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Research Output 1974 2019

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Conference contribution
2017

Risk-averse control of continuous-time markov chains

Dentcheva, D. & Ruszczynski, A., Jan 1 2017, Proceedings of the SIAM Conference on Control and Its Applications, CT 2017. Society for Industrial and Applied Mathematics Publications, p. 78-85 8 p.

Rutgers, The State University, Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Markov processes
Ordinary differential equations
Differential equations
Derivatives
Costs
2015
2 Citations (Scopus)

A risk-averse analog of the Hamilton-Jacobi-Bellman equation

Ruszczynski, A. & Yao, J., Jan 1 2015, SIAM Conference on Control and Its Applications 2015. Society for Industrial and Applied Mathematics Publications, p. 462-468 7 p.

Rutgers, The State University

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Dynamic programming
Differential equations
Viscosity
1 Citation (Scopus)

Dynamic risk measures for finite-state partially observable Markov decision problems

Fan, J. & Ruszczynski, A., Jan 1 2015, SIAM Conference on Control and Its Applications 2015. Society for Industrial and Applied Mathematics Publications, p. 153-158 6 p.

Rutgers, The State University

Research output: Chapter in Book/Report/Conference proceedingConference contribution

2013

Dynamic risk-averse optimization

Ruszczynski, A., Dec 1 2013, Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013. p. 2611-2618 8 p. (Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013).

Rutgers, The State University

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Decomposition
1985
1 Citation (Scopus)

STOCHASTIC APPROXIMATION ALGORITHM WITH GRADIENT AVERAGING AND ON-LINE STEPSIZE RULES.

Ruszczynski, A. & Syski, W., Jan 1 1985, IFAC Proceedings Series. r IFAC by Pergamon Press, p. 1023-1027 5 p.

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Approximation algorithms