A primal–dual algorithm for risk minimization

Epi-Regularization of Risk Measures

(2019) Drew P. Kouri et al.   MATHEMATICS OF OPERATIONS RESEARCH

Existence and Optimality Conditions for Risk-Averse PDE-Constrained Optimization

(2018) D. P. Kouri et al.   SIAM-ASA Journal on Uncertainty Quantification

Multistep stochastic mirror descent for risk-averse convex stochastic programs based on extended polyhedral risk measures

(2016) Vincent Guigues   MATHEMATICAL PROGRAMMING

Risk-Averse PDE-Constrained Optimization Using the Conditional Value-At-Risk

(2016) D. P. Kouri et al.   SIAM JOURNAL ON OPTIMIZATION

Inexact Objective Function Evaluations in a Trust-Region Algorithm for PDE-Constrained Optimization under Uncertainty

(2014) D. P. Kouri et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

A Multilevel Stochastic Collocation Algorithm for Optimization of PDEs with Uncertain Coefficients

(2014) D. P. Kouri   SIAM-ASA Journal on Uncertainty Quantification

A Trust-Region Algorithm with Adaptive Stochastic Collocation for PDE Optimization under Uncertainty

(2013) D. P. Kouri et al.   SIAM JOURNAL ON SCIENTIFIC COMPUTING

Sampling-Based Decomposition Methods for Multistage Stochastic Programs Based on Extended Polyhedral Risk Measures

(2012) Vincent Guigues et al.   SIAM JOURNAL ON OPTIMIZATION

Validation analysis of mirror descent stochastic approximation method

(2011) Guanghui Lan et al.   MATHEMATICAL PROGRAMMING

Approximate Primal Solutions and Rate Analysis for Dual Subgradient Methods

(2009) Angelia Nedić et al.   SIAM JOURNAL ON OPTIMIZATION

Robust Stochastic Approximation Approach to Stochastic Programming

(2009) A. Nemirovski et al.   SIAM JOURNAL ON OPTIMIZATION

Dual characterization of properties of risk measures on Orlicz hearts

(2008) Patrick Cheridito et al.   Mathematics and Financial Economics