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Ralph Tyrrell Rockafellar

25 works· latest 2017· 2 institutionscluster: provisionalORCID 0000-0003-1703-5069

h-index23

i1024

Citations14,721

Works here25

Most cited in this library

Optimization of conditional value-at-risk2000 · 6,711 citations
Conditional value-at-risk for general loss distributions2002 · 3,847 citations
Scenarios and Policy Aggregation in Optimization Under Uncertainty1991 · 1,341 citations
Generalized deviations in risk analysis2005 · 572 citations
Coherent Approaches to Risk in Optimization Under Uncertainty2007 · 238 citations

Works

25 shown

Solving Stochastic Programming Problems with Risk Measures by Progressive Hedging

Set-Valued and Variational Analysis·2017·1 author

40citations

Engineering Decisions under Risk Averseness

ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems Part A Civil Engineering·2015·2 authors

101citations

Risk measures in engineering design under uncertainty

cIRcle (University of British Columbia)·2015·2 authors·other·Open access

18citations

Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk

European Journal of Operational Research·2013·3 authors

71citations

The fundamental risk quadrangle in risk management, optimization and statistical estimation

Surveys in Operations Research and Management Science·2013·2 authors

187citations

On buffered failure probability in design and optimization of structures

Reliability Engineering & System Safety·2010·

Risk Tuning with Generalized Linear Regression

Mathematics of Operations Research·2008·3 authors·Open access

75citations

Coherent Approaches to Risk in Optimization Under Uncertainty

·2007·1 author·chapter·Open access

238citations

Equilibrium with investors using a diversity of deviation measures

Journal of Banking & Finance·2007·3 authors·Open access

57citations

Optimality conditions in portfolio analysis with general deviation measures

Mathematical Programming·2006·3 authors·Open access

120citations

Generalized deviations in risk analysis

Finance and Stochastics·2005·3 authors·Open access

572citations

Master funds in portfolio analysis with general deviation measures

Journal of Banking & Finance·2005·3 authors·Open access

135citations

Deviation Measures in Risk Analysis and Optimization

SSRN Electronic Journal·2003·3 authors·preprint·Open access

188citations

A Mathematical Model and Descent Algorithm for Bilevel Traffic Management

Transportation Science·2002·2 authors

101citations

Conditional value-at-risk for general loss distributions

Journal of Banking & Finance·2002·2 authors·Open access

3,847citations

Conditional Value-at-Risk: Optimization Approach

Applied optimization·2001·2 authors·chapter

153citations

Optimization of conditional value-at-risk

The Journal of Risk·2000·2 authors

6,711citations

Scenarios and Policy Aggregation in Optimization Under Uncertainty

Mathematics of Operations Research·1991·2 authors

1,341citations

Cash Stream Valuation In the Face of Transaction Costs and Taxes

Mathematical Finance·1991·2 authors

56citations

The Optimal Recourse Problem in Discrete Time: $L^1 $-Multipliers for Inequality Constraints

SIAM Journal on Control and Optimization·1978·2 authors

97citations

Stochastic Convex Programming: Relatively Complete Recourse and Induced Feasibility

SIAM Journal on Control and Optimization·1976·2 authors

99citations

Nonanticipativity and L 1-martingales in stochastic optimization problems

Mathematical programming studies·1976·2 authors·chapter

154citations

Stochastic convex programming: basic duality

Pacific Journal of Mathematics·1976·2 authors·Open access

118citations

Stochastic convex programming: Kuhn-Tucker conditions

Journal of Mathematical Economics·1975·2 authors

65citations