Jean-Philippe Argaud

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Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe uncertainty – ignorance – due to model uncertainty. In this paper, we show how to find the best portfolios by adapting the standard risk-return criterion for portfolio selection to(More)
This paper addresses the problem of market risk management for a company in the electricity industry. When dealing with corporate volumetric exposure, there is a need for a methodology that helps to manage the aggregate risks in energy markets. The originality of the approach presented lies in the use of intervals to formulate a specific portfolio(More)
Weapply a data assimilation technique, inspired frommeteorological applications, to perform an optimal reconstruction of the neutronic activity field in a nuclear core. Both measurements and information coming from a numerical model are used. We first study the robustness of the method when the amount of measured information decreases. We then study the(More)
The global activity fields of a nuclear core can be reconstructed using data assimilation. Data assimilation allows to combine measurements from instruments, and information from a model, to evaluate the best possible activity within the core. We present and apply a specific procedure which evaluates this influence by adding or removing instruments in a(More)
Data assimilation method consists in combining all available pieces of information about a system to obtain optimal estimates of initial states. The different sources of information are weighted according to their accuracy by the means of error covariance matrices. Our purpose here is to evaluate the efficiency of variational data assimilation for the xenon(More)
The Empirical Interpolation Method (EIM) and its generalized version (GEIM) can be used to approximate a physical system by combining data measured from the system itself and a reduced model representing the underlying physics. In presence of noise, the good properties of the approach are blurred in the sense that the approximation error no longer converges(More)
Throughout its industrial activity, and particularly in the field of structural vibrations, French electricity producer EDF faces dimensioning, monitoring and diagnosis problems. Experimental information is often combined with numerical simulations to complete the a priori knowledge of structural behavior needed to address industrial issues. Vibration(More)
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