Some scientific results of Yu. M. Ermoliev and his school in modern stochastic optimization theory

DOI10.1007/S10559-011-9363-XMaRDI QIDQ464973zbMATH OpenOpenAlexFDO

Authors I. V. Sergienko, Pavel S. Knopov

Publication date 30 October 2014

Published in Cybernetics and Systems Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10559-011-9363-x

zbMATH Keywords

optimal controlquasigradientsstochastic optimization theory

Mathematics Subject Classification ID

Biographies, obituaries, personalia, bibliographies (01A70) History of operations research and mathematical programming (90-03) Stochastic programming (90C15)

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Cites work

• A branch and bound method for stochastic global optimization
• Control of spatially structured random processes and random fields with applications.
• Convergence of the empirical mean method in statistics and stochastic programming
• Coping with uncertainty. Modeling and policy issues. Selected papers based on the presentations at the workshop `Coping with uncertainty', Laxenburg, Austria, December 13--16,2004.
• Estimating reliability parameters under insufficient information
• scientific article; zbMATH DE number 3825644 (Why is no real title available?)
• scientific article; zbMATH DE number 4035561 (Why is no real title available?)
• scientific article; zbMATH DE number 4091201 (Why is no real title available?)
• scientific article; zbMATH DE number 193918 (Why is no real title available?)
• scientific article; zbMATH DE number 3634999 (Why is no real title available?)
• scientific article; zbMATH DE number 1552547 (Why is no real title available?)
• scientific article; zbMATH DE number 3333703 (Why is no real title available?)
• Insurability of catastrophic risks: the stochastic optimization model
• Learning equilibrium play: A myopic approach
• Method of empirical means in stochastic programming problems
• On nonsmooth and discontinuous problems of stochastic systems optimization
• On the convergence of empirical estimates in problems of stochastic programming for processes with discrete time
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• Problems on insurance of catastrophic risks
• Properties of empirical estimates in stochastic optimization and identification problems
• Some proposals for stochastic facility location models
• SQG: software for solving stochastic programming problems with stochastic quasi-gradient methods
• Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization
• Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
• Stochastic optimization of risk functions via parametric smoothing
• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• The class of polyhedral coherent risk measures

Cited in

(4)

• The scientific heritage of B. N. Pshenichnyi
• Interbranch chessboard of uncertainty and its applications: forecasting, economic policy, fiscal risk, general equilibrium
• On N. Z. Shor's three scientific ideas
• Optimization and identification of stochastic systems

Describes a project that uses

Uses Software

• SQG

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