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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 ...

20040325BuchConditional Risk Mappings Ruszczynski, Andrzej; Shapiro, AlexanderWe introduce an axiomatic definition of a conditional convex risk mapping and we derive its properties. In particular, we prove a representation theorem for conditional risk mappings in terms of conditional expectations. ...

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 ...

20010324BuchDual stochastic dominance and related meanrisk models Ogryczak, Wlodzimierz; Ruszczynski, AndrzejWe consider the problem of constructing meanrisk models which are consistent with the second degree stochastic dominance relation. By exploiting duality relations of convex analysis we develop the quantile model of ...

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 ...

20021024BuchFrontiers of stochastically nondominated portfolios Ruszczynski, Andrzej; Vanderbei, Robert J.We consider the problem of constructing a portfolio of finitely many assets whose returns are described by a discrete joint distribution. We propose meanrisk models which are solvable by linear programming and generate ...

20021105BuchLearning algorithms for separable approximations of stochastic optimization problems Powell, Warren; Ruszczynski, Andrzej; Topaloglu, HuseyinWe propose the use of sequences of separable, piecewise linear approximations for solving classes of nondiffferential stochastic optimization problems. The approximations are estimated adaptively using a combination of ...

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 ...

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 ...

20040325BuchOptimization of Convex Risk Functions Ruszczynski, Andrzej; Shapiro, AlexanderWe consider optimization problems involving convex risk functions. By employing techniques of convex analysis and optimization theory in vector spaces of measurable functions we develop new representation theorems for risk ...

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 ...

20001005BuchProbabilistic programs with discrete distributions and precedence constrained knapsack polyhedra Ruszczynski, AndrzejWe consider stochastic programming problems with probabilistic constraints involving random variables with discrete distributions. They can be reformulated as large scale mixed integer programming problems with knapsack ...

20011004BuchRisk measures for income streams Pflug, Georg Ch.; Ruszczynski, AndrzejA new measure of risk is introduced for a sequence of random incomes adapted to some filtration. This measure is formulated as the optimal net present value of a stream of adaptively planned commitments for consumption. ...

20000327BuchRobust path choice in networks with failures Ferris, Michael C.; Ruszczynski, AndrzejThe problem of adaptive routing in a network with failures is considered. The network may be in one of finitely many states characterized by different travel times along the arcs, and transitions between the states occur ...

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 ...