R. T. Rockafellar

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

Conditional value-at-risk for general loss distributions

R. T. Rockafellar, Stan Uryasev · Journal of Banking & Finance · 2002 · 3.7K citations

Business, Finance, Risk Management +14

Monotone Operators and the Proximal Point Algorithm

R. T. Rockafellar · SIAM Journal on Control and Optimization · 1976 · 3.6K citations

Natural Sciences, Computer Science, Algorithms +12

Scenarios and Policy Aggregation in Optimization Under Uncertainty

R. T. Rockafellar, Roger J.‐B. Wets · Mathematics of Operations Research · 1991 · 1.3K citations · Full text

Business, Decision Sciences, Decision Analysis +14

Augmented Lagrangians and Applications of the Proximal Point Algorithm in Convex Programming

R. T. Rockafellar · Mathematics of Operations Research · 1976 · 1.2K citations

Natural Sciences, Computer Science, Algorithms +14