Alexander Shapiro

According to our database1, Alexander Shapiro
  • authored at least 76 papers between 1983 and 2018.
  • has a "Dijkstra number"2 of three.



In proceedings 
PhD thesis 




Estimation and asymptotics for buffered probability of exceedance.
European Journal of Operational Research, 2018

Matrix completion with deterministic pattern - a geometric perspective.
CoRR, 2018

Distributionally Robust Stochastic Programming.
SIAM Journal on Optimization, 2017

Interchangeability principle and dynamic equations in risk averse stochastic programming.
Oper. Res. Lett., 2017

When Friends Become Competitors: The Design of Resource Exchange Alliances.
Management Science, 2017

Decomposability and time consistency of risk averse multistage programs.
Oper. Res. Lett., 2016

Differentiability Properties of Metric Projections onto Convex Sets.
J. Optimization Theory and Applications, 2016

Rectangular Sets of Probability Measures.
Operations Research, 2016

Risk neutral and risk averse approaches to multistage renewable investment planning under uncertainty.
European Journal of Operational Research, 2016

Lectures on Stochastic Programming - Modeling and Theory, Second Edition.
MOS-SIAM Series on Optimization 16, SIAM, ISBN: 978-1-61197-342-6, 2014

On Kusuoka Representation of Law Invariant Risk Measures.
Math. Oper. Res., 2013

Risk exposure and Lagrange multipliers of nonanticipativity constraints in multistage stochastic problems.
Math. Meth. of OR, 2013

Consistency of Sample Estimates of Risk Averse Stochastic Programs.
J. Applied Probability, 2013

Worst-Case-Expectation Approach to Optimization Under Uncertainty.
Operations Research, 2013

Risk neutral and risk averse Stochastic Dual Dynamic Programming method.
European Journal of Operational Research, 2013

Bounds for nested law invariant coherent risk measures.
Oper. Res. Lett., 2012

Time consistency of dynamic risk measures.
Oper. Res. Lett., 2012

Validation analysis of mirror descent stochastic approximation method.
Math. Program., 2012

Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics.
Operations Research, 2012

Minimax and risk averse multistage stochastic programming.
European Journal of Operational Research, 2012

A dynamic programming approach to adjustable robust optimization.
Oper. Res. Lett., 2011

Analysis of stochastic dual dynamic programming method.
European Journal of Operational Research, 2011

Construction of Covariance Matrices with a Specified Discrepancy Function Minimizer, with Application to Factor Analysis.
SIAM J. Matrix Analysis Applications, 2010

Semidefinite Programming: Optimality Conditions and Stability.
Proceedings of the Encyclopedia of Optimization, Second Edition, 2009

Robust Stochastic Approximation Approach to Stochastic Programming.
SIAM Journal on Optimization, 2009

On a time consistency concept in risk averse multistage stochastic programming.
Oper. Res. Lett., 2009

Augmented Lagrangians in semi-infinite programming.
Math. Program., 2009

Asymptotic normality of test statistics under alternative hypotheses.
J. Multivariate Analysis, 2009

Stochastic programming approach to optimization under uncertainty.
Math. Program., 2008

Corrigendum to: "Optimization of Convex Risk Functions, " Mathematics of Operations Research 31 (2006) 433 - 452.
Math. Oper. Res., 2007

Coherent risk measures in inventory problems.
European Journal of Operational Research, 2007

Building an Evolvable Low-Cost HW/SW Educational Platform-Application to Virtual Instrumentation.
Proceedings of the IEEE International Conference on Microelectronic Systems Education, 2007

Convex Approximations of Chance Constrained Programs.
SIAM Journal on Optimization, 2006

On complexity of multistage stochastic programs.
Oper. Res. Lett., 2006

Worst-case distribution analysis of stochastic programs.
Math. Program., 2006

Solving multistage asset investment problems by the sample average approximation method.
Math. Program., 2006

Conditional Risk Mappings.
Math. Oper. Res., 2006

Optimization of Convex Risk Functions.
Math. Oper. Res., 2006

Simulation-based approach to estimation of latent variable models.
Computational Statistics & Data Analysis, 2006

The empirical behavior of sampling methods for stochastic programming.
Annals OR, 2006

A Block-Based Open Source Approach for a Reconfigurable Virtual Instrumentation Platform Using FPGA Technology.
Proceedings of the 2006 IEEE International Conference on Reconfigurable Computing and FPGA's, 2006

Differentiability and semismoothness properties of integral functions and their applications.
Math. Program., 2005

Sensitivity Analysis of Parameterized Variational Inequalities.
Math. Oper. Res., 2005

A stochastic programming approach for supply chain network design under uncertainty.
European Journal of Operational Research, 2005

On a Class of Minimax Stochastic Programs.
SIAM Journal on Optimization, 2004

Some Properties of the Augmented Lagrangian in Cone Constrained Optimization.
Math. Oper. Res., 2004

On a Class of Nonsmooth Composite Functions.
Math. Oper. Res., 2003

Inference of statistical bounds for multistage stochastic programming problems.
Math. Meth. of OR, 2003

The Sample Average Approximation Method Applied to Stochastic Routing Problems: A Computational Study.
Comp. Opt. and Appl., 2003

The Sample Average Approximation Method for Stochastic Discrete Optimization.
SIAM Journal on Optimization, 2002

Minimax analysis of stochastic problems.
Optimization Methods and Software, 2002

Conditioning of convex piecewise linear stochastic programs.
Math. Program., 2002

Monte Carlo simulation approach to stochastic programming.
Proceedings of the 33nd conference on Winter simulation, 2001

On the Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs.
SIAM Journal on Optimization, 2000

Second Order Optimality Conditions Based on Parabolic Second Order Tangent Sets.
SIAM Journal on Optimization, 1999

Optimization Problems with Perturbations: A Guided Tour.
SIAM Review, 1998

Nondegeneracy and Quantitative Stability of Parameterized Optimization Problems with Multiple Solutions.
SIAM Journal on Optimization, 1998

A simulation-based approach to two-stage stochastic programming with recourse.
Math. Program., 1998

Sensitivity Analysis of Optimization Problems Under Second Order Regular Constraints.
Math. Oper. Res., 1998

On Uniqueness of Lagrange Multipliers in Optimization Problems Subject to Cone Constraints.
SIAM Journal on Optimization, 1997

First and second order analysis of nonlinear semidefinite programs.
Math. Program., 1997

A Generalized Distribution Model for Random Recursive Trees.
Acta Inf., 1997

Simulation Based Optimization.
Proceedings of the 28th conference on Winter simulation, 1996

Monotone Structure in Discrete-Event Systems (P. Glasserman and D. D. Yao).
SIAM Review, 1995

On Eigenvalue Optimization.
SIAM Journal on Optimization, 1995

Directional differentiability of the optimal value function in convex semi-infinite programming.
Math. Program., 1995

Existence and Differentiability of Metric Projections in Hilbert Spaces.
SIAM Journal on Optimization, 1994

Quantitative stability in stochastic programming.
Math. Program., 1994

On Lipschitzian Stability of Optimal Solutions of Parametrized Semi-Infinite Programs.
Math. Oper. Res., 1994

Asymptotic Behavior of Optimal Solutions in Stochastic Programming.
Math. Oper. Res., 1993

On Optimal Choice of Reference Parameters in the Likelihood Ratio Method.
Proceedings of the 24th Winter Simulation Conference, 1992

Asymptotic analysis of stochastic programs.
Annals OR, 1991

On Differential Stability in Stochastic Programming.
Math. Program., 1990

Second order sensitivity analysis and asymptotic theory of parametrized nonlinear programs.
Math. Program., 1985

Second-Order Derivatives of Extremal-Value Functions and Optimality Conditions for Semi-Infinite Programs.
Math. Oper. Res., 1985

Fisher Discriminant Analysis and Factor Analysis.
IEEE Trans. Pattern Anal. Mach. Intell., 1983