Corps professoral

Bernardo PAGNONCELLI

Professeur

Recherche opérationnel, Optimisation, Mesures de risque, Programation dynamique, Optimisation stocastique, Simulation

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Bernardo PAGNONCELLI

Académie

Digitalisation

Centre de recherche

SKEMA Centre for Analytics and Management Science

Localisation

Lille

Discipline

Analytics Information & Operations
Formation
2009
Ph.D. in Mathematics, Pontifical Catholic University of Rio de Janeiro, Brésil
2004
MSc in Applied Mathematics, Pontifical Catholic University of Rio de Janeiro, Brésil
2002
Bachelor of Science, Sciences, Mathématiques, Pontifical Catholic University of Rio de Janeiro, Brésil
Expérience professionnelle
Positions académiques principales
Depuis 2024
Professeur, SKEMA Business School, France
2021 - 2023
Associate Professor, SKEMA Business School, France
2015 - 2020
Associate Professor, Business School, Universidad Adolfo Ibáñez, Chili
2009 - 2014
Professeur assistant, Business School, Universidad Adolfo Ibáñez, Chili
Contrats de recherche, prix et distinctions
Prix et distinctions
2022
Most Productive Scholar Award, SKEMA Business School, France
2021
Meilleur Professeur MBA International Program 2021, Business School, Universidad Adolfo Ibáñez, Chili
2019
Best Researcher Award, Universidad Adolfo Ibanez
2018
Patrick and Amy McCarter Fellow in Residence at IEMS, Northwestern University, Northwestern University, Etats-Unis d'Amérique
2018
Best Professor Award in the MBA International Program, Universidad Adolfo Ibanez
2015
Reimagine Education Awards - category Presence Learning, GameLab, Chili
2015
Meilleur chercheur, Business School, Universidad Adolfo Ibáñez, Chili
2015
Meilleur Professeur - MBA International Program,, Business School, Universidad Adolfo Ibáñez, Chili
2007
Fellowship from a Brazilian Governmental Agency (CAPES) to spend 1 year as an exchange Ph.D. student at the ISYE Department at Georgia Tech,, CAPES, Brésil
2005
Fellowship at the Ph.D. program at the Department of Mathematics of PUC-Rio provided by FUNENSEG (private actuarial institution),, Pontifical Catholic University of Rio de Janeiro, Brésil
Contrats de recherche
2023
PGMO: Modeling risk aversion in multi-stage stochastic lot-sizing problems, France
2023
PGMO: Strategic Bidding in Price Coupling Regions: risk and uncertainty, France
2021
Combining Prediction And Stochastic Optimization: New Methods In Prescriptive Analytics, ANID, Chili
2018
Production maximization of oil in off-shore platforms that use gas-lift, Petrobras, Brésil
2017
Optimization, Games and Renewable Energy, EDF, France
2017
Large scale optimization and uncertainty: Challenges in Strategic Mine Planning. An interdisciplinary approach (, ANID, France
2014
Centralized versus Decentralized Energy Management in a Stochastic Setting, EDF, France
2013
Multistage stochastic optimization applied to finance and mining, ANID, Chili
2013
PGMO - Latin America Stochastic Optimization Network, EDF, France
2012
Models and Strategies for Multi-Stage Stochastic Programs with Risk Control, ANID, Chili
2012
PGMO - Latin America Stochastic Optimization Network, EDF, France
2011
Mathematical Modeling for Industrial and Management Sci- ence Applications: An Interdisciplinary Approach., ANID, Chili
Autres activités de recherche
Editeur associé d'une revue
Depuis 2023
INFOR
Supervision de thèses
Depuis 2022
D. JIMENEZ, SKEMA Business School, Doctorat, Directeur de thèse
Depuis 2022
M. WAGA, Pontifical Catholic University of Rio de Janeiro, Doctorat, Co-directeur de thèse
2024
T. GUTIÉRREZ, Pontifical Catholic University of Rio de Janeiro, Doctorat, Co-directeur de thèse
2022
C. VESSAIRE, Doctorat, Rapporteur
2021
P. LAMAS, Business School, Universidad Adolfo Ibáñez, Doctorat, Directeur de thèse
2019
G. CANESSA, Business School, Universidad Adolfo Ibáñez, Doctorat, Directeur de thèse
2018
S. ARPON, Business School, Universidad Adolfo Ibáñez, Doctorat, Directeur de thèse

Articles académiques revus

KHATAMI, M., SILVA, T., PAGNONCELLI, B. et NTAIMO, L. (2024). Risk-Averse Multistage Stochastic Programs with Expected Conditional Risk Measures. Computers & Operations Research, 172(106802).
PARAB, P., NTAIMO, L. et PAGNONCELLI, B. (2024). Stochastic Decomposition for Risk-Averse Two-Stage Stochastic Linear Programs. Journal of Global Optimization.
PAGNONCELLI, B., HOMEM-DE-MELLO, T., CASTAÑEDA, P., LAGOS, G. et GARCÍA, J. (2024). Solving constrained consumption-investment problems by decomposition algorithms. European Journal of Operational Research, 319(1), pp. 292-302.
KESLIN, G., NELSON, B., PAGNONCELLI, B., PLUMLEE, M. et RAHIMIAN, H. (2024). Ranking and Contextual Selection. Operations Research.
LAMAS, P., GOYCOOLEA, M., PAGNONCELLI, B. et NEWMAN, A. (2024). A target-time-windows technique for project scheduling under uncertainty. European Journal of Operational Research, 314(2), pp. 792-806.
RAHIMIAN, H. et PAGNONCELLI, B. (2023). Data-Driven Approximation of Contextual Chance-Constrained Stochastic Programs. SIAM Journal on Optimization, 33(3), pp. 2248 - 2274.
PAGNONCELLI, B., REDROBAN, S. et CIFUENTES, A. (2023). A Useful (But Painful) Risk-Management Lesson from the Chilean Pension System. The Journal of Retirement, 11(1), pp. 74 - 83.
PAGNONCELLI, B., RAMÍREZ, D., RAHIMIAN, H. et CIFUENTES, A. (2023). A Synthetic Data-Plus-Features Driven Approach for Portfolio Optimization. Computational Economics, 62, pp. 187-204.
DOWSON, O., MORTON, D. et PAGNONCELLI, B. (2022). Incorporating convex risk measures into multistage stochastic programming algorithms. Annals of Operations Research.
PIAZZA, A., PAGNONCELLI, B. et NTAIMO, L. (2022). What is the optimal cutoff surface for ore bodies with more than one mineral? Operations Research Letters, 50(2), pp. 137-144.
PAGNONCELLI, B., CANESSA, G. et MORENO, E. (2021). The risk-averse ultimate pit problem. Optimization and Engineering, 22, pp. 2655-2678.
NESBITT, P., BLAKE, L.R., LAMAS, P., GOYCOOLEA, M., PAGNONCELLI, B., NEWMAN, A. et BRICKEY, A. (2021). Underground mine scheduling under uncertainty. European Journal of Operational Research, 294(1), pp. 340-352.
ANDRÉ, R., GAMBOA, C., VALLADAO, D. et PAGNONCELLI, B. (2021). A Robust Short-Term Oil Production under a Bow-Tie Uncertainty Set for the Gas Lift Performance Curve. SPE Journal, pp. 1-13.
PAGNONCELLI, B., PATRICIO, L., MARCOS, A. et PIAZZA, A. (2021). Lane's Algorithm Revisited. Management Science, 67(5), pp. 2657-3320.
PAGNONCELLI, B., DUQUE, D. et MORTON, D. (2021). How good are default investment policies in defined contribution pension plans? Journal of Pension Economics and Finance, 20(2), pp. 252-272.
PAGNONCELLI, B., DEL CANTO, F. et CIFUENTES, A. (2021). The effect of regularization in portfolio selection problems. TOP- An Official Journal of the Spanish Society of Statistics and Operations Research, 29, pp. 156-176.
PAGNONCELLI, B. et CIFUENTES, A. (2020). Molecular biology and economics: a few funerals are needed. Journal of Portfolio Management, 46(7), pp. 5-7.
DOWSON, O., MORTON, D. et PAGNONCELLI, B. (2020). Partially observable multistage stochastic optimization. Operations Research Letters, 48(4), pp. 505-512.
ARPON, S., HOMEM-DE-MELLO, T. et PAGNONCELLI, B. (2020). An ADMM algorithm for two-stage stochastic programming problems. Annals of Operations Research, 286, pp. 559-582.
PAGNONCELLI, B., GAMBOA, C., SILVA, T. et VALLADAO, D. (2020). A stochastic optimization model for short-term production of offshore oil platforms with satellite wells using gas lift. TOP- An Official Journal of the Spanish Society of Statistics and Operations Research, 28, pp. 549-574.
DELGADO, F., TRINCADO, R. et PAGNONCELLI, B. (2019). A multistage stochastic programming model for the network air cargo allocation under capacity uncertainty. Transportation Research - Part E: Logistics and Transportation Review, 131, pp. 292-307.
REUS, L., PAGNONCELLI, B. et ARMSTRONG, M. (2019). Better management of production incidents in mining using multistage stochastic optimization. Resources Policy, 63, pp. 101404.
CANESSA, G., GALLEGO, J., NTAIMO, L. et PAGNONCELLI, B. (2019). An algorithm for binary linear chance-constrained problems using IIS. Computational Optimization and Applications, 72(3), pp. 589-608.
LE CADRE, H., PAGNONCELLI, B., HOMEM-DE-MELLO, T. et BEAUDE, O. (2019). Designing coalition-based fair and stable pricing mechanisms under private information on consumers' reservation prices. European Journal of Operational Research, 272(1), pp. 270-291.
GUTIERREZ, T., PAGNONCELLI, B., VALLADAO, D. et CIFUENTES, A. (2019). Can asset allocation limits determine portfolio risk–return profiles in DC pension schemes? Insurance: Mathematics and Economics, 86, pp. 134-144.
PAGNONCELLI, B., ARPON, S. et HOMEM-DE-MELLO, T. (2018). Scenario reduction for stochastic programs with Conditional Value-at-Risk. Mathematical Programming, 170, pp. 327-356.
PAGNONCELLI, B. et PIAZZA, A. (2017). The optimal harvesting problem under price uncertainty: the risk averse case. Annals of Operations Research, 258, pp. 479-502.
WADA, M., DELGADO, F. et PAGNONCELLI, B. (2017). A risk averse approach to the capacity allocation problem in the airline cargo industry. Journal of the Operational Research Society, 68(6), pp. 643-651.
PAGNONCELLI, B., CIFUENTES, A. et DENIS, G. (2017). A two-step hybrid investment strategy for pension funds. North American Journal of Economics and Finance, 42, pp. 574-583.
PAGNONCELLI, B., HAWAS, F. et CIFUENTES, A. (2016). Credit-Risk behavior of homogeneous portfolios: A Theoretical Result with Surprising Practical Implications. Journal of Structured Finance, 22(2), pp. 7-15.
BARRERA, J., HOMEM-DE-MELLO, T., MORENO, E., PAGNONCELLI, B. et CANESSA, G. (2016). Chance-constrained problems and rare events: an importance sampling approach. Mathematical Programming, 157(1), pp. 153-189.
HOMEM-DE-MELLO, T. et PAGNONCELLI, B. (2016). Risk aversion in multistage stochastic programming: a modeling and algorithmic perspective. European Journal of Operational Research, 249(1), pp. 188-199.
PIAZZA, A. et PAGNONCELLI, B. (2015). The stochastic Mitra–Wan forestry model: risk neutral and risk averse cases. Journal of Economics, 115(2), pp. 175-194.
PAGNONCELLI, B. et CIFUENTES, A. (2014). Credit risk assessment of fixed income portfolios using explicit expressions. Finance Research Letters, 11(3), pp. 224-230.
PIAZZA, A. et PAGNONCELLI, B. (2014). The optimal harvesting problem under price uncertainty. Annals of Operations Research, 217(1), pp. 425-445.
CIFUENTES, A. et PAGNONCELLI, B. (2014). Demystifying Credit Risk Derivatives and Securitization: Journal of Derivatives, 22(2), pp. 110-118.
PAGNONCELLI, B. (2012). Risk-Return Trade-off with the Scenario Approach in Practice: A Case Study in Portfolio Selection. Journal of Optimization Theory and Applications, 155(2), pp. 707-722.
PAGNONCELLI, B. (2012). A provisioning problem with stochastic payments. European Journal of Operational Research, 221(2), pp. 445-453.
PAGNONCELLI, B. (2009). Sample Average Approximation Method for Chance Constrained Programming: Theory and Applications. Journal of Optimization Theory and Applications, 142(2), pp. 399-416.
PAGNONCELLI, B., TOMEI, C. et DE AZEVEDO, A. (2008). Custos de transação em investimentos coletivos. Revista Brasileira de Economia, 63(4).
PAGNONCELLI, B., SCHNOOR, M.A.K., PALMEIRA, C.F.B. et CAYRES, R. (2008). Cournot equilibrium: modern techniques applied to an old problem. Journal of Interdisciplinary Mathematics, 11(5), pp. 601-616.
PAGNONCELLI, B., PALMEIRA, C.F.B. et LOPES, H. (2008). Coeficientes aleatórios de equações diferenciais ordinárias lineares. Revista Matemática Universitária, (45).