2 citations · 2 across the 15 of their papers we have counts for
9 papers · 1 filter
Subdifferentials of Convex Operators Valued in the Space of Integrable Functions with Application to Risk-Averse Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We study differentiability properties of convex operators defined on a Banach space with values in an $\Lc_p$ space and of their compositions with monotonic convex functionals on t…
Relaxation of stochastic dominance constraints via optimal mass transport
Darinka Dentcheva, Yunxuan Yi
Optimization problems with stochastic dominance constraints provide a possibility to shape risk by selecting a benchmark random outcome with a desired distribution. The comparison…
Fair Risk Optimization of Distributed Systems
Aray Almen, Darinka Dentcheva
The paper provides a framework for the assessment and optimization of the total risk of complex distributed systems. The framework takes into account the risk of each agent, which…
Asset liability management under sequential stochastic dominance constraints
Giorgio Consigli, Darinka Dentcheva, Francesca Maggioni +1
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital inves…
On Risk Evaluation and Control of Distributed Multi-Agent Systems
Aray Almen, Darinka Dentcheva
In this paper, we deal with risk evaluation and risk-averse optimization of complex distributed systems with general risk functionals. We postulate a novel set of axioms for the fu…
Stability and Sample-based Approximations of Composite Stochastic Optimization Problems
Darinka Dentcheva, Yang Lin, Spiridon Penev
Optimization under uncertainty and risk is indispensable in many practical situations. Our paper addresses stability of optimization problems using composite risk functionals which…
Subregular Recourse in Nonlinear Multistage Stochastic Optimization
Darinka Dentcheva, Andrzej Ruszczynski
We consider nonlinear multistage stochastic optimization problems in the spaces of integrable functions. We allow for nonlinear dynamics and general objective functionals, includin…
Risk Forms: Representation, Disintegration, and Application to Partially Observable Two-Stage Systems
Darinka Dentcheva, Andrzej Ruszczynski
We introduce the concept of a risk form, which is a real functional of two arguments: a measurable function on a Polish space and a measure on that space. We generalize the duality…
Time-Consistent Risk Measures for Continuous-Time Markov Chains
Darinka Dentcheva, Andrzej Ruszczynski
We develop an approach to time-consistent risk evaluation of continuous-time processes in Markov systems. Our analysis is based on dual representation of coherent risk measures, di…