7 citations · 19 across the 15 of their papers we have counts for
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math.FA2012
Common Mathematical Foundations of Expected Utility and Dual Utility Theories
Darinka Dentcheva, Andrzej Ruszczynski
We show that the main results of the expected utility and dual utility theories can be derived in a unified way from two fundamental mathematical ideas: the separation principle of…
math.OC2012★ 3 cited
Risk-Averse Control of Undiscounted Transient Markov Models
Ozlem Cavus, Andrzej Ruszczynski
We use Markov risk measures to formulate a risk-averse version of the undiscounted total cost problem for a transient controlled Markov process. We derive risk-averse dynamic progr…
stat.CO2012
Alternating Linearization for Structured Regularization Problems
Xiaodong Lin, Minh Pham, Andrzej Ruszczynski
We adapt the alternating linearization method for proximal decomposition to structured regularization problems, in particular, to the generalized lasso problems. The method is rela…