I have published some articles in scientific journals. The subjects
are relatively differents but all publications are related to some
aspects of optimization under uncertainty.
- K. Barty, P. Carpentier
and P. Girardeau.
Decomposition
of large scale stochastic optimal control problems. To appear in RAIRO Operations Research 2010.
- K. Barty, J.-S. Roy and C.Strugarek.
A Stochastic gradient type Algorithm for
closed loop problems. Mathematical
Progamming , vol 119 issue 1, p.51
2009.
- K. Barty, P. Girardeau,
J.-S. Roy and C. Strugarek.
Application of kernel-based
stochastic gradient algorithms to option pricing. Monte Carlo Methods and Applications,
vol 14 No 2, p. 99-127, 2008.
- K. Barty, C. Strugarek.
J.-S. Roy and P. Girardeau.
Q-learning algorithm with continuous
state spaces and finite decision set. Proceedings of
the the 2007 IEEE symposium series on computational intelligence (IEEE
SSCI 2007). Approximate Dynamic Programming and Reinforcement Learning
(ADPRL 2007).
- K. Barty, J.-S. Roy and C. Strugarek.
Hilbert
valued perturbed subgradient algorithms.
Mathematics of Operations Research, vol 32, No 3, August 2007, p.
551-562.
- K. Barty, J.-S. Roy and C. Strugarek.
Un usage de l'approximation stochastique pour l'estimation récursive.
Comptes Rendus de l'Académie des Sciences, serie I 344, 2007
p. 199-204.
- K. Barty, P. Carpentier, J.-P.
Chancelier, G. Cohen, M. De Lara, T. Guilbaud.
Dual
effect free stochastic controls. Annals
of Operations Research, Volume 142, Issue 1, Feb 2006, p. 41-62.
- K. Barty, J.-S. Roy and C. Strugarek.
Temporal difference learning with kernels for pricing american-style options. Optimization Online May 2005.