Address
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Room 302, |
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Stevens Institute of Technology |
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Research Interests
Applied Mathematics, Optimization, Stochastic
Optimization, Mathematical Models of Risk, Statistics, Numerical Techniques.
Education
Dr.Sc. (Habilitation) in Mathematics
PhD in Mathematics
MSc in Mathematics and Computer Science
All
degrees conferred by Humboldt University,
Berlin , Germany
Employment History
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2007 |
Professor,
Department Mathematical Sciences, Stevens Institute of Technology, |
|
2000 -
2006 |
Associate
Professor, Department Mathematical Sciences, Stevens Institute of Technology,
|
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1999 -
2000 |
Assistant
Professor, Department of Industrial and Manufacturing Systems Engineering, |
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1997 -
1999 |
Visiting
Scholar, RUTCOR, |
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1994 -
1997 |
Research
Scholar, |
|
1982 -
1994 |
Research
Scholar, Department of Operations Research, |
Service and Membership In Professional Organizations
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 and a member of the Mathematical Programming Society
Member of Institute
for Operations Research and the Management Sciences
Member of the
Union
of Bulgarian Mathematicians
Stochastic Systems Seminar and related events
Current
seminar schedule and seminars archive
Past Events
SIAM Conference on
Optimization May
2008,
INFORMS Conference on
Optimization March
2008,
XI Conference on Stochastic Programming
August 2007,
23 IFIP TC 7 Conference on System Modeling
and Optimization, July 2007,
Non-smooth and Variational Analysis Meeting, June 20-22, 2007,
Special session on Risk-Averse Optimization at the AMS Sectional
Meeting, April 14 –15, 2007,
Fourth Rutgers-Stevens Workshop on Stochastic Systems, March 30 –31, 2007,
Third Rutgers-Stevens Workshop on
Stochastic Systems: Risk-Averse Optimization September 30 –October 1, 2005
10th Workshop on well-posedness
of optimization problems, September 2005, Bulgaria
Dagstuhl seminar
on Optimization with incomplete Information, January 2005, Germany
X International Conference on
Stochastic Programming, Tucson, Arizona, 2004
Optimization of
Stochastic Systems Conference at Stevens, April 30, 2004
Mathematical
Optimization Conference at Stevens, November 2002
Teaching Fall 2008
Graduate program Stochastic Systems Analysis and Optimization
The Department of Mathematics at Stevens offers an
interdisciplinary graduate program in Stochastic Systems to educate students in
the area of analysis and optimal decisions for complex systems involving
uncertain data. This unique program combines analysis of uncertainty and risk
with modern decision tools as stochastic optimization and stochastic optimal
control.
Full information and course description
Publications
D.
Dentcheva: Regular
selections of multifunctions and random sets, Habilitationsschrift, Humboldt-University Berlin ,
Germany
50. D. Dentcheva, A Ruszczynski: Stochastic dynamic
optimization with discounted stochastic dominance constraints, SIAM J. Control and Optimization,
accepted for publication.
49. D. Dentcheva, A Ruszczynski: Risk-Averse
Portfolio Optimization via Stochastic Dominance Constraints, in (C. F. Lee,
Editor) Handbook of quantitative finance, Springer-Verlag,
accepted for publication.
48. D. Dentcheva, A Ruszczynski: Duality between
coherent risk measures and stochastic dominance constraints in risk-averse
optimization, Pacific Journal of
Optimization, accepted for publication.
47. D. Dentcheva, A Ruszczynski: Stochastic dominance
for sequences and implied utility in dynamic optimization, Comptes Rendus de l'Academie
Bulgare des Sciences, 57 (2008) 1, 15-22.
46. D. Dentcheva, A Ruszczynski: Composite semi-infinite optimization, Control
and Cybernetics, 36 (2007) 3, 633-646.
45. D. Dentcheva, A Ruszczynski: Optimization with multivariate stochastic
dominance constraints, Mathematical Programming, DOI:
10.1007/s10107-007-0165-x, 2007
44. D. Dentcheva, R. Henrion, A Ruszczynski: Stability and sensitivity of optimization
problems with first order stochastic dominance constraints, SIAM Journal
on Optimization, 18 (2007)
322--333.
43. D. Dentcheva, A Ruszczynski: Risk shaping by
stochastic dominance constraints, Annals
of Operations Research, to appear.
42. D. Dentcheva, A Ruszczynski: Risk –averse portfolio optimization via
stochastic dominance constraints, in Stochastic
optimization Models in Finance, (Editor Gerd Infanger), Kluwer, to appear.
41. D. Dentcheva: Optimization models with probabilistic
constraints, in G. Calafiore and F. Dabbene (Eds.) Probabilistic and Randomized Methods for
Design under Uncertainty, 2006, Springer-Verlag,
40. D. Dentcheva, A Ruszczynski: Risk
Shaping by Stochastic Dominance Constraints, Proceedings of NSF DMII Grantees
Conference,
39. D. Dentcheva, A
Ruszczynski: Inverse stochastic dominance constraints and rank dependent
expected utility theory, Mathematical Programming 108 (2006) 297--311.
38. D. Dentcheva, A Ruszczynski: Portfolio Optimization with stochastic
dominance constraints, Journal of Banking
and Finance 30/2 (2006) 433--451.
37. D. Dentcheva, A Ruszczynski: Inverse stochastic dominance
constraints and quantile utility theory, Comptes Rendus de l'Academie Bulgare des Sciences
58 (2005) No.2, 11--16.
36. D. Dentcheva, A Ruszczynski: Semi-infinite probabilistic
constraints: optimality and convexification, Optimization 53 (2004) 583--601.
35. D. Dentcheva, A Ruszczynski: Convexification
of stochastic ordering constraints, Comptes Rendus de l'Academie Bulgare des Sciences
57 (2004) No.4, 11--16.
34. D. Dentcheva, B. Lai, A Ruszczynski: Dual
methods for probabilistic optimization, Mathematical Methods of OR (2004) 60:331—346.
33. D. Dentcheva, A Ruszczynski: Optimality and
duality theory for stochastic optimization with nonlinear dominance
constraints, Mathematical Programming 99 (2004) 329--350
32. D. Dentcheva, A Ruszczynski: Stochastic optimization with
dominance constraints, SIAM Journal on
Optimization, 14 (2003) 548--566.
31. D. Dentcheva, A Ruszczynski:
Optimization under nonlinear stochastic dominance, Comptes Rendus de l'Academie Bulgare des Sciences 56
(2003) No.7, 26--31.
30. D. Dentcheva, A Ruszczynski: Optimization under linear
stochastic dominance, Comptes Rendus de l'Academie Bulgare des Sciences
56 (2003), No.6, 5--10.
29. D. Dentcheva, W. Römisch: Lagrangian
relaxation and duality gap estimation for non-convex stochastic optimization
models, Mathematical
Programming, (2004), 101:515--535.
28. D. Dentcheva, Continuity of multifunctions
characterized by Steiner selections, Nonlinear Analysis:
Theory, Methods & Applications 47 (2001) 1985-1996.
27. D. Dentcheva, A. Prekopa, A. Ruszczynski, On convex
probabilistic programs with discrete distributions, Nonlinear
Analysis: Theory, Methods & Applications 47 (3) (2001) 1997-2009.
26. D. Dentcheva, A. Prekopa, A. Ruszczynski, Bounds for integer
stochastic programs with probabilistic constraints, Discrete
Applied Mathematics, 124, 2002, 55--65
25. D. Dentcheva, A. Prekopa, A. Ruszczynski, Concavity and
efficient points for discrete distributions in stochastic programming, Mathematical Programming, vol.89 (2000), 55-79.
24. D. Dentcheva, On differentiability of metric projections onto moving
convex sets, Annals of Operations Research 101
(2001) 283-298.
23. D. Dentcheva, Approximations, extensions and univalued
representations of multifunctions, Nonlinear Analysis: Theory, Methods & Applications 45
(2001) 85-108.
22. D. Dentcheva, Regular Castaing
Representations with Application to Stochastic Programming, SIAM Journal on Optimization, vol.10 (2000) 732-749.
21. D. Dentcheva, W. Römisch, Differential stability of two-stage
stochastic programs, SIAM Journal on Optimization,
vol.11 (2000), 87-112.
20. D. Dentcheva, Differentiable selections and Castaing
representations of multifunctions, Journal of Mathematical Analysis and Applications, 223
(1998) 371-396.
19. D. Dentcheva, A. Möller, P. Reeh, W. Römisch, R. Schultz, G. Schwarzbach,
J. Thomas, Optimale Blockauswahl
bei der Kraftwerkeinsatzplanung,
in: Mathemat
18. D. Dentcheva, R. Gollmer, A. Möller, W. Römisch, R. Schultz, 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 1997, 332-339.
17. D. Dentcheva, W. Römisch, Optimal power generation under
uncertainty via stochastic programming, in: Stochastic
Programming Methods and Technical Applications, Lecture Notes in
Economics and Mathematical Systems Vol. 458,
16. D. Dentcheva, W. Römisch, R. Schultz, 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, Vol.423, Springer-Verlag,
Berlin 1995, 8-21.
15. D. Dentcheva, S. Helbig, On variational principles, level sets, well-posedness and ε-solutions in vector optimization, Journal of Optimization Theory and Applications, 89 (1996)
325-349.
14. D. Dentcheva, R. Gollmer, J. Guddat, J.-J. Rückmann,
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, 1995, pp. 200-230
13. P. Braun, B. Brosowski, D. Dentcheva,
Analysis of colored Petri nets using linear optimization, in: Algorithmen und Werkzeuge fuer
Petri-Netze, (J. Desel,
A. Oberweis, W. Rei-sig,
Eds.), Workshop der GI-Fachgruppe 0.0.1 in Berlin,
1994, Bericht 309 des AIFB Universitaet
Karlsruhe (TH), p.1-8.
12. D. Dentcheva, J. Guddat, J.-J. Rückmann, Path-following methods in nonlinear optimization
III: Lagrange multiplier embedding, ZOR - Math. Methods
of OR 41 (1995) 127-152.
11. S. Helbig, D. Pateva,
Several concepts for ε-efficiency, OR Spektrum 16 (1994) 179-186
10. D. Pateva, Well-Posedness
and regularity of one-parametric optimization problems, Mathematics and Education in Mathematics,
9. P. Milanov, D. Pateva,
On Malfatti problem for equilateral triangles, Mathematics and Informatics 1 (1992) 3, 1-8.
8.D. Pateva, Structural analysis of
parametric optimization problems, Ph.D. thesis,
7. D. Pateva, On singularities in one-parametric
linear programs, Optimization, 22 (1991)
193-219.
6. D. Pateva, Most of the linear
one-parametric optimization problems are regular, Mathematica Balcanica
34 (1990) 401-410.
5. D. Pateva, On a notion of weak
singularity for one-parametric optimization problems, Mathematics and Education Mathematics, Sofia, 1990,
382-387.
4. D. Pateva, Stationary solution for
one-parametric linear optimization problems under regularity conditions, Mathematics and Education Mathematics, Sofia, 1988,
334-339.
3. J. Alkalay, P. Goranov,
C. Nedeva, D. Pateva, K. Julipov, Assessment of solutions for steel strip stretching
process via simulation, in: Enhancement of steel strips useful
properties, Ceskoslovenska Vedeckotechnicka Spolecnost, Dum techn
2. J. Alkalay, P. Goranov,
R. Ivanov, C. Nedeva, D. Pateva,
P. Milanov, 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, 14-17 Oct. 1986, Varna,
Zlatni Pjasaci, DKIT,
Bulgaria (in Bulgarian).
1.D. Dentcheva, Discrete time simulation based on Petri nets, Master
Thesis,
The publications 2—11
have been published under my former name Darinka Pateva.
Personal Information
- Born
in Bulgaria
- I
love books, classical music and opera.
