15/10/2020 R.

Tyrrell Rockafellar - Wikipedia

R. Tyrrell Rockafellar
Ralph Tyrrell Rockafellar (born February 10, 1935) is an
American mathematician and one of the leading scholars in
Ralph Tyrrell Rockafellar
optimization theory and related fields of analysis and combinatorics.
He is the author of four major books including the landmark text
“Convex Analysis” (1970), which has been cited more than 27000
times according to Google Scholar and remains the standard
reference on the subject, and "Variational Analysis" (1998, with Roger
J-B Wets) for which the authors received the Frederick W. Lanchester
Prize from the Institute for Operations Research and the Management
Sciences (INFORMS).

He is professor emeritus at the departments of mathematics and R. Tyrrell ("Terry") Rockafellar in

applied mathematics at the University of Washington, Seattle. 1977
Born February 10, 1935
Milwaukee, Wisconsin
Contents Nationality American
Early life and education Alma mater Harvard University
Career Known for Convex analysis
Research Monotone operator
Contributions to Mathematics Calculus of variation
Contributions to Applications Stochastic
programming
Selected publications
Books Oriented matroid

Papers Awards Dantzig Prize of SIAM

and MPS 1982
See also
von Neumann citation
Notes of SIAM 1992
References Frederick W.
External links Lanchester Prize of
INFORMS 1998
John von Neumann
Early life and education Theory Prize of
INFORMS 1999
Ralph Tyrrell Rockafellar was born Milwaukee, Wisconsin.[1]. He is Doctor Honoris
named after his father Ralph Rockafellar, with Tyrrell being his Causa:
mother’s maiden name. Since his mother was fond of the name Terry, Groningen,
the parents adopted it as a nickname for Tyrrell and soon everybody Montpellier, Chile,
referred to him as Terry[2]. Alicante

Rockafellar is a distant relative of the American business magnate and Scientific career
philanthropist John D. Rockefeller. They both can trace their Fields Mathematical
ancestors back to two brothers named Rockenfelder that came to optimization
America from the Rhineland-Pfaltz region of Germany in 1728. Soon
the spelling of the family name evolved, resulting in Rockafellar, Institutions University of
Rockefeller, and many other versions of the name[3]. Washington 1966-
University of Florida
(adjunct) 2003-

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Rockafellar moved to Cambridge, Massachusetts to attend Harvard University of Texas,

College in 1953. Majoring in mathematics, he graduated from Austin 1963–1965
Harvard in 1957 with summa cum laude. He was also elected for the
Thesis Convex Functions and
Phi Beta Kappa honor society. Rockafellar was a Fulbright Scholar at
Dual Extremum
the University of Bonn in 1957–58 and completed a Master of Science
degree at Marquette University in 1959. Formally under the guidance Problems (http://hollis.
of Professor Garrett Birkhoff, Rockafellar completed his Doctor of harvard.edu/?itemid
Philosophy degree in mathematics from Harvard University in 1963 =%7Clibrary/m/aleph) (1
with the dissertation “Convex Functions and Dual Extremum Doctoral Garrett Birkhoff
Problems.” However, at the time there was little interest in convexity advisor
and optimization at Harvard and Birkhoff was neither involved with
the research nor familiar with the subject[4]. The dissertation was Notable Peter Wolenski
inspired by the duality theory of linear programming developed by students Francis Clarke
John von Neumann, which Rockafellar learned about through Influences Albert W. Tucker
volumes of recent papers compiled by Albert W. Tucker at Princeton Werner Fenchel
University[5]. Rockafellar’s dissertation together with the Roger J-B Wets
contemporary work by Jean-Jacques Moreau in France are regarded
as the birth of convex analysis. Influenced Roger J-B Wets

Career
After graduating from Harvard, Rockafellar became Assistant Professor of Mathematics at the University
of Texas, Austin, where he also was affiliated with the Department of Computer Science. After two years,
he moved to University of Washington in Seattle where he filled joint positions in the Departments of
Mathematics and Applied Mathematics from 1966 to 2003 when he retired. He is presently Professor
Emeritus at the university. He has held adjunct positions at the University of Florida and Hong Kong
Polytechnic University.

Rockafellar was a visiting professor at the Mathematics Institute, Copenhagen (1964), Princeton
University (1965–66), University of Grenoble (1973–74), University of Colorado, Boulder (1978),
International Institute of Applied Systems Analysis, Vienna (1980–81), University of Pisa (1991),
University of Paris-Dauphine (1996), University of Pau (1997), Keio University (2009), National
University of Singapore (2011), University of Vienna (2011), and Yale University (2012).

Rockafellar received the Dantzig Prize from the Society for Industrial and Applied Mathematics (SIAM)
and the Mathematical Optimization Society in 1982, delivered the 1992 John von Neumann Lecture,
received with Roger J-B Wets the Frederick W. Lanchester Prize from the Institute for Operations
Research and the Management Sciences (INFORMS) in 1998 for the book “Variational Analysis.” In 1999,
he was awarded the John von Neumann Theory Prize from INFORMS. He was elected to the 2002 class of
Fellows of INFORMS[6]. He is the recipient of honorary doctoral degrees from University of Groningen
(1984), University of Montpellier (1995), University of Chile (1998), and University of Alicante (2000).
The Institute for Scientific Information (ISI) lists Rockafellar as a highly cited researcher.[7]

Research
Rockafellar’s research is motivated by the goal of organizing mathematical ideas and concepts into robust
frameworks that yield new insights and relations[8]. This approach is most salient in his seminal book
“Variational Analysis” (1998, with Roger J-B Wets), where numerous threads developed in the areas of
convex analysis, nonlinear analysis, calculus of variation, mathematical optimization, equilibrium theory,
and control systems were brought together to produce a unified approach to variational problems in finite
dimensions. These various fields of study are now referred to as variational analysis. In particular, the text
dispenses of differentiability as a necessary property in many areas of analysis and embraces
nonsmoothness, set-valuedness, and extended real-valuedness, while still developing far-reaching
calculus rules.

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Contributions to Mathematics

The approach of extending the real line with the values infinity and negative infinity and then allowing
(convex) functions to take these values can be traced back to Rockafellar’s dissertation and,
independently, the work by Jean-Jacques Moreau around the same time. The central role of set-valued
mappings (also called multivalued functions) was also recognized in Rockafellar’s dissertation and, in fact,
the standard notation ∂f(x) for the set of subgradients of a function f at x originated there.

Rockafellar contributed to nonsmooth analysis by extending the rule of Fermat, which characterizes
solutions of optimization problems, to composite problems using subgradient calculus and variational
geometry and thereby bypassing the implicit function theorem. The approach broadens the notion of
Lagrange multipliers to settings beyond smooth equality and inequality systems. In his doctoral
dissertation and numerous later publications, Rockafellar developed a general duality theory based on
convex conjugate functions that centers on embedding a problem within a family of problems obtained by
a perturbation of parameters. This encapsulates linear programming duality and Lagrangian duality, and
extends to general convex problems as well as nonconvex ones, especially when combined with an
augmentation.

Contributions to Applications

Rockafellar also worked on applied problems and computational aspects. In the 1970s, he contributed to
the development of the proximal point method, which underpins several successful algorithms including
the proximal gradient method often used in statistical applications. He placed the analysis of expectation
functions in stochastic programming on solid footing by defining and analyzing normal integrands.
Rockafellar also contributed to the analysis of control systems and general equilibrium theory in
economics.

Since the late 1990s, Rockafellar has been actively involved with organizing and expanding the
mathematical concepts for risk assessment and decision making in financial engineering and reliability
engineering. This includes examining the mathematical properties of risk measures and coining the terms
“conditional value-at-risk," in 2000 as well as “superquantile” and “buffered failure probability” in 2010,
which either coincide with or are closely related to expected shortfall.

Selected publications

Books
Rockafellar, R. T. (1997). Convex analysis. Princeton landmarks in mathematics (Reprint of the 1970
Princeton mathematical series 28 ed.). Princeton, NJ: Princeton University Press. pp. xviii+451.
ISBN 978-0-691-01586-6. MR 1451876 (https://www.ams.org/mathscinet-getitem?mr=1451876).
Rockafellar, R. T. (1974). Conjugate duality and optimization. Lectures given at the Johns Hopkins
University, Baltimore, Md., June, 1973. Conference Board of the Mathematical Sciences Regional
Conference Series in Applied Mathematics, No. 16. Society for Industrial and Applied Mathematics,
Philadelphia, Pa. vi+74 pp.
Rockafellar, R. T. (1981). The theory of subgradients and its applications to problems of optimization.
Convex and nonconvex functions. Heldermann Verlag, Berlin. vii+107 pp. ISBN 3-88538-201-6
Rockafellar, R. T. (1984). Network Flows and Monotropic Optimization. Wiley.
Rockafellar, R. T.; Wets, Roger J-B (2005) [1998]. Variational analysis (http://www.math.washington.e
du/~rtr/papers/VarAnalysis-RockWets.pdf) (PDF). Grundlehren der mathematischen Wissenschaften
(Fundamental Principles of Mathematical Sciences). 317 (third corrected printing ed.). Berlin:
Springer-Verlag. pp. xiv+733. doi:10.1007/978-3-642-02431-3 (https://doi.org/10.1007%2F978-3-642-
02431-3). ISBN 978-3-540-62772-2. MR 1491362 (https://www.ams.org/mathscinet-getitem?mr=1491
362). Retrieved 12 March 2012.
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Dontchev, A. L.; Rockafellar, R. T. (2009). Implicit functions and solution mappings. A view from
variational analysis. Springer Monographs in Mathematics. Springer, Dordrecht. xii+375 pp. ISBN 978-
0-387-87820-1.

Papers
Rockafellar, R. T. (1967). Monotone processes of convex and concave type. Memoirs of the American
Mathematical Society, No. 77 American Mathematical Society, Providence, R.I. i+74 pp.
Rockafellar, R. T. (1969). "The Elementary Vectors of a Subspace of " (1967)" (http://www.math.wa
shington.edu/~rtr/papers/rtr-ElemVectors.pdf) (PDF). In R. C. Bose and T. A. Dowling (ed.).
Combinatorial Mathematics and its Applications. The University of North Carolina Monograph Series
in Probability and Statistics. Chapel Hill, North Carolina: University of North Carolina Press. pp. 104–
127. MR 0278972 (https://www.ams.org/mathscinet-getitem?mr=0278972).
Rockafellar, R. T. (1970). "On the maximal monotonicity of subdifferential mappings" (https://doi.org/1
0.2140%2Fpjm.1970.33.209). Pacific J. Math. 33: 209–216. doi:10.2140/pjm.1970.33.209 (https://doi.
org/10.2140%2Fpjm.1970.33.209).
Rockafellar, R. T. (1973). "The multiplier method of Hestenes and Powell applied to convex
programming". J. Optimization Theory Appl. 12 (6): 555–562. doi:10.1007/bf00934777 (https://doi.org/
10.1007%2Fbf00934777).
Rockafellar, R. T. (1974). "Augmented Lagrange multiplier functions and duality in nonconvex
programming". SIAM J. Control. 12 (2): 268–285. doi:10.1137/0312021 (https://doi.org/10.1137%2F03
12021).
Rockafellar, R. T. (1976). "Augmented Lagrangians and applications of the proximal point algorithm in
convex programming". Math. Oper. Res. 1 (2): 97–116. CiteSeerX 10.1.1.298.6206 (https://citeseerx.is
t.psu.edu/viewdoc/summary?doi=10.1.1.298.6206). doi:10.1287/moor.1.2.97 (https://doi.org/10.128
7%2Fmoor.1.2.97).
Rockafellar, R. T. (1993). "Lagrange multipliers and optimality". SIAM Rev. 35 (2): 183–238.
doi:10.1137/1035044 (https://doi.org/10.1137%2F1035044). (1992 John von Neumann Lecture)
Rockafellar, R. T.; Wets, Roger J-B (1991). "Scenarios and policy aggregation in optimization under
uncertainty". Math. Oper. Res. 16 (1): 119–147. doi:10.1287/moor.16.1.119 (https://doi.org/10.1287%2
Fmoor.16.1.119).
Rockafellar, R. T.; Uryasev, S. (2000). "Optimization of conditional value-at-risk". Journal of Risk. 2:
493–517.
Rockafellar, R. T.; Uryasev, S.; Zabarankin, M. (2006). "Generalized deviations in risk analysis".
Finance and Stochastics. 10: 51–74.
Rockafellar, R. T.; Royset, J. O. (2010). "On buffered failure probability in design and optimization of
structures". Reliability Engineering and System Safety. 95: 499–510.
Rockafellar, R. T.; Uryasev, S. (2013). "The fundamental risk quadrangle in risk management,
optimization and statistical estimation". Surveys in Operations Research and Management Science.
18: 33–53.

See also
Convex analysis (c.f. Werner Duality (mathematics) Set-valued analysis
Fenchel) Monotone operator (Cyclic Pompeiu–Hausdorff
Convex function decomposition of maximal distance
monotone operator)
Characteristic function Mordukhovich, Boris
Oriented matroids (realizable
(convex analysis) OMs and applications) Stochastic programming
Closed convex function Variational analysis and
Carathéodory's theorem Control theory
Convex conjugate (convex hull)
Epigraph (mathematics) Lemma of Farkas Epigraph (mathematics)
Fenchel conjugate Monotropic programming Wets, Roger J-B
Tucker, Albert W.
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Legendre-Fenchel
transformation
Proper convex function
Subdifferential
Subgradient
Convex set
Carathéodory's
theorem
Convex cone

Notes
1. Q - S (https://books.google.com/?id=tf09BCmodB0C&q=Ralph+Tyrrell+Rockafellar+1935&dq=Ralph+
Tyrrell+Rockafellar+1935). 2005. ISBN 9780787673987.
2. Rockafellar, R.T. "About my name" (https://sites.math.washington.edu/~rtr/mypage.html). Personal
webpage. Retrieved 7 August 2020.
3. Rockafellar, R.T. "About my name" (https://sites.math.washington.edu/~rtr/mypage.html). Personal
webpage. Retrieved 7 August 2020.
4. "An Interview with R. Tyrrell Rockafellar" (http://www.mcs.anl.gov/~leyffer/views/15-1.pdf) (PDF).
SIAG/Opt News and Views. 15 (1). 2004.
5. "An Interview with R. Tyrrell Rockafellar" (http://www.mcs.anl.gov/~leyffer/views/15-1.pdf) (PDF).
SIAG/Opt News and Views. 15 (1). 2004.
6. Fellows: Alphabetical List (https://web.archive.org/web/20190510220119/https://www.informs.org/Rec
ognizing-Excellence/Fellows/Fellows-Alphabetical-List), Institute for Operations Research and the
Management Sciences, archived from the original (https://www.informs.org/Recognizing-Excellence/F
ellows/Fellows-Alphabetical-List) on 2019-05-10, retrieved 2019-10-09
7. In the Institute for Scientific Information highly cited researcher list, Rockafellar's author id is "A0071-
2003-A".
8. "An Interview with R. Tyrrell Rockafellar" (http://www.mcs.anl.gov/~leyffer/views/15-1.pdf) (PDF).
SIAG/Opt News and Views. 15 (1). 2004.

References
Aardal, Karen (July 1995). "Optima interview Roger J.-B. (sic.) Wets" (http://www.mathprog.org/Old-O
ptima-Issues/optima46.pdf) (PDF). Optima: Mathematical Programming Society Newsletter: 3–5.
"An Interview with R. Tyrrell Rockafellar" (http://www.mcs.anl.gov/~leyffer/views/15-1.pdf) (PDF).
SIAG/Opt News and Views. 15 (1). 2004.
Wets, Roger J-B (23 November 2005), Wets, Roger J-B (ed.), "Foreword", Special Issue on
Variational Analysis, Optimization, and their Applications (Festschrift for the 70th Birthday of R. Tyrrell
Rockafellar), Mathematical Programming, Berlin and Heidelberg: Springer Verlag, 104 (2): 203–204,
doi:10.1007/s10107-005-0612-5 (https://doi.org/10.1007%2Fs10107-005-0612-5), ISSN 0025-5610 (h
ttps://www.worldcat.org/issn/0025-5610)

External links
Homepage of R. Tyrrell Rockafellar (http://www.math.washington.edu/~rtr/mypage.html) at the
University of Washington.
R. Tyrrell Rockafellar (https://mathgenealogy.org/id.php?id=28318) at the Mathematics Genealogy
Project
Biography of R. Tyrrell Rockafellar (https://www.informs.org/content/view/full/271945) from the
Institute of Operations Research and the Management Sciences

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