CV

Education

• Ph.D in Mathematics, Université Paris-Sud, 2012
• Double diploma in Applied Mathematics, Universidade Federal do Rio de Janeiro, 2010
• M.Sc in Mathematics, École polytechnique & Université Paris-Sud, 2009
• Ingénieur Polytechnicien, École polytechnique, 2009
• 2 years of B.Sc program in Electrical Engineering, Universidade Federal do Rio de Janeiro, before going to École polytechnique, 2003-2005

Positions

• Since 2024: Associate Professor
  • School of Applied Mathematics, Getulio Vargas Foundation (FGV EMAp), Rio de Janeiro, Brazil
  • Research: Stochastic Optimization; Optimization and Machine Learning;
  • Courses: Measure Theory; Numerical Linear Algebra
• 2023-2024: Visiting Professor
  • School of Applied Mathematics, Getulio Vargas Foundation (FGV EMAp), Rio de Janeiro, Brazil
  • Research: Stochastic optimization, Optimization and Machine Learning
  • Courses: Measure Theory
• Spring and Summer 2019: Visiting Professor
  • Industrial and Systems Engineering, Georgia Institute of Technology, Atlanta, GA, USA
  • Research: Stochastic optimization
• 2013-2023: Professor Adjunto
  • Departamento de Matemática Aplicada, Instituto de Matemática, Universidade Federal do Rio de Janeiro (UFRJ)
  • Research: Complex analysis, Convex optimization, Stochastic processes
  • Courses: Calculus, Scientific Computing, Complex Analysis, Optimization, Concrete Mathematics, Python programming, Advanced optimization
• 2012-2013: Visiting Assistant Professor
  • Purdue University, West Lafayette, IN, EUA
  • Research: Brody curves in complex geometry
  • Courses: Differential Equations and Linear Algebra

Publications

Multiscale Stochastic Control With Domain Restriction in the Slow Variable

Anderson de Oliveira Calixto, Bernardo Freitas Paulo da Costa & Glauco Valle. Multiscale Stochastic Control With Domain Restriction in the Slow Variable. Journal of Optimization Theory and Applications 209, 54 (2026). https://doi.org/10.1007/s10957-026-03001-6

Get rid of your constraints and reparametrize: A study in NNLS and implicit bias

Hung-Hsu Chou, Johannes Maly, Claudio Mayrink Verdun, Bernardo Freitas Paulo da Costa, Heudson Mirandola. "Get rid of your constraints and reparametrize: A study in NNLS and implicit bias". In: Proceedings of The 28th International Conference on Artificial Intelligence and Statistics, 2025.

O Dilema na Alocação de Energia Firme: Vazões Totais contra Incrementais em Cascatas Hidrelétricas

Rafael Benchimol Klausner, Joaquim Dias Garcia, Bernardo Freitas Paulo da Costa, Alexandre Street, Sérgio Granville. "O Dilema na Alocação de Energia Firme: Vazões Totais contra Incrementais em Cascatas Hidrelétricas". In: Anais do LVI Simpósio Brasileiro de Pesquisa Operacional, 2024, Fortaleza.

Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems

L Merabet, BFP da Costa, V Leclere. "Policy with guaranteed risk-adjusted performance for multistage stochastic linear problems". Computational Management Science 21 (2024), no. 2, p. 43.

Boundary Conditions for Hydrothermal Operation Planning Problems: The Infinite Horizon Approach

BFP da Costa et al. "Boundary Conditions for Hydrothermal Operation Planning Problems: The Infinite Horizon Approach". XLIII Congresso Nacional de Matemática Aplicada e Computacional, Porto de Galinhas, PE, 16–20 Setembro 2024.

Risk budgeting portfolios from simulations

B. Freitas Paulo da Costa, Silvana M. Pesenti, Rodrigo S. Targino. "Risk budgeting portfolios from simulations". European Journal of Operational Research, 311(3), 2023, 1040-1056.

Reaction–Diffusion Models for a Class of Infinite-Dimensional Nonlinear Stochastic Differential Equations

C. da Costa, B. Freitas Paulo da Costa, D. Valesin. "Reaction–Diffusion Models for a Class of Infinite-Dimensional Nonlinear Stochastic Differential Equations". Journal of Theoretical Probability, 36(2), 2023, 1059-1087.

Dual SDDP for risk-averse multistage stochastic programs

B. F. P. da Costa, V. Leclere. "Dual SDDP for risk-averse multistage stochastic programs". Operations Research Letters, 51(3), 2023, 332-337.

Stochastic Lipschitz dynamic programming

S. Ahmed, F. G. Cabral, B. F. P. da Costa. "Stochastic Lipschitz dynamic programming". Mathematical Programming, 191, 2022, 755-793.

Reaction–Diffusion models: From particle systems to SDE’s

C. da Costa, B. F. P. da Costa, M. Jara. "Reaction–Diffusion models: From particle systems to SDE's". Stochastic Processes and their Applications 129 (2019), no. 11, p. 4411-4430.

Deux exemples sur la dimension moyenne d’un espace de courbes de Brody

Bernardo Freitas Paulo da Costa. "Deux exemples sur la dimension moyenne d'un espace de courbes de Brody." Annales de l'Institut Fourier. 63(6), 2013, p. 2223-2237.

Sur les courbes de Brody dans P^n(C)

B. F. P. Da Costa, J. Duval. "Sur les courbes de Brody dans $P^n(\mathbf C)$". Mathematische Annalen 355 (2013), no. 4, p. 1593-1600.

Talks

Minicourse on Markowitz and Risk Budgeting portfolios

December 08, 2024

Minicourse at 19th Research in Options, Fundação Getulio Vargas, Rio de Janeiro, RJ

Deterministic Upper Bounds for Risk-averse Multistage Stochastic Programs

October 18, 2022

Conference talk at INFORMS Annual Meeting, Indianapolis, USA

Risk Budgeting Portfolios from Simulations

March 24, 2022

Seminar at Decision, Algorithms and Geometry Seminar – École des Ponts, France

Non-convexity measures

March 03, 2020

Seminar at CERMICS Seminar – École des Ponts, France

Stochastic Lipschitz Dynamic Programming

August 01, 2019

Talk at International Conference on Stochastic Programming, NTNU, Trondheim, Norway

Using disjunctive programming to represent Risk Aversion policies

July 04, 2018

Conference talk at International Symposium on Mathematical Programming, Bordeaux, France

Teaching

FGV

UFRJ

Service and leadership

• Member of the Committee for Stochastic Programming (COSP) of the Mathematical Optimization Society (MOS), for 2025-2028
• Organizer of the 8th International Conference on Hydropower Scheduling in Competitive Electricity Markets, FGV-EMAp, 2025
• Organizer of the Torneio Carioca de matemática, 2015