2 citations · 2 across the 3 of their papers we have counts for
8 papers
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…
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multi-Level Composition Optimization
Andrzej Ruszczynski
We propose a single time-scale stochastic subgradient method for constrained optimization of a composition of several nonsmooth and nonconvex functions. The functions are assumed t…
Convergence of a Stochastic Subgradient Method with Averaging for Nonsmooth Nonconvex Constrained Optimization
Andrzej Ruszczynski
We prove convergence of a single time-scale stochastic subgradient method with subgradient averaging for constrained problems with a nonsmooth and nonconvex objective function havi…
A Single Time-Scale Stochastic Approximation Method for Nested Stochastic Optimization
Saeed Ghadimi, Andrzej Ruszczyński, Mengdi Wang
We study constrained nested stochastic optimization problems in which the objective function is a composition of two smooth functions whose exact values and derivatives are not ava…
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…