processes (Pomdp). Pomdps are often untractable in the general case as Dynamic Programming suffers from the curse of dimensionality. Instead of focusing on the general Pomdps, we present a subclass where transitions and observations mappings are deterministic: Deterministic Partially Observed Markov Decision Processes (Det-Pomdp). That subclass of problems has been studied by (Littman, 1996) and (Bonet, 2009). It was first considered as a limit case of Pomdps by Littman, mainly used to illustrate the complexity of Pomdps when considering as few sources of uncertainties as possible. In this paper, we improve on Littman's complexity bounds. We then introduce and study an even simpler class: Separated Det-Pomdps and give some new complexity bounds for this class. This new class of problems uses a property of the dynamics and observation to push back the curse of dimensionality.

math.OC↗