International scientific journal awards study by FGV professor
The Charles Broyden award was established in 2009 by the Optimization Methods and Software Magazine Journal.
FGV School of Applied Mathematics (FGV EMAp) professor Vincent Guigues won the 2017 Charles Broyden award for best paper from the Optimization Methods and Software Magazine Journal for his paper, titled “Non-asymptotic confidence bounds for the optimal value of a stochastic program”.
The paper, co-authored with professors Anatoli Juditsky and Arkadi Nemirovski, discusses a general approach to build non-asymptotic confidence bounds for stochastic optimization problems. The main contribution of the study is the observation that an Approximation by the Sample Mean of a problem provides upper and lower bounds for the optimal value of the problem, which are essentially better than the quality of the corresponding optimal solutions. At the same time, such bounds are more reliable than the “standard” confidence bounds obtained by an asymptotic approach. It also discusses the determination of quotas for a MinMax stochastic optimization problem with constraints. The work ends with a numerical study illustrating the behavior of the proposed quotas.
The Charles Broyden award was established in 2009 by the journal’s Editorial Board. It is awarded annually to the best paper published in the journal in the previous year, with a cash prize and promotion of the winning paper, which is available free of charge.
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