Shapiro Alexander

Alexander Shapiro

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Found 30 papers in total
When Friends Become Competitors: The Design of Resource Exchange Alliances
When Friends Become Competitors: The Design of Resource Exchange Alliances
2017
Many carriers, such as airlines and ocean carriers, collaborate through the formation...
Differentiability Properties of Metric Projections onto Convex Sets
Differentiability Properties of Metric Projections onto Convex Sets
2016
It is known that directional differentiability of metric projection onto a closed...
Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems
2013
We take advantage of the interpretation of stochastic capacity expansion problems as...
A dynamic programming approach to adjustable robust optimization
A dynamic programming approach to adjustable robust optimization
2011
In this paper we consider the adjustable robust approach to multistage optimization,...
Time consistency of dynamic risk measures
Time consistency of dynamic risk measures
2012
In this paper we discuss time consistency of risk averse multistage stochastic...
Bounds for nested law invariant coherent risk measures
Bounds for nested law invariant coherent risk measures
2012
With every law invariant coherent risk measure is associated its conditional analogue....
Risk neutral and risk averse Stochastic Dual Dynamic Programming method
Risk neutral and risk averse Stochastic Dual Dynamic Programming method
2013
In this paper we discuss risk neutral and risk averse approaches to multistage...
Minimax and risk averse multistage stochastic programming
Minimax and risk averse multistage stochastic programming
2012
In this paper we study relations between the minimax, risk averse and nested...
Analysis of stochastic dual dynamic programming method
Analysis of stochastic dual dynamic programming method
2011
In this paper we discuss statistical properties and convergence of the Stochastic Dual...
On a time consistency concept in risk averse multistage stochastic programming
On a time consistency concept in risk averse multistage stochastic programming
2009
We discuss time consistency of multistage risk averse stochastic programming problems....
Conditional risk mappings
Conditional risk mappings
2006
We introduce an axiomatic definition of a conditional convex risk mapping and we...
Optimization of convex risk functions
Optimization of convex risk functions
2006
We consider optimization problems involving convex risk functions. By employing...
Some properties of the augmented Lagrangian in cone constrained optimization
Some properties of the augmented Lagrangian in cone constrained optimization
2004
A large class of optimization problems can be modeled as minimization of an objective...
On a class of nonsmooth composite functions
On a class of nonsmooth composite functions
2003
We discuss in this paper a class of nonsmooth functions which can be represented, in a...
The empirical behavior of sampling methods for stochastic programming
The empirical behavior of sampling methods for stochastic programming
2006
We investigate the quality of solutions obtained from sample-average approximations to...
A stochastic programming approach for supply chain network design under uncertainty
A stochastic programming approach for supply chain network design under uncertainty
2005
This paper proposes a stochastic programming model and solution algorithm for solving...
On duality theory of convex semi-infinite programming
On duality theory of convex semi-infinite programming
2005
In this article we discuss weak and strong duality properties of convex semi-infinite...
Stochastic programming with equilibrium constraints
Stochastic programming with equilibrium constraints
2006
In this paper, we discuss here-and-now type stochastic programs with equilibrium...
On complexity of multistage stochastic programs
On complexity of multistage stochastic programs
2006
In this paper we derive estimates of the sample sizes required to solve a multistage...
Sensitivity analysis of parameterized variational inequalities
Sensitivity analysis of parameterized variational inequalities
2005
In this paper we discuss local uniqueness, continuity, and differentiability...
Minimax analysis of stochastic problems
Minimax analysis of stochastic problems
2002
In practical applications of stochastic programming the involved probability...
First-order optimality conditions in generalized semi-infinite programming
First-order optimality conditions in generalized semi-infinite programming
1999
In this paper, we consider a generalized semi-infinite optimization problem where the...
Finding optimal material release times using simulation-based optimization
Finding optimal material release times using simulation-based optimization
1999
We present a method for setting release times for jobs with due dates in a stochastic...
A simulation-based approach to two-stage stochastic programming with recourse
A simulation-based approach to two-stage stochastic programming with recourse
1998
In this paper we consider stochastic programming problems where the objective function...
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