Francois Margot

Carnegie Mellon University - David A. Tepper School of Business

5000 Forbes Avenue

Pittsburgh, PA 15213-3890

United States

SCHOLARLY PAPERS

5

DOWNLOADS

132

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (5)

1.

Chance-Constrained Programming with Decision-Dependent Uncertainty

Number of pages: 44 Posted: 14 Jul 2018 Last Revised: 10 Mar 2019
George Washington University, Carnegie Mellon University - David A. Tepper School of Business and Universidade Federal do Rio Grande do Sul (UFRGS) - Escola de Administracao
Downloads 79 (314,255)

Abstract:

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Decision-Dependent Uncertainty, Service Sector, Coupling Function, Chance Constraint, Multiterm Polynomial Relaxation, Mixed-Integer Nonlinear Problem, Nonlinear Branch-and- Bound

2.

Aeromedical Battlefield Evacuation Under Endogenous Uncertainty in Casualty Delivery Times

Management Science, Forthcoming, DOI: full/10.1287/mnsc.2017.2894
Number of pages: 31 Posted: 27 Nov 2016 Last Revised: 28 Jun 2018
Miguel Lejeune and Francois Margot
George Washington University and Carnegie Mellon University - David A. Tepper School of Business
Downloads 53 (386,798)

Abstract:

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MEDEVAC, Military Trauma Care, Endogenous Uncertainty, Mixed-Integer Nonlinear Programming, Spatial Branch-and-Bound Algorithm, Relaxation and Restriction Problems

3.

Relaxations of Approximate Linear Programs for the Real Option Management of Commodity Storage

Management Science, 2015
Posted: 19 Sep 2014 Last Revised: 04 Aug 2015
Selvaprabu Nadarajah, Francois Margot and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Abstract:

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4.

Comparison of Least Squares Monte Carlo Methods with Applications to Energy Real Options

European Journal of Operational Research, 256, 1, 196-204, 2017
Posted: 26 Aug 2014 Last Revised: 21 Sep 2018
Selvaprabu Nadarajah, Francois Margot and Nicola Secomandi
University of Illinois at Chicago - College of Business Administration, Carnegie Mellon University - David A. Tepper School of Business and Carnegie Mellon University - David A. Tepper School of Business

Abstract:

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5.

Merchant Commodity Storage and Term-Structure Model Error

Manufacturing & Service Operations Management, 17(3), 302–320
Posted: 14 Sep 2012 Last Revised: 24 Aug 2015
Carnegie Mellon University - David A. Tepper School of Business, University of Texas at Austin - Red McCombs School of Business, Carnegie Mellon University - David A. Tepper School of Business, Carnegie Mellon University and Carnegie Mellon University - David A. Tepper School of Business

Abstract:

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Commodities, real options, natural gas storage, model error, delta hedging, futures term structure