2 citations · 2 across the 4 of their papers we have counts for
4 papers · 1 filter
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…