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Browsing by Author "Dentcheva, Darinka"
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20051114BuchApproximations, Expansions and Univalued Representations of Multifunctions Dentcheva, DarinkaWe consider multifunctions acting between two linear normed spaces and having closed convex images. Approximations are considered which serve as an expansion of it. Generalized delta theorems for random sets in infinite ...

19991129BuchConcavity and Efficient Points of Discrete Distributions in Probabilistic Programming Dentcheva, Darinka; Prékopa, András; Ruszczynski, AndrzejWe consider stochastic programming problems with probabilistic constraints involving integervalued random variables. The concept of a pefficient point of a probability distribution is used to derive various equivalent ...

20040301BuchConvexification of stochastic ordering Dentcheva, Darinka; Ruszczynski, AndrzejWe consider sets defined by the usual stochastic ordering relation and by the second order stochastic dominance relation. Under fairy general assumptions we prove that in the space of integrable random variables the closed ...

20051102BuchDifferentiable Selections of SetValued Mappings With Application in Stochastic ProgrammingDentcheva, DarinkaWe consider setvalued mappings defined on a linear normed space with convex closed images in IRn. Our aim is to construct selections which are (Hadamard) directionally differentiable using some approximation of the ...

20051116BuchDifferentiable Selections of SetValued Mappings and Asymptotic Behavior of Random Sets in Infinite Dimensions Dentcheva, DarinkaWe consider setvalued mappings acting between two linear normed spaces and having convex closed images. Our aim is to construct selections with directional differentiability properties up to the second order, using certain ...

20051102BuchDifferential Stability of TwoStage Stochastic Programs Dentcheva, Darinka; Römisch, WernerTwostage stochastic programs with random righthand side are considered. Optimal values and solution sets are regarded as mappings of the expected recourse functions and their perturbations, respectively. Conditions are ...

20020707BuchDuality gaps in nonconvex stochastic optimization Dentcheva, Darinka; Römisch, WernerWe consider multistage stochastic optimization models. Logical or integrality constraints, frequently present in optimization models, limit the application of powerful convex analysis tools. Different Lagrangian relaxation ...

20051104BuchDuality gaps in nonconvex stochastic optimization Dentcheva, Darinka; Römisch, WernerWe consider multistage stochastic optimization models. Logical or integrality constraints, frequently present in optimization models, limit the application of powerful convex analysis tools. Different Lagrangian relaxation ...

20031020BuchEfficient point methods for probabilistic optimization problems Dentcheva, Darinka; Lai, Bogumila; Ruszczynski, AndrzejWe consider nonlinear stochastic programming problems with probabilistic constraints. The concept of a pefficient point of a probability distribution is used to derive equivalent problem formulations, and necessary and ...

20051114BuchOn Differentiability of Metric Projections onto Moving Convex Sets Dentcheva, DarinkaWe consider properties of the metric projections onto moving convex sets in normed linear spaces. Under certain conditions about the norm, directional differentiability (of higher order) of the metric projections at boundary ...

20051115BuchOn Stochastic Integer Programming under Probabilistic Constraints Dentcheva, Darinka; Prékopa, András; Ruszczynski, AndrzejWe consider stochastic programming problems with probabilistic constraints involving integervalued random variables. The concept of pefficient points of a probability distribution is used to derive various equivalent ...

20051102BuchOptimal Power Generation under Uncertainty via Stochastic Programming Dentcheva, Darinka; Römisch, WernerA power generation system comprising thermal and pumpedstorage hydro plants is considered. Two kinds of models for the costoptimal generation of electric power under uncertain load are introduced: (i) a dynamic model for ...

20051021BuchOptimale Blockauswahl bei der Kraftwerkseinsatzplanung Dentcheva, Darinka; Möller, Andris; Reeh, P.; Römisch, Werner; Schultz, Rüdiger; Schwarzbach, G.; Thomas, J.The paper addresses the unit commitment problem in power plant operation planning. For a real power system comprising coal and gas fired thermal as well as pumped storage hydro plants a largescale mixed integer optimization ...

20030618BuchOptimality and duality theory for stochastic optimization problems with nonlinear dominance constraints Dentcheva, Darinka; Ruszczynski, AndrzejWe consider a new class of optimization problems involving stochastic dominance constraints of second order. We develop a new splitting approach to these models, optimality conditions and duality theory. These results are ...

20030618BuchOptimization with stochastic dominance constraints Dentcheva, Darinka; Ruszczynski, AndrzejWe introduce stochastic optimization problems involving stochastic dominance constraints. We develop necessary and sufficient conditions of optimality and duality theory for theses models and we show that the Lagrange ...

20030930BuchPortfolio optimization with stochastic dominance constraints Dentcheva, Darinka; Ruszczynski, AndrzejWe consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose a new portfolio optimization model involving stochastic dominance constraints ...

19980529BuchRegular Castaing Representations of Multifunctions with Applications to Stochastic Programming Dentcheva, DarinkaWe consider setvalued mappings defined on a topological space with convex closed images in $\R^n$. The measurability of a multifunction is characterized by the existence of a Castaing representation for it: a countable ...

20051026BuchSolving the Unit Commitment Problem in Power Generation by Primal and Dual Methods Dentcheva, Darinka; Gollmer, R.; Möller, Andris; Römisch, Werner; Schultz, RüdigerThe unit commitment problem in power plant operation planning is addressed. For a real power system comprising coal and gasfired thermal and pumpedstorage hydroplants a largescale mixed integer optimization model for ...

20150512BuchStatistical Estimation of Composite Risk Functionals and Risk Optimization Problems Dentcheva, Darinka; Penev, Spiridon; Ruszczynski, AndrzejWe address the statistical estimation of composite functionals whichmay be nonlinear in the probability measure. Our study is motivated bythe need to estimate coherent measures of risk, which become increasinglypopular in ...