Published in Computational Management Science, 2024
Dual bounds and policy approximation for multistage stochastic linear problems.
Recommended citation: 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.
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Published in European Journal of Operational Research, 2023
Algorithms for building risk budgeting portfolios from simulations of returns with coherent risk measures, such as Expected Shortfall.
Recommended citation: 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.
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Published in Journal of Theoretical Probability, 2023
We extend the construction of reaction–diffusion models to provide scaling limits as SDEs in infinite graphs.
Recommended citation: 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.
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Published in Operations Research Letters, 2023
Dual SDDP and deterministic upper bounds for risk-averse multistage stochastic programs.
Recommended citation: B. F. P. da Costa, V. Leclere. "Dual SDDP for risk-averse multistage stochastic programs". Operations Research Letters, 51(3), 2023, 332-337.
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Published in Mathematical Programming, 2020
Non-convex approximation of the cost-to-go functions in multistage stochastic mixed integer linear programming.
Recommended citation: S. Ahmed, F. G. Cabral, B. F. P. da Costa. "Stochastic Lipschitz dynamic programming". Mathematical Programming, 191, 2022, 755-793.
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Published in Stochastic Processes and their Applications, 2019
A construction of a family of Reaction–Diffusion models that converge after scaling to the solution to a non-linear V-dimensional SDE.
Recommended citation: 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.
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Published in Annales de l'Institut Fourier, 2013
Mean dimension of the space of Brody curves in (a) Hopf surfaces and (b) P2 minus a line.
Recommended citation: 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.
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Published in Mathematische Annalen, 2012
Nevanlinna theory and defect relations for Brody curves in projective spaces.
Recommended citation: 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.
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Published in LVI Simpósio Brasileiro de Pesquisa Operacional, 2024
Uma discussão sobre a definição de Energia Firme de usinas hidrelétricas em cascata, do ponto de vista da teoria dos jogos.
Recommended citation: 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.
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Published in XLIII Congresso Nacional de Matemática Aplicada e Computacional, 2024
Using periodic models to improve the long-term planning of hydrothermal operation and inform expansion planning.
Recommended citation: 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.
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