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ORCIDR. Tyrrell Rockafellar
Person information
- affiliation: University of Washington, Seattle, USA
- award (1999): John von Neumann Theory Prize
- award (1997): Frederick W. Lanchester Prize
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2020 – today
- 2024
[j54]R. Tyrrell Rockafellar:
Distributional robustness, stochastic divergences, and the quadrangle of risk. Comput. Manag. Sci. 21(1): 34 (2024)- [j53]R. Tyrrell Rockafellar
:
Generalizations of the proximal method of multipliers in convex optimization. Comput. Optim. Appl. 87(1): 219-247 (2024) - 2023
- [j52]William W. Hager, R. Tyrrell Rockafellar, Vladimir M. Veliov:
Preface to Asen L. Dontchev Memorial Special Issue. Comput. Optim. Appl. 86(3): 795-800 (2023) - [j51]R. Tyrrell Rockafellar:
Generic linear convergence through metric subregularity in a variable-metric extension of the proximal point algorithm. Comput. Optim. Appl. 86(3): 1327-1346 (2023) - [j50]R. Tyrrell Rockafellar:
Augmented Lagrangians and hidden convexity in sufficient conditions for local optimality. Math. Program. 198(1): 159-194 (2023) - [j49]R. Tyrrell Rockafellar:
Convergence of augmented Lagrangian methods in extensions beyond nonlinear programming. Math. Program. 199(1): 375-420 (2023) - 2021
- [j48]Samir Adly, R. Tyrrell Rockafellar:
Sensitivity analysis of maximally monotone inclusions via the proto-differentiability of the resolvent operator. Math. Program. 189(1): 37-54 (2021) - 2020
- [j47]R. Tyrrell Rockafellar, Jie Sun:
Solving Lagrangian variational inequalities with applications to stochastic programming. Math. Program. 181(2): 435-451 (2020) - [j46]R. Tyrrell Rockafellar, Stan Uryasev:
Minimizing buffered probability of exceedance by progressive hedging. Math. Program. 181(2): 453-472 (2020)
2010 – 2019
- 2019
- [j45]R. Tyrrell Rockafellar, Jie Sun:
Solving monotone stochastic variational inequalities and complementarity problems by progressive hedging. Math. Program. 174(1-2): 453-471 (2019) - 2018
- [j44]R. Tyrrell Rockafellar, Johannes O. Royset:
Superquantile/CVaR risk measures: second-order theory. Ann. Oper. Res. 262(1): 3-28 (2018) - 2017
- [j43]R. Tyrrell Rockafellar, Roger J.-B. Wets:
Stochastic variational inequalities: single-stage to multistage. Math. Program. 165(1): 331-360 (2017) - 2015
- [j42]Boris S. Mordukhovich, Tran T. A. Nghia, R. Terry Rockafellar:
Full Stability in Finite-Dimensional Optimization. Math. Oper. Res. 40(1): 226-252 (2015) - [j41]R. Tyrrell Rockafellar, Johannes O. Royset:
Measures of Residual Risk with Connections to Regression, Risk Tracking, Surrogate Models, and Ambiguity. SIAM J. Optim. 25(2): 1179-1208 (2015) - 2014
- [j40]Alexander Veremyev, Peter Tsyurmasto, Stan Uryasev, R. Tyrrell Rockafellar:
Calibrating probability distributions with convex-concave-convex functions: application to CDO pricing. Comput. Manag. Sci. 11(4): 341-364 (2014) - [j39]R. Terry Rockafellar, Johannes O. Royset, S. I. Miranda:
Superquantile regression with applications to buffered reliability, uncertainty quantification, and conditional value-at-risk. Eur. J. Oper. Res. 234(1): 140-154 (2014) - [j38]Alejandro Jofré, R. Tyrrell Rockafellar, Roger J.-B. Wets:
Convex analysis and financial equilibrium. Math. Program. 148(1-2): 223-239 (2014) - [j37]R. Tyrrell Rockafellar, Johannes O. Royset:
Random variables, monotone relations, and convex analysis. Math. Program. 148(1-2): 297-331 (2014) - 2013
- [j36]Asen L. Dontchev, R. Tyrrell Rockafellar:
Convergence of inexact Newton methods for generalized equations. Math. Program. 139(1-2): 115-137 (2013) - [j35]Asen L. Dontchev, Mikhail Krastanov, R. Tyrrell Rockafellar, Vladimir M. Veliov:
An Euler-Newton Continuation Method for Tracking Solution Trajectories of Parametric Variational Inequalities. SIAM J. Control. Optim. 51(3): 1823-1840 (2013) - [j34]Boris S. Mordukhovich, R. Terry Rockafellar, M. Ebrahim Sarabi:
Characterizations of Full Stability in Constrained Optimization. SIAM J. Optim. 23(3): 1810-1849 (2013) - 2012
- [j33]Boris S. Mordukhovich, R. Tyrrell Rockafellar:
Second-Order Subdifferential Calculus with Applications to Tilt Stability in Optimization. SIAM J. Optim. 22(3): 953-986 (2012) - 2010
- [j32]Asen L. Dontchev, R. Tyrrell Rockafellar:
Newton's method for generalized equations: a sequential implicit function theorem. Math. Program. 123(1): 139-159 (2010) - [j31]R. Tyrrell Rockafellar, Johannes O. Royset:
On buffered failure probability in design and optimization of structures. Reliab. Eng. Syst. Saf. 95(5): 499-510 (2010)
2000 – 2009
- 2009
- [j30]Asen L. Dontchev, R. Tyrrell Rockafellar:
Robinson's implicit function theorem and its extensions. Math. Program. 117(1-2): 129-147 (2009) - 2008
- [j29]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Risk Tuning with Generalized Linear Regression. Math. Oper. Res. 33(3): 712-729 (2008) - 2007
- [j28]Alejandro Jofré, R. Terry Rockafellar, Roger J.-B. Wets:
Variational Inequalities and Economic Equilibrium. Math. Oper. Res. 32(1): 32-50 (2007) - 2006
- [j27]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Generalized deviations in risk analysis. Finance Stochastics 10(1): 51-74 (2006) - [j26]R. Tyrrell Rockafellar, Stan Uryasev, Michael Zabarankin:
Optimality conditions in portfolio analysis with general deviation measures. Math. Program. 108(2-3): 515-540 (2006) - 2004
- [j25]R. Tyrrell Rockafellar:
Hamilton-Jacobi Theory and Parametric Analysis in Fully Convex Problems of Optimal Control. J. Glob. Optim. 28(3-4): 419-431 (2004) - 2003
- [j24]R. Tyrrell Rockafellar:
A Property of Piecewise Smooth Functions. Comput. Optim. Appl. 25(1-3): 247-250 (2003) - [j23]Michael Patriksson, R. Tyrrell Rockafellar:
Sensitivity Analysis of Aggregated Variational Inequality Problems, with Application to Traffic Equilibria. Transp. Sci. 37(1): 56-68 (2003) - 2002
- [j22]Michael Patriksson, R. Tyrrell Rockafellar:
A Mathematical Model and Descent Algorithm for Bilevel Traffic Management. Transp. Sci. 36(3): 271-291 (2002) - 2001
- [j21]Asen L. Dontchev, R. Tyrrell Rockafellar:
Ample Parameterization of Variational Inclusions. SIAM J. Optim. 12(1): 170-187 (2001) - [c4]R. Tyrrell Rockafellar, Peter R. Wolenski:
Duality and dynamics in Hamilton-Jacobi theory for fully convex problems of control. CDC 2001: 2763-2767 - [c3]R. Tyrrell Rockafellar, Peter R. Wolenski:
Envelope representations in Hamilton-Jacobi theory for fully convex problems of control. CDC 2001: 2768-2771 - 2000
- [j20]R. Tyrrell Rockafellar, Peter R. Wolenski:
Convexity in Hamilton-Jacobi Theory I: Dynamics and Duality. SIAM J. Control. Optim. 39(5): 1323-1350 (2000) - [j19]R. Tyrrell Rockafellar, Peter R. Wolenski:
Convexity in Hamilton-Jacobi Theory II: Envelope Representations. SIAM J. Control. Optim. 39(5): 1351-1372 (2000) - [j18]Adam B. Levy, R. A. Poliquin, R. Tyrrell Rockafellar:
Stability of Locally Optimal Solutions. SIAM J. Optim. 10(2): 580-604 (2000)
1990 – 1999
- 1999
- [j17]R. Tyrrell Rockafellar:
Duality and optimality in multistagestochastic programming. Ann. Oper. Res. 85: 1-19 (1999) - 1998
- [b2]R. Tyrrell Rockafellar, Roger J.-B. Wets:
Variational Analysis. Grundlehren der mathematischen Wissenschaften 317, Springer 1998, ISBN 978-3-540-62772-2, pp. 1-734 - [j16]R. A. Poliquin, R. Tyrrell Rockafellar:
Tilt Stability of a Local Minimum. SIAM J. Optim. 8(2): 287-299 (1998) - 1997
- [j15]George H.-G. Chen, R. Tyrrell Rockafellar:
Convergence Rates in Forward-Backward Splitting. SIAM J. Optim. 7(2): 421-444 (1997) - 1996
- [j14]Asen L. Dontchev, R. Tyrrell Rockafellar:
Characterizations of Strong Regularity for Variational Inequalities over Polyhedral Convex Sets. SIAM J. Optim. 6(4): 1087-1105 (1996) - [j13]R. A. Poliquin, R. Tyrrell Rockafellar:
Generalized Hessian Properties of Regularized Nonsmooth Functions. SIAM J. Optim. 6(4): 1121-1137 (1996) - 1993
- [j12]Alan J. King, R. Tyrrell Rockafellar:
Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming. Math. Oper. Res. 18(1): 148-162 (1993) - [j11]Ciyou Zhu, R. Tyrrell Rockafellar:
Primal-Dual Projected Gradient Algorithms for Extended Linear-Quadratic Programming. SIAM J. Optim. 3(4): 751-783 (1993) - [j10]R. Tyrrell Rockafellar:
Lagrange Multipliers and Optimality. SIAM Rev. 35(2): 183-238 (1993) - 1992
- [j9]Alan J. King, R. Tyrrell Rockafellar:
Sensitivity analysis for nonsmooth generalized equations. Math. Program. 55: 193-212 (1992) - 1991
- [j8]R. Tyrrell Rockafellar, Roger J.-B. Wets:
Scenarios and Policy Aggregation in Optimization Under Uncertainty. Math. Oper. Res. 16(1): 119-147 (1991) - 1990
- [j7]R. Tyrrell Rockafellar:
Computational Schemes for Large-Scale Problems in Extended Linear-Quadratic Programming. Math. Program. 48: 447-474 (1990)
1980 – 1989
- 1989
- [j6]R. Tyrrell Rockafellar:
Second-Order Optimality Conditions in Nonlinear Programming Obtained by Way of Epi-Derivatives. Math. Oper. Res. 14(3): 462-484 (1989) - 1983
- [j5]R. Tyrrell Rockafellar:
Marginal values and second-order necessary conditions for optimality. Math. Program. 26(3): 245-286 (1983) - 1982
- [c2]R. Tyrrell Rockafellar:
Generalized Subgradients in Mathematical Programming. ISMP 1982: 368-390 - 1981
- [j4]R. Tyrrell Rockafellar:
Proximal Subgradients, Marginal Values, and Augmented Lagrangians in Nonconvex Optimization. Math. Oper. Res. 6(3): 424-436 (1981)
1970 – 1979
- 1979
- [j3]Jonathan E. Spingarn, R. Tyrrell Rockafellar:
The Generic Nature of Optimality Conditions in Nonlinear Programming. Math. Oper. Res. 4(4): 425-430 (1979) - 1976
- [j2]R. Tyrrell Rockafellar:
Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming. Math. Oper. Res. 1(2): 97-116 (1976) - 1973
- [j1]R. Tyrrell Rockafellar:
A dual approach to solving nonlinear programming problems by unconstrained optimization. Math. Program. 5(1): 354-373 (1973) - [c1]R. Tyrrell Rockafellar:
Penalty Methods and Augmented Lagrangians in Nonlinear Programming. Optimization Techniques 1973: 418-425 - 1970
- [b1]R. Tyrrell Rockafellar:
Convex Analysis. Princeton Landmarks in Mathematics and Physics, Princeton University Press 1970, ISBN 978-1-4008-7317-3, pp. 1-451
Coauthor Index
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