Alexei Gaivoronski
Alexei Gaivoronski
Professor, NTNU
Verified email at iot.ntnu.no
Title
Cited by
Cited by
Year
Value-at-risk in portfolio optimization: properties and computational approach
AA Gaivoronski, G Pflug
Journal of risk 7 (2), 1-31, 2005
3822005
Stochastic quasigradient methods. numerical techniques for stochastic optimization
Y Ermoliev
Springer Series in Computational Mathematics, 141-185, 1988
2611988
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
1482005
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
1131991
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
991985
Stochastic quasigradient methods and their implementation
A Gaivoronski
Numerical techniques for stochastic optimization 10, 313-351, 1988
791988
Stochastic nonstationary optimization for finding universal portfolios
AA Gaivoronski, F Stella
Annals of Operations Research 100 (1), 165-188, 2000
682000
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
681994
Implementation of stochastic quasigradient methods
A Gaivoronski
Numerical techniques for stochastic optimization, 313-352, 1988
601988
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
502006
On-line portfolio selection using stochastic programming
AA Gaivoronski, F Stella
Journal of Economic Dynamics and Control 27 (6), 1013-1043, 2003
482003
Stochastic quasigradient methods for optimization of discrete event systems
YM Ermoliev, AA Gaivoronski
Annals of Operations Research 39 (1), 1-39, 1992
451992
Knapsack problem with probability constraints
AA Gaivoronski, A Lisser, R Lopez, H Xu
Journal of Global Optimization 49 (3), 397-413, 2011
442011
Finding optimal portfolios with constraints on value at risk
AA Gaivoronski, G Pflug
Proceedings III Stockholm seminar on risk behavior and risk management, 1999
401999
Linearization methods for optimization of functionals which depend on probability measures
A Gaivoronski
Stochastic Programming 84 Part II, 157-181, 1986
361986
Convergence analysis of parallel backpropagation algorithm for neural networks
AA Gaivoronski
Optimization Methods and Software 4, 117-134, 1994
331994
Augmented infinitesimal perturbation analysis: An alternate explanation
AA Gaivoronski, LY Shi, RS Sreenivas
Discrete Event Dynamic Systems 2 (2), 121-138, 1992
321992
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
302012
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
302012
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
272000
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