7 citations · 19 across the 15 of their papers we have counts for
Showing 2015 · math.OCShow all
2 papers · 2 filters
math.OC2015
Selective Linearization For Multi-Block Convex Optimization
Yu Du, Xiaodong Lin, Andrzej Ruszczynski
We consider the problem of minimizing a sum of several convex non-smooth functions. We introduce a new algorithm called the selective linearization method, which iteratively linear…
math.OC2015
Discrete-Time Approximation of Risk-Averse Control Problems for Diffusion Processes
Andrzej Ruszczynski, Jianing Yao
We consider optimal control problems for diffusion processes, where the objective functional is defined by a time-consistent dynamic risk measure. We focus on coherent risk measure…