| Publication | Date of Publication | Type |
|---|
A functional model method for nonconvex nonsmooth conditional stochastic optimization
SIAM Journal on Optimization | 2024-10-22 | Paper |
Risk-averse control of continuous-time Markov chains
| 2024-07-05 | Paper |
Dynamic risk measures for finite-state partially observable Markov decision problems
| 2024-07-03 | Paper |
A risk-averse analog of the Hamilton-Jacobi-Bellman equation
| 2024-07-03 | Paper |
Risk-averse optimization and control. Theory and methods
Springer Series in Operations Research and Financial Engineering | 2024-06-11 | Paper |
The deepest event cuts in risk-averse optimization with application to radiation therapy design
Computational Optimization and Applications | 2024-01-10 | Paper |
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems
SIAM Journal on Control and Optimization | 2024-01-02 | Paper |
Risk-Averse Control of Markov Systems with Value Function Learning
| 2023-12-01 | Paper |
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty
Mathematical Methods of Operations Research | 2023-10-25 | Paper |
Mini-Batch Risk Forms
SIAM Journal on Optimization | 2023-06-22 | Paper |
A stochastic subgradient method for distributionally robust non-convex and non-smooth learning
Journal of Optimization Theory and Applications | 2022-08-01 | Paper |
Process-based risk measures and risk-averse control of discrete-time systems
Mathematical Programming. Series A. Series B | 2022-03-22 | Paper |
Lectures on stochastic programming. Modeling and theory
| 2021-10-30 | Paper |
Subregular recourse in nonlinear multistage stochastic optimization
Mathematical Programming. Series A. Series B | 2021-09-29 | Paper |
scientific article; zbMATH DE number 7370555 (Why is no real title available?)
| 2021-07-09 | Paper |
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization
SIAM Journal on Control and Optimization | 2021-06-22 | Paper |
A Dual Method For Evaluation of Dynamic Risk in Diffusion Processes
ESAIM: Control, Optimisation and Calculus of Variations | 2021-03-17 | Paper |
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization
Optimization Letters | 2021-02-17 | Paper |
Risk forms: representation, disintegration, and application to partially observable two-stage systems
Mathematical Programming. Series A. Series B | 2020-06-15 | Paper |
A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization
SIAM Journal on Optimization | 2020-03-23 | Paper |
An augmented Lagrangian decomposition method for block diagonal linear programming problems
Operations Research Letters | 2019-07-22 | Paper |
Risk measurement and risk-averse control of partially observable discrete-time Markov systems
Mathematical Methods of Operations Research | 2018-11-07 | Paper |
Time-coherent risk measures for continuous-time Markov chains
SIAM Journal on Financial Mathematics | 2018-08-10 | Paper |
Rate of convergence of the bundle method
Journal of Optimization Theory and Applications | 2017-10-27 | Paper |
Statistical estimation of composite risk functionals and risk optimization problems
Annals of the Institute of Statistical Mathematics | 2017-10-11 | Paper |
A selective linearization method for multiblock convex optimization
SIAM Journal on Optimization | 2017-06-16 | Paper |
Time-consistent approximations of risk-averse multistage stochastic optimization problems
Mathematical Programming. Series A. Series B | 2015-10-19 | Paper |
Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes
| 2015-08-21 | Paper |
Two-stage portfolio optimization with higher-order conditional measures of risk
Annals of Operations Research | 2015-08-21 | Paper |
Risk-averse control of undiscounted transient Markov models
SIAM Journal on Control and Optimization | 2015-03-27 | Paper |
Convex analysis approach to utility theories. Dual utility
| 2015-02-03 | Paper |
Convex analysis approach to utility theories. Expected utility
| 2015-02-03 | Paper |
Risk preferences on the space of quantile functions
Mathematical Programming. Series A. Series B | 2014-12-18 | Paper |
Lectures on stochastic programming. Modeling and theory.
MOS SIAM Series on Optimization | 2014-10-21 | Paper |
Computational methods for risk-averse undiscounted transient Markov models
Operations Research | 2014-08-11 | Paper |
Erratum to ``Risk-averse dynamic programming for Markov decision processes
Mathematical Programming. Series A. Series B | 2014-06-27 | Paper |
Common mathematical foundations of expected utility and dual utility theories
SIAM Journal on Optimization | 2013-06-27 | Paper |
Scenario decomposition of risk-averse multistage stochastic programming problems
Annals of Operations Research | 2013-01-15 | Paper |
Tractable almost stochastic dominance
European Journal of Operational Research | 2012-08-16 | Paper |
Commentary: Post-decision states and separable approximations are powerful tools of approximate dynamic programming
INFORMS Journal on Computing | 2012-07-28 | Paper |
A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk
Operations Research | 2011-11-18 | Paper |
A multi-product risk-averse newsvendor with exponential utility function
European Journal of Operational Research | 2011-08-09 | Paper |
Risk-averse two-stage stochastic linear programming: modeling and decomposition
Operations Research | 2011-07-19 | Paper |
Portfolio Optimization with Risk Control by Stochastic Dominance Constraints
International Series in Operations Research & Management Science | 2011-05-31 | Paper |
Kusuoka representation of higher order dual risk measures
Annals of Operations Research | 2011-04-08 | Paper |
Risk-averse dynamic programming for Markov decision processes
Mathematical Programming. Series A. Series B | 2010-11-22 | Paper |
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints
Optimization | 2010-07-26 | Paper |
Robust stochastic dominance and its application to risk-averse optimization
Mathematical Programming. Series A. Series B | 2010-02-25 | Paper |
Lectures on Stochastic Programming
| 2009-11-09 | Paper |
Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints
SIAM Journal on Control and Optimization | 2009-09-29 | Paper |
Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods
SIAM Journal on Optimization | 2009-08-20 | Paper |
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
Operations Research | 2009-08-13 | Paper |
Composite semi-infinite optimization
| 2009-07-24 | Paper |
The Probabilistic Set-Covering Problem
Operations Research | 2009-07-03 | Paper |
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization
| 2009-06-11 | Paper |
Optimization with multivariate stochastic dominance constraints
Mathematical Programming. Series A. Series B | 2008-12-16 | Paper |
Stochastic dominance for sequences and implied utility in dynamic optimization
| 2008-11-27 | Paper |
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
European Journal of Operational Research | 2008-06-24 | Paper |
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints
Mathematical Programming. Series A. Series B | 2008-06-04 | Paper |
A risk-averse newsvendor with law invariant coherent measures of risk
Operations Research Letters | 2008-05-29 | Paper |
Optimization of Convex Risk Functions
Mathematics of Operations Research | 2008-05-27 | Paper |
Conditional Risk Mappings
Mathematics of Operations Research | 2008-05-27 | Paper |
A merit function approach to the subgradient method with averaging
Optimization Methods & Software | 2008-04-29 | Paper |
Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints
SIAM Journal on Optimization | 2008-02-25 | Paper |
Relaxations of linear programming problems with first order stochastic dominance constraints
Operations Research Letters | 2007-02-19 | Paper |
Inverse stochastic dominance constraints and rank dependent expected utility theory
Mathematical Programming. Series A. Series B | 2006-09-12 | Paper |
Frontiers of Stochastically Nondominated Portfolios
| 2006-06-19 | Paper |
Optimization of risk measures
| 2006-04-18 | Paper |
Measuring risk for income streams
Computational Optimization and Applications | 2005-11-16 | Paper |
Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems
Mathematics of Operations Research | 2005-11-11 | Paper |
Constraint Aggregation in Infinite-Dimensional Spaces and Applications
Mathematics of Operations Research | 2005-11-11 | Paper |
Beam search heuristic to solve stochastic integer problems under probabilistic constraints
European Journal of Operational Research | 2005-08-01 | Paper |
Semi-infinite probabilistic optimization: first-order stochastic dominance constrain
Optimization | 2005-04-15 | Paper |
scientific article; zbMATH DE number 2138160 (Why is no real title available?)
| 2005-02-24 | Paper |
Dual methods for probabilistic optimization problems.
Mathematical Methods of Operations Research | 2005-01-11 | Paper |
On convex probabilistic programming with discrete distributions.
Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods | 2004-08-26 | Paper |
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints
Mathematical Programming. Series A. Series B | 2004-07-01 | Paper |
Concavity and efficient points of discrete distributions in probabilistic programming.
Mathematical Programming. Series A. Series B | 2004-02-18 | Paper |
Optimization with Stochastic Dominance Constraints
SIAM Journal on Optimization | 2004-01-19 | Paper |
scientific article; zbMATH DE number 1970854 (Why is no real title available?)
| 2003-08-25 | Paper |
scientific article; zbMATH DE number 1968248 (Why is no real title available?)
| 2003-08-20 | Paper |
Dual Stochastic Dominance and Quantile Risk Measures
International Transactions in Operational Research | 2003-06-23 | Paper |
Dual Stochastic Dominance and Related Mean-Risk Models
SIAM Journal on Optimization | 2003-01-05 | Paper |
Bounds for probabilistic integer programming problems
Discrete Applied Mathematics | 2002-12-02 | Paper |
From stochastic dominance to mean-risk models: Semideviations as risk measures
European Journal of Operational Research | 2002-08-18 | Paper |
On optimal allocation of indivisibles under uncertainty
Operations Research | 2002-03-18 | Paper |
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra
Mathematical Programming. Series A. Series B | 2002-01-01 | Paper |
A branch and bound method for stochastic integer problems under probabilistic constraints
Optimization Methods & Software | 2002-01-01 | Paper |
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions
Mathematics of Operations Research | 2001-11-26 | Paper |
On consistency of stochastic dominance and mean-semideviation models
Mathematical Programming. Series A. Series B | 2001-10-10 | Paper |
Robust path choice in networks with failures
| 2000-07-09 | Paper |
Proximal Decomposition Via Alternating Linearization
SIAM Journal on Optimization | 1999-11-24 | Paper |
On the Glivenko-Cantelli problem in stochastic programming: mixed-integer linear recourse.
Mathematical Methods of Operations Research | 1999-10-05 | Paper |
scientific article; zbMATH DE number 1329073 (Why is no real title available?)
| 1999-08-31 | Paper |
Some advances in decomposition methods for stochastic linear programming
Annals of Operations Research | 1999-06-28 | Paper |
A branch and bound method for stochastic global optimization
Mathematical Programming. Series A. Series B | 1999-06-03 | Paper |
Accelerating the regularized decomposition method for two stage stochastic linear problems
European Journal of Operational Research | 1999-02-28 | Paper |
Cost-effective sulphur emission reduction under uncertainty
European Journal of Operational Research | 1998-11-24 | Paper |
Decomposition methods in stochastic programming
Mathematical Programming. Series A. Series B | 1997-08-28 | Paper |
Constraint aggregation principle in convex optimization
Mathematical Programming. Series A. Series B | 1997-06-04 | Paper |
On augmented Lagrangian decomposition methods for multistage stochastic programs
Annals of Operations Research | 1997-03-18 | Paper |
Convex optimization by radial search
Journal of Optimization Theory and Applications | 1997-01-07 | Paper |
On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization
Mathematics of Operations Research | 1996-02-25 | Paper |
scientific article; zbMATH DE number 433034 (Why is no real title available?)
| 1996-01-30 | Paper |
A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
Operations Research | 1996-01-16 | Paper |
An Extension of the DQA Algorithm to Convex Stochastic Programs
SIAM Journal on Optimization | 1996-01-14 | Paper |
scientific article; zbMATH DE number 775096 (Why is no real title available?)
| 1995-07-17 | Paper |
scientific article; zbMATH DE number 679855 (Why is no real title available?)
| 1995-05-01 | Paper |
Sensitivity method for basis inverse representation in multistage stochastic linear programming problems
Journal of Optimization Theory and Applications | 1994-04-27 | Paper |
Parallel decomposition of multistage stochastic programming problems
Mathematical Programming. Series A. Series B | 1993-06-29 | Paper |
scientific article; zbMATH DE number 147104 (Why is no real title available?)
| 1993-04-01 | Paper |
scientific article; zbMATH DE number 140508 (Why is no real title available?)
| 1993-03-28 | Paper |
scientific article; zbMATH DE number 140509 (Why is no real title available?)
| 1993-03-28 | Paper |
scientific article; zbMATH DE number 140510 (Why is no real title available?)
| 1993-03-28 | Paper |
A diagonal quadratic approximation method for large scale linear programs
Operations Research Letters | 1993-01-16 | Paper |
A Linearization Method for Nonsmooth Stochastic Programming Problems
Mathematics of Operations Research | 1987-01-01 | Paper |
A regularized decomposition method for minimizing a sum of polyhedral functions
Mathematical Programming | 1986-01-01 | Paper |
A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems
Mathematical Programming Studies | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3926637 (Why is no real title available?)
| 1986-01-01 | Paper |
On convergence of the stochastic subgradient method with on-line stepsize rules
Journal of Mathematical Analysis and Applications | 1986-01-01 | Paper |
scientific article; zbMATH DE number 3887439 (Why is no real title available?)
| 1984-01-01 | Paper |
Stochastic approximation method with gradient averaging for unconstrained problems
IEEE Transactions on Automatic Control | 1983-01-01 | Paper |
scientific article; zbMATH DE number 3839767 (Why is no real title available?)
| 1982-01-01 | Paper |
scientific article; zbMATH DE number 3763687 (Why is no real title available?)
| 1980-01-01 | Paper |
Feasible direction methods for stochastic programming problems
Mathematical Programming | 1980-01-01 | Paper |
Coordination of nonstationary systems
IEEE Transactions on Automatic Control | 1979-01-01 | Paper |
Convergence analysis for two-level algorithms of mathematical programming
Mathematical Programming Studies | 1979-01-01 | Paper |
scientific article; zbMATH DE number 3591736 (Why is no real title available?)
| 1978-01-01 | Paper |
scientific article; zbMATH DE number 3611152 (Why is no real title available?)
| 1978-01-01 | Paper |
scientific article; zbMATH DE number 3550533 (Why is no real title available?)
| 1977-01-01 | Paper |
scientific article; zbMATH DE number 3503074 (Why is no real title available?)
| 1976-01-01 | Paper |
scientific article; zbMATH DE number 3488963 (Why is no real title available?)
| 1975-01-01 | Paper |
scientific article; zbMATH DE number 3455156 (Why is no real title available?)
| 1974-01-01 | Paper |
scientific article; zbMATH DE number 3432156 (Why is no real title available?)
| 1974-01-01 | Paper |
