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

DOI10.1007/S10559-011-9363-XzbMATH Open1298.90061OpenAlexW1978285496MaRDI QIDQ464973FDOQ464973

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

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zbMATH Keywords

optimal controlquasigradientsstochastic optimization theory

Mathematics Subject Classification ID

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

Cites Work

• SQG: software for solving stochastic programming problems with stochastic quasi-gradient methods
• On the Douglas-Rachford splitting method and the proximal point algorithm for maximal monotone operators
• Title not available (Why is that?)
• The class of polyhedral coherent risk measures
• Stochastic Optimization Problems with Incomplete Information on Distribution Functions
• Title not available (Why is that?)
• A branch and bound method for stochastic global optimization
• Title not available (Why is that?)
• Stochastic optimization of insurance portfolios for managing exposure to catastrophic risks
• Stochastic generalized gradient method for nonconvex nonsmooth stochastic optimization
• Title not available (Why is that?)
• On nonsmooth and discontinuous problems of stochastic systems optimization
• Control of spatially structured random processes and random fields with applications.
• Title not available (Why is that?)
• Learning equilibrium play: A myopic approach
• Problems on insurance of catastrophic risks
• Convergence of the empirical mean method in statistics and stochastic programming
• Properties of empirical estimates in stochastic optimization and identification problems
• Estimating reliability parameters under insufficient information
• Method of empirical means in stochastic programming problems
• 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.
• On the convergence of empirical estimates in problems of stochastic programming for processes with discrete time
• Some proposals for stochastic facility location models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Insurability of catastrophic risks: the stochastic optimization model
• Stochastic optimization of risk functions via parametric smoothing

Cited In (4)

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

Uses Software

• SQG

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