Clarkin, Timothy 1 ; Raseman, William 2 ; Kasprzyk, Joseph 3 ; Herman, Jon 4. 1 CU Boulder 2 CU Boulder 3 CU Boulder 4 UC Davis. This research explores how user-defined constraints affect the ...

We propose dual decomposition and solution schemes for multistage CVaR-constrained problems. These schemes meet the need for handling multiple CVaR-constraints for different time frames and at ...

This makes developing an algorithm to solve a group of these problems a daunting task. Bulatov, a mathematician by training and study, has been analyzing these types of problems for the past two ...

With minor modifications, the proposed schemes can be used to decompose further types of risk constraints in dynamic portfolio management problems. We consider integrated chance constraints, ...

Andrei Bulatov’s contributions to the field of computer science were recognized as he was one of five researchers to receive the Gödel Prize for their work on the classification of the counting ...