Alexei Gaivoronski
Alexei Gaivoronski
Professor, NTNU
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Value-at-risk in portfolio optimization: properties and computational approach
AA Gaivoronski, G Pflug
Journal of risk 7 (2), 1-31, 2005
Stochastic quasigradient methods. numerical techniques for stochastic optimization
Y Ermoliev
Springer Series in Computational Mathematics, 141-185, 1988
Optimal portfolio selection and dynamic benchmark tracking
AA Gaivoronski, S Krylov, N Van der Wijst
European Journal of operational research 163 (1), 115-131, 2005
Stochastic programming in water management: A case study and a comparison of solution techniques
J Dupačová, A Gaivoronski, Z Kos, T Szantai
European Journal of Operational Research 52 (1), 28-44, 1991
Stochastic optimization problems with incomplete information on distribution functions
Y Ermoliev, A Gaivoronski, C Nedeva
SIAM Journal on Control and Optimization 23 (5), 697-716, 1985
Stochastic quasigradient methods and their implementation
A Gaivoronski
Numerical techniques for stochastic optimization 10, 313-351, 1988
Stochastic nonstationary optimization for finding universal portfolios
AA Gaivoronski, F Stella
Annals of Operations Research 100 (1), 165-188, 2000
Convergence properties of backpropagation for neural nets via theory of stochastic gradient methods. Part 1
AA Gaivoronski
Optimization methods and Software 4 (2), 117-134, 1994
Implementation of stochastic quasigradient methods
A Gaivoronski
Numerical techniques for stochastic optimization, 313-352, 1988
Extending the stochastic programming framework for the modeling of several decision makers: pricing and competition in the telecommunication sector
JA Audestad, AA Gaivoronski, A Werner
Annals of Operations Research 142 (1), 19-39, 2006
On-line portfolio selection using stochastic programming
AA Gaivoronski, F Stella
Journal of Economic Dynamics and Control 27 (6), 1013-1043, 2003
Knapsack problem with probability constraints
AA Gaivoronski, A Lisser, R Lopez, H Xu
Journal of Global Optimization 49 (3), 397-413, 2011
Finding optimal portfolios with constraints on value at risk
AA Gaivoronski, G Pflug
Proceedings III Stockholm seminar on risk behavior and risk management, 1999
Stochastic quasigradient methods for optimization of discrete event systems
YM Ermoliev, AA Gaivoronski
Annals of Operations Research 39 (1), 1-39, 1992
Linearization methods for optimization of functionals which depend on probability measures
A Gaivoronski
Stochastic Programming 84 Part II, 157-181, 1986
Convergence analysis of parallel backpropagation algorithm for neural networks
AA Gaivoronski
Optimization Methods and Software 4, 117-134, 1994
Augmented infinitesimal perturbation analysis: An alternate explanation
AA Gaivoronski, LY Shi, RS Sreenivas
Discrete Event Dynamic Systems 2 (2), 121-138, 1992
Balancing cost-risk in management optimization of water resource systems under uncertainty
AA Gaivoronski, GM Sechi, P Zuddas
Physics and Chemistry of the Earth, Parts A/B/C 42, 98-107, 2012
Cost/risk balanced management of scarce resources using stochastic programming
A Gaivoronski, GM Sechi, P Zuddas
European Journal of Operational Research 216 (1), 214-224, 2012
An asset liability management model for casualty insurers: complexity reduction vs. parameterized decision rules
AA Gaivoronski, PE De Lange
Annals of Operations Research 99 (1), 227-250, 2000
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