Darinka Dentcheva

PROFESSOR AND CHAIR OF THE DEPARTMENT OF MATHEMATICAL SCIENCES
School: Schaefer School of Engineering & Science
Department: Mathematical Sciences
Building: Peirce
Room: 302
Phone: 201.216.8640
Fax: 201.216.8321
Email: ddentche@stevens.edu
Website
Education
  • Dr.Sci in Mathematics  Humboldt University, Berlin , Germany, 2006
  • PhD in Mathematics  Humboldt University, Berlin , Germany, 1989
  • MSc in Mathematics and Computer Science Humboldt University, Berlin , Germany, 1982
Research
  • Convex Analysis and Optimization
  • Stochastic Optimization
  • Mathematical Models of Risk
  • Statistical inference of stochastic optimization
  • Numerical Techniques
Experience

 ·          Optimization of Stochastic Systems: stochastic optimization models with stochastic dominance constraints and risk functions; optimization models with probabilistic constraints; stability and sensitivity of stochastic optimization problems; decomposition methods for stochastic optimization problems

·          Nonlinear Optimization: composite semi-infinite optimization problems.

·          Convex Analysis: Steiner center for convex sets; differentiability of the metric projection onto moving convex sets; sets determined by constraints on distribution functions

.·          Set-Valued Analysis: selections of set-valued mappings in particular mappings that appear in stochastic optimization.

 ·          Vector Optimization: new concepts of e-efficiency and level sets of abstract optimization problems, which are applied to obtain various versions of variational principles, and to establish well-posedness of vector optimization problems.

·          Parametric Optimization: optimization problems whose data are smooth functions of a parameter; singularity theory of the stationary solutions to the parametric problems; regularity as a generic property; path-following methods

·          Statistical Analysis: delta theorems of first and higher order for random sets in infinite dimensional spaces and their selections; statistical tests for stochastic dominance; estimation of measures of risk and Lorenz functions.

·          Networks: efficient approach to evaluating network performance under uncertain load

·          Modeling and large-scale applied problems in ferrous metallurgy; optimal power generation under uncertainty

 

Consulting Service

Frequent reviewer and panelist for NSF and Department of Energy

Honors & Awards

Service and Membership In Professional Organizations

  • Guest-Editor-in-Chief of Annals of OR and SIAM Journal on Optimization 
  • Associate Editor of SIAM Journal on Optimization and a member of Society of Industrial and Applied Mathematics
  • Reviewer for Mathematical Reviews and a member of the American Mathematical Society
  • Past member of the Stochastic Programming Committee of the Mathematical Programming Society
  • Member of SIAM, AMS and the Union of Bulgarian Mathematicians
Appointments
  • 2007 - present
    Professor, Department Mathematical Sciences, Stevens Institute of Technology, Hoboken, New Jersey  
  • 2000 -2006
    Associate Professor, Department Mathematical Sciences, Stevens Institute of Technology, Hoboken, New Jersey
  • 1999 - 2000
    Assistant Professor, Department of Industrial and Manufacturing Systems Engineering, Lehigh University, Pennsylvania
  • 1997 - 1999
    Visiting Scholar, RUTCOR, Rutgers Center for Operations Research, Rutgers University, New Brunswick, New Jersey
  • 1994 - 1997
    Research Scholar, Institute of Mathematics, Humboldt University, Berlin, Germany
  • 1982 - 1994
    Research Scholar, Department of Operations Research, Institute of Mathematics, Bulgarian Academy of Sciences, Sofia, Bulgaria (On leave)
     
Grants, Contracts & Funds
  • NSF CMII Research award Successive Risk-Neutral Approximations of Dynamic Risk-Averse Optimization Problems
  • NSF DMS Research award Dynamic Stochastic Optimization with Stochastic Dominance Constraints and Risk Functionals
  • NSF DMS Research award Semi-Infinite Probabilistic Optimization
  • NSF DMI Research award Risk-Averse Stochastic Optimization
  • DARPA Research award Error-Resilient Collective Decisions and Sensor Allocation
  • Humboldt University Berlin, Germany, research award Stability and Asymptotic Behavior of Solutions to Stochastic Optimization Problems
  •  DAAD (Deutsche Akademische Austausch Dienst) Exchange Visitor support
Selected Publications
Reports
  1. C. Vitt, D. Dentcheva, A. Ruszczy'nski, N. Yue. Risk-averse Radiation Therapy Design, under review in European Journal of Operations Research.
  2. D. Dentcheva, M. Neyret. Stochastic orders in risk-averse optimization, under review in Frontiers of Applied Mathematics and Statistics.
  3. D. Dentcheva, Constantive Vitt. Risk-averse classification, under second round of review in Annals of Operations Research.
  4. D. Dentcheva, M. Neyret. Conjugate duality and its application to stochastic orders, submitted.
  5. D. Dentcheva, G.J. Stock. Asymptotic behavior of stochastic optimization problems with composite risk functionals, submitted.
  6. D. Dentcheva. (1997). "Differentiable selections of set-valued mappings and asymptotic behavior of random sets in infinite dimensions", Institute fuer Mathematik, Humboldt-Universitaet Berlin, Germany, Preprint 97-7.
  7. D. Dentcheva. (2004). "Inverse modeling of coastal ocean processes, Stevens Institute of technology".
Conference Proceedings
  1. D. Dentcheva , A. Ruszczy'nski. (2017). "Risk-Averse Control of Continuous-Time Markov Chains", Proceedings of the Conference on Control and its Applications, SIAM. doi: 10.1137/1.9781611975024.11 . p. 78-85.
  2. W. J. Ma, D. Dentcheva and M. M. Zavlanos. (2017). Risk - averse sensor planning using distributed policy gradient, 2017 American Control Conference (ACC), Seattle, WA. doi: 10.23919/ACC.2017.7963704 . pp. 4839-4844.
  3. D. Dentcheva, E. Wolfhagen. (2013). Optimization with multivariate stochastic dominance constraints, in Safety, Reliability, Risk, and Life-Cycle Performance of Structures and Infrastructures; Deodatis, Elingwood, Frangopol (Eds.), Taylor & Francis Group, London, Proceedings of 11th International Conference on StructuralSafety & Reliability, 8p.
  4. D. Dentcheva. Two-stage optimization problems with stochastic-order constraints, in Safety, Reliability, Risk, and Life-Cycle Performance of Structures and Infrastructures; Deodatis, Elingwood, Frangopol (Eds.), Taylor & Francis Group, London, Proceedings of 11th International Conference on StructuralSafety & Reliability, 2013, 8p.
  5. N. Chatzipanagiotis, D. Dentcheva and M. M. Zavlanos. "Approximate Augmented Lagrangians for Distributed Network Optimization", Proceedings of the 51st IEEE Conference on Decision and Control, 8p.
  6. D. Dentcheva, A. Ruszczy'nski. (2005). Risk Shaping by Stochastic Dominance Constraints, Proceedings of NSF DMII Grantees Conference, Arizona, Scottsdale.
  7. D. Dentcheva, R. Gollmer, A. M'oller, W. R'omisch, R. Schultz. (1997). Solving the unit commitment problem for power generation via primal and dual methods, in: Progress in Industrial Mathematics at ECMI 96, (M. Brons at al, Eds.), B.G.Teubner, Stuttgart. 332-339.
  8. D. Dentcheva, A. M'oller, P. Reeh, W. R'omisch, R. Schultz, G. Schwarzbach, J. Thomas. (1996). Optimale Blockauswahl bei der Kraftwerkeinsatzplanung, in: Mathematik - Schlsseltechnologie f'ur die Zukunft, (K. H. Hoffmann, W. J'ager, T. Lohmann, H. Schunck Eds.), Springer Verlag, Berlin(in German).. 567-577.
  9. P. Braun, B. Brosowski, D. Dentcheva. (1994). Analysis of colored Petri nets using linear optimization, in: Algorithmen und Werkzeuge f'ur Petri Netze, (J. Desel, A. Oberweis, W. Reisig, Eds.), Workshop der GI-Fachgruppe 001, Berlin. Bericht 309 des AIFB Universitaet Karlsruhe(TH). 1-8.
  10. D. Dentcheva, R. Gollmer, J. Guddat, J. J. Rckmann. (1995). Path-following methods in nonlinear optimization II: Exact penalty embedding, in: Approximation and Optimization in the Caribbean II, (M. Florenzano et al., Eds.), Verlag Peter Lang, Frankfurt am Main. 200-230.
  11. D. Dentcheva. (1994). "Regularity and well-posedness of one-parametric optimization problems", Mathematics and Education in Mathematics, Sofia. 245-351.
  12. D. Pateva. (1990). "On a notion of weak singularity for one-parametric optimization problems", Mathematics and Education in Mathematics, Sofia. 382-387.
  13. D. Pateva. (1988). Stationary solution for one-parametric linear optimization problems under regularity conditions, Mathematics and Education in Mathematics, Sofia. 334-339.
  14. J. Alkalay, P. Goranov, C. Nedeva, D. Pateva, K. Julipov. (1986). Assessment of solutions for steel strip stretching process via simulation in: Enhancement of steel strips useful properties, Ceskoslovenska Vedeckotechnicka Spolecnost, Dum techniky CSVTS, Ostrava, Gottwaldov.
  15. J. Alkalay, P. Goranov, R. Ivanov, C. Nedeva, D. Pateva, P. Milanov. (Oct 15, 1986). "Generation of production schemes for ferrous metallurgy by simulation and stochastic optimization", Proceedings of the IV international conference on Statistical Methods in the Experimental Research and Quality Control. Varna, Zlatni Pjasaci, DKIT, Bulgaria (in Bulgarian) .
Journals
  1. D. Dentcheva, A. Ruszczy'nski. "Time-Consistent Risk Evaluation for Continuous-Time Markov Chains", SIAM J. Financial Mathematics, to appear.
  2. D. Dentcheva, G.J. Stock. (2018). "On the price of risk in a mean-risk optimization model", Quantitative Finance, 10.1080/14697688.2018.1436765.
  3. W.J. Ma, C Oh, Y Liu, D Dentcheva, MM Zavlanos. "Risk-Averse Access Point Selection in Wireless Communication Networks", IEEE Transactions on Control of Network Systems, 10.1109/TCNS.2018.2792309.
  4. D. Dentcheva, S. Penev, A. Ruszczy'nski, A.. (2017). "Statistical estimation of composite risk functionals and risk optimization problems", Annals of the Institute of Statistical Mathematics, 69 (4), 737-760.
  5. D. Dentcheva, G. Martinez, and E. Wolfhagen. (2016). "Augmented Lagrangian Methods for Solving Optimization Problems with Stochastic-Order Constraints", Operations Research, 64.6 . pp. 1451-1465.
  6. D. Dentcheva, E. Wolfhagen. (2016). "Two-stage optimization problems with multivariate stochastic order constraints", Mathematics of Operations Research, 41.1. p. 1-22.
  7. N. Chatzipanagiotis, D. Dentcheva, and M. M. Zavlanos. (2015). "An augmented Lagrangian method for distributed optimization", Mathematical Programming, 1-2. 152 p. 405-434.
  8. D. Dentcheva, E. Wolfhagen. (2015). "Optimization with multivariate stochastic dominance constraints", SIAM Journal on Optimization, 25.1 . 564-588.
  9. D. Dentcheva, A. Ruszczy'nski. (2014). "Risk preferences on the space of quantile functions", Mathematical Programming , 1-2 . 148 181-200.
  10. D. Dentcheva, W. R'omisch. (2013). "Stability and sensitivity of stochastic dominance constrained optimization models", SIAM Journal on Optimization, 23.3. 1672-1688.
  11. D. Dentcheva, A. Ruszczy'nski. (2013). "Common Mathematical Foundations of Expected Utility and Dual Utility Theories", SIAM Journal on Optimization, 23.1 p. 381-405.
  12. D. Dentcheva, G. Martinez. (2013). "Regularization methods for optimization problems with probabilistic constraints", Mathematical Programming, Ser. A . 138 pp. 223-251.
  13. D. Dentcheva, A. Ruszczy'nski. (2012). "Convex Analysis Approach to Utility Theories: Dual Utility", Comptes Rendus de l'Academie Bulgare des Sciences, 65 (12), pp. 1641-1648.
  14. D. Dentcheva, A. Ruszczy'nski. (2012). "Convex Analysis Approach to Utility Theories: Expected Utility", Comptes Rendus de l'Academie Bulgare des Sciences, 65 (11), pp.1483-1488.
  15. D. Dentcheva, G. Martinez. (2012). "Two-stage stochastic optimization problems with stochastic ordering constraints on the recourse", European Journal of Operational Research, 219 (1), pp. 1-8.
  16. Darinka Dentcheva, Gregory J. Stock, Ludmyla Rekeda. (2011). "Mean-risk tests of stochastic dominance", Statistics & Decisions, 28 97-118.
  17. D. Dentcheva, G. Martinez. (2012). "Augmented Lagrangian method for probabilistic optimization", Annals of Operations Research, 200 (1), pp. 109-130.
  18. D. Dentcheva, S. Penev, A. Ruszczy'nski. (2010). "Kusuoka representation of higher order dual risk measures", Annals of Operations Research, 181 325-335.
  19. D. Dentcheva, S. Penev. (2010). "Shape-restricted inference for Lorenz curves using duality theory", Statistics and Probability Letters, 80 403-412.
  20. D. Dentcheva, A. Ruszczy'nski. (2010). "Robust stochastic dominance constraints", Mathematical Programming Series, B. 123 85-100.
  21. D. Dentcheva, A. Ruszczy'nski. (2010). "Inverse Cutting Plane Methods for Optimization Problems with Second Order Stochastic Dominance Constraints", Optimization, 59 323-338.
  22. D. Dentcheva, A. Ruszczy'nski. (2008). "Stochastic dynamic optimization with discounted stochastic dominance constraints", SIAM J. Control and Optimization, 47 (5), 2540-556.
  23. D. Dentcheva, A. Ruszczy'nski. (2008). "Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization", Pacific Journal of Optimization, 4 (3), 433-446.
  24. D. Dentcheva, A. Ruszczy'nski. (2008). "Stochastic dominance for sequences and implied utility in dynamic optimization", Comptes Rendus de l'Academie Bulgare des Sciences, 57 (1), 15-22.
  25. D. Dentcheva, A. Ruszczy'nski. (2007). "Composite semi - infinite optimization", Control and Cybernetics, 36 (3), 633-646.
  26. D. Dentcheva, A. Ruszczy'nski. (2009). "Optimization with multivariate stochastic dominance constraints", Mathematical Programming, 117 (1), 111-127.
  27. D. Dentcheva, R. Henrion, A Ruszczy'nski. (2007). "Stability and sensitivity of optimization problems with first order stochastic dominance constraints", SIAM Journal on Optimization, 18 322-337.
  28. D. Dentcheva, A. Ruszczy'nski. (2006). "Inverse stochastic dominance constraints and rank dependent utility theory", Mathematical Programming, 108 297-311.
  29. D. Dentcheva, A. Ruszczy'nski. (2006). "Portfolio Optimization with stochastic dominance constraints", Journal on Banking and Finance, 30/2 433-451.
  30. D. Dentcheva, A. Ruszczy'nski. (2005). "Inverse stochastic dominance constraints and quantile utility theory", Comptes Rendus de l'Academie Bulgare des Sciences, 58 (2), 11-16.
  31. D. Dentcheva, A. Ruszczy'nski. (2004). "Semi-infinite probabilistic optimization: first-order stochastic dominance constraints", Optimization, 53 583-601.
  32. D. Dentcheva, A. Ruszczy'nski. (2004). "Convexification of stochastic ordering constraints", Comptes Rendus de l'Academie Bulgare des Sciences, No.4. 57 11-16.
  33. D. Dentcheva, B. Lai, A Ruszczy'nski. (2004). "Dual approach to probabilistic optimization", Mathematical Methods of Operations Research, No. 2. 60 331-346.
  34. D. Dentcheva, A. Ruszczy'nski. (2004). "Stochastic optimization with nonlinear dominance constraints", Mathematical Programming, 99 329-350.
  35. D. Dentcheva, A. Ruszczy'nski. (2003). "Stochastic optimization with dominance constraints", SIAM Journal on Optimization, 14 548-566.
  36. D. Dentcheva, A. Ruszczy'nski. (2003). "Optimization under nonlinear stochastic dominance", Comptes Rendus de l'Academie Bulgare des Sciences, No.7. 56 26-31.
  37. D. Dentcheva, A. Ruszczy'nski. (2003). "Optimization under linear stochastic dominance", Comptes Rendus de l'Academie Bulgare des Sciences, No.6. 56 5-10.
  38. D. Dentcheva, W. R'omisch. (2004). "Lagrangian relaxation and duality gap estimation for non-convex stochastic optimization models", Mathematical Programming, 101 515-535.
  39. D. Dentcheva. (2001). "Continuity of multifunctions characterized by Steiner selections", Nonlinear Analysis: Theory, Methods & Applications. 47 1985-1996.
  40. D. Dentcheva, A. Prekopa, A. Ruszczy'nski. (2001). "On convex probabilistic programs with discrete distributions", Nonlinear Analysis: Theory, Methods & Applications, 47 1997-2009.
  41. D. Dentcheva, A. Prekopa, A. Ruszczy'nski. (2002). "Bounds for integer stochastic programs with probabilistic constraints", Discrete Applied Mathematics, 124 55-65.
  42. D. Dentcheva, A. Prekopa, A. Ruszczy'nski. (2000). "Concavity and efficient points for discrete distributions in stochastic programming", Mathematical Programming, 89 55-79.
  43. D. Dentcheva. (2001). "On differentiability of metric projections onto moving convex sets, Annals of Operations Research", 101 283-298.
  44. D. Dentcheva. (2001). "Approximations, extensions and univalued representations of multifunctions", Nonlinear Analysis: Theory, Methods & Applications, 45 85-108.
  45. D. Dentcheva. (2000). "Regular Castaing Representations with Application to Stochastic Programming", SIAM Journal on Optimization, 10 732-749.
  46. D. Dentcheva, W. R'omisch. (2000). "Differential stability of two-stage stochastic programs", SIAM Journal on Optimization, 11 87-112.
  47. D. Dentcheva. (1998). "Differentiable selections and Castaing representations of multifunctions", Journal of Mathematical Analysis and Applications, 223 371-396.
  48. D. Dentcheva, S. Helbig. (1996). "On variational principles, level sets, well-posedness and ε-solutions in vector optimization", Journal of Optimization Theory and Applications, 89 325-349.
  49. D. Dentcheva, W. R'omisch, R. Schultz. (1995). "Strong convexity and directional derivatives of marginal values in two-stage stochastic programming, in: Stochastic Programming: Numerical Techniques and Engineering Applications, Lecture Notes in Economics and Mathematical Systems", Springer Verlag, Berlin . Vol.423 8-21.
  50. D. Dentcheva, J. Guddat, J. J. R'uckmann. (1995). "Path-following methods in nonlinear optimization III: Lagrange multiplier embedding", Mathemtical Methods of OR, 41 127-152.
  51. S. Helbig, D. Pateva. (1994). "Several concepts for ε- efficiency", OR Spektrum, 16 179-186.
  52. P. Milanov, D. Pateva. (1992). "On Malfatti problem for equilateral triangles", Mathematics and Informatics, 3 1-8.
  53. D. Pateva. (1991). "On singularities in one-parametric linear programs", Optimization, 22 193-219.
  54. D. Pateva. (1990). "Most of the linear one-parametric optimization problems are regular", Mathematica Balcanica, 34 401-410.
Generic
  1. A. Shapiro, D. Dentcheva, A. Ruszczy'nski. (2014). Lecture Notes on Stochastic Programming Modeling and Theory, SIAM and MPS,.
  2. D. Dentcheva, A. Ruszczy'nski.. (2011). "Chapter 9: Portfolio Optimization with Risk Control ", Stochastic Programming, The state of the Art , International Series in Operations Research and Management Sciences. Gerd Infanger, Stochastic Dominance Constraints.
  3. D. Dentcheva, A. Ruszczy'nski , T. Sz'antai. (2012). (Eds.) Stochastic Modeling and Optimization (in Honor of Andrs Prkopa's 80th Birthday), Annals of OR, 200 (1).
  4. D. Dentcheva, A Ruszczy'nski.. (2010). Risk-Averse Portfolio Optimization via Stochastic Dominance Constraints, (C. F. Lee, Editor) Handbook of quantitative finance.
  5. D. Dentcheva and Julian Revalski. (2007). Variational Analysis and Optimization, SIAM Journal on Optimization, 18 (3), pp. ix 1127.
  6. D. Dentcheva. (2005). Optimization problems with probabilistic constraints, in: Probabilistic and Randomized Methods for Design under Uncertainty (Calafiore, G. and F. Dabbene, Eds.), Springer Verlag, London. 47-95.
  7. D. Dentcheva. (2005). Regular selections of multifunctions and random sets, Habilitationsschrift, Humboldt University Berlin, Germany .
  8. Dentcheva, W. R'omisch.. (1998). Optimal power generation under uncertainty via stochastic programming, in: Stochastic Programming Methods and Technical Applications, Lecture Notes in Economics and Mathematical Systems, 458 22-56.
  9. D. Dentcheva, W. R'omisch, R. Schultz.. (1995). Strong convexity and directional derivatives of marginal values in two-stage stochastic programming, in: Stochastic Programming: Numerical Techniques and Engineering Applications, Lecture Notes in Economics and Mathematical Systems, 423 8-21.
  10. D. Pateva. (1989). Structural analysis of parametric optimization problems, Ph.D. thesis, Humboldt University Berlin, Germany.
  11. D. Dentcheva. (1982). Discrete time simulation based on Petri nets, Master Thesis, Humboldt University Berlin, Germany. .