7 citations · 19 across the 15 of their papers we have counts for
3 papers · 1 filter
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…
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…
Statistical Estimation of Composite Risk Functionals and Risk Optimization Problems
Darinka Dentcheva, Spiridon Penev, Andrzej Ruszczynski
We address the statistical estimation of composite functionals which may be nonlinear in the probability measure. Our study is motivated by the need to estimate coherent measures o…