Andrzej Ruszczynski

According to our database, Andrzej Ruszczynski authored at least 93 papers between 1980 and 2024.

Collaborative distances:

• Dijkstra number of four.
• Erdős number of four.

2024

A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization.

Andrzej Ruszczynski, Shangzhe Yang

SIAM J. Optim., 2024

2023

An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems.

Zhengqi Lin, Andrzej Ruszczynski

SIAM J. Control. Optim., December, 2023

The deepest event cuts in risk-averse optimization with application to radiation therapy design.

Constantine Alexander Vitt, Darinka Dentcheva, Andrzej Ruszczynski, Nolan Sandberg

Comput. Optim. Appl., December, 2023

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty.

Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski

Math. Methods Oper. Res., October, 2023

Mini-Batch Risk Forms.

Darinka Dentcheva, Andrzej Ruszczynski

SIAM J. Optim., 2023

Fast Dual Subgradient Optimization of the Integrated Transportation Distance Between Stochastic Kernels.

Zhengqi Lin, Andrzej Ruszczynski

CoRR, 2023

2022

Process-based risk measures and risk-averse control of discrete-time systems.

Jingnan Fan, Andrzej Ruszczynski

Math. Program., 2022

A Stochastic Subgradient Method for Distributionally Robust Non-convex and Non-smooth Learning.

Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu

J. Optim. Theory Appl., 2022

2021

A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization.

Andrzej Ruszczynski

SIAM J. Control. Optim., 2021

Subregular recourse in nonlinear multistage stochastic optimization.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2021

Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures.

Umit Kose, Andrzej Ruszczynski

J. Mach. Learn. Res., 2021

An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems.

Minh Pham, Xiaodong Lin, Andrzej Ruszczynski, Yu Du

J. Glob. Optim., 2021

Selective linearization for multi-block statistical learning.

Yu Du, Xiaodong Lin, Minh Pham, Andrzej Ruszczynski

Eur. J. Oper. Res., 2021

2020

A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization.

Saeed Ghadimi, Andrzej Ruszczynski, Mengdi Wang

SIAM J. Optim., 2020

Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization.

Andrzej Ruszczynski

Optim. Lett., 2020

Risk forms: representation, disintegration, and application to partially observable two-stage systems.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2020

A Stochastic Subgradient Method for Distributionally Robust Non-Convex Learning.

Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu

CoRR, 2020

Risk-Averse Learning by Temporal Difference Methods.

Umit Kose, Andrzej Ruszczynski

CoRR, 2020

2018

Time-Coherent Risk Measures for Continuous-Time Markov Chains.

Darinka Dentcheva, Andrzej Ruszczynski

SIAM J. Financial Math., 2018

Risk measurement and risk-averse control of partially observable discrete-time Markov systems.

Jingnan Fan, Andrzej Ruszczynski

Math. Methods Oper. Res., 2018

2017

A Selective Linearization Method For Multiblock Convex Optimization.

Yu Du, Xiaodong Lin, Andrzej Ruszczynski

SIAM J. Optim., 2017

Rate of Convergence of the Bundle Method.

Yu Du, Andrzej Ruszczynski

J. Optim. Theory Appl., 2017

2015

Time-consistent approximations of risk-averse multistage stochastic optimization problems.

Tsvetan Asamov, Andrzej Ruszczynski

Math. Program., 2015

Two-stage portfolio optimization with higher-order conditional measures of risk.

Sitki Gülten, Andrzej Ruszczynski

Ann. Oper. Res., 2015

A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation.

Andrzej Ruszczynski, Jianing Yao

Proceedings of the 2015 Proceedings of the Conference on Control and its Applications, 2015

Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems.

Jingnan Fan, Andrzej Ruszczynski

Proceedings of the 2015 Proceedings of the Conference on Control and its Applications, 2015

2014

Risk-Averse Control of Undiscounted Transient Markov Models.

Özlem Çavus, Andrzej Ruszczynski

SIAM J. Control. Optim., 2014

Erratum to: Risk-averse dynamic programming for Markov decision processes.

Andrzej Ruszczynski

Math. Program., 2014

Risk preferences on the space of quantile functions.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2014

Alternating linearization for structured regularization problems.

Xiaodong Lin, Minh Pham, Andrzej Ruszczynski

J. Mach. Learn. Res., 2014

Computational Methods for Risk-Averse Undiscounted Transient Markov Models.

Özlem Çavus, Andrzej Ruszczynski

Oper. Res., 2014

Lectures on Stochastic Programming - Modeling and Theory, Second Edition.

Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski

MOS-SIAM Series on Optimization 16, SIAM, ISBN: 978-1-61197-342-6, 2014

2013

Common Mathematical Foundations of Expected Utility and Dual Utility Theories.

Darinka Dentcheva, Andrzej Ruszczynski

SIAM J. Optim., 2013

2012

Tractable Almost Stochastic Dominance.

Andrey Lizyayev, Andrzej Ruszczynski

Eur. J. Oper. Res., 2012

Stochastic modeling and optimization (in honor of András Prékopa's 80th birthday).

Darinka Dentcheva, Andrzej Ruszczynski, Tamás Szántai

Ann. Oper. Res., 2012

Scenario decomposition of risk-averse multistage stochastic programming problems.

Ricardo A. Collado, Dávid Papp, Andrzej Ruszczynski

Ann. Oper. Res., 2012

2011

Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition.

Naomi Miller, Andrzej Ruszczynski

Oper. Res., 2011

A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk.

Sungyong Choi, Andrzej Ruszczynski, Yao Zhao

Oper. Res., 2011

A multi-product risk-averse newsvendor with exponential utility function.

Sungyong Choi, Andrzej Ruszczynski

Eur. J. Oper. Res., 2011

2010

Risk-averse dynamic programming for Markov decision processes.

Andrzej Ruszczynski

Math. Program., 2010

Robust stochastic dominance and its application to risk-averse optimization.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2010

Commentary - Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming.

Andrzej Ruszczynski

INFORMS J. Comput., 2010

Kusuoka representation of higher order dual risk measures.

Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski

Ann. Oper. Res., 2010

2009

Optimization with multivariate stochastic dominance constraints.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2009

Lectures on Stochastic Programming - Modeling and Theory

Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski

MOS-SIAM Series on Optimization, SIAM, ISBN: 978-0-89871-875-1, 2009

2008

Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods.

Gábor Rudolf, Andrzej Ruszczynski

SIAM J. Optim., 2008

Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints.

Darinka Dentcheva, Andrzej Ruszczynski

SIAM J. Control. Optim., 2008

A risk-averse newsvendor with law invariant coherent measures of risk.

Sungyong Choi, Andrzej Ruszczynski

Oper. Res. Lett., 2008

A merit function approach to the subgradient method with averaging.

Andrzej Ruszczynski

Optim. Methods Softw., 2008

Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints.

Nilay Noyan, Andrzej Ruszczynski

Math. Program., 2008

Finding Normalized Equilibrium in Convex-concave Games.

Sjur Didrik Flåm, Andrzej Ruszczynski

IGTR, 2008

Risk-adjusted probability measures in portfolio optimization with coherent measures of risk.

Naomi Miller, Andrzej Ruszczynski

Eur. J. Oper. Res., 2008

2007

Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints.

Darinka Dentcheva, René Henrion, Andrzej Ruszczynski

SIAM J. Optim., 2007

Corrigendum to: "Optimization of Convex Risk Functions, " <i>Mathematics of Operations Research</i> 31 (2006) 433 - 452.

Andrzej Ruszczynski, Alexander Shapiro

Math. Oper. Res., 2007

An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems.

Miguel A. Lejeune, Andrzej Ruszczynski

Oper. Res., 2007

2006

Relaxations of linear programming problems with first order stochastic dominance constraints.

Nilay Noyan, Gábor Rudolf, Andrzej Ruszczynski

Oper. Res. Lett., 2006

Inverse stochastic dominance constraints and rank dependent expected utility theory.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2006

Conditional Risk Mappings.

Andrzej Ruszczynski, Alexander Shapiro

Math. Oper. Res., 2006

Optimization of Convex Risk Functions.

Andrzej Ruszczynski, Alexander Shapiro

Math. Oper. Res., 2006

2005

Beam search heuristic to solve stochastic integer problems under probabilistic constraints.

Patrizia Beraldi, Andrzej Ruszczynski

Eur. J. Oper. Res., 2005

Measuring Risk for Income Streams.

Georg Ch. Pflug, Andrzej Ruszczynski

Comput. Optim. Appl., 2005

2004

Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints.

Darinka Dentcheva, Andrzej Ruszczynski

Math. Program., 2004

Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems.

Warren B. Powell, Andrzej Ruszczynski, Huseyin Topaloglu

Math. Oper. Res., 2004

Dual methods for probabilistic optimization problems ^*.

Darinka Dentcheva, Bogumila Lai, Andrzej Ruszczynski

Math. Methods Oper. Res., 2004

2003

Optimization with Stochastic Dominance Constraints.

Darinka Dentcheva, Andrzej Ruszczynski

SIAM J. Optim., 2003

2002

Dual Stochastic Dominance and Related Mean-Risk Models.

Wlodzimierz Ogryczak, Andrzej Ruszczynski

SIAM J. Optim., 2002

A branch and bound method for stochastic integer problems under probabilistic constraints.

Patrizia Beraldi, Andrzej Ruszczynski

Optim. Methods Softw., 2002

Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra.

Andrzej Ruszczynski

Math. Program., 2002

The Probabilistic Set-Covering Problem.

Patrizia Beraldi, Andrzej Ruszczynski

Oper. Res., 2002

Practice Abstracts.

Donald L. Keefer, DeLyle Bloomquist, David Graziosi, Lei Lei, Andrzej Ruszczynski, Shuguang Liu, Hua Zhong

Interfaces, 2002

Bounds for probabilistic integer programming problems.

Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski

Discret. Appl. Math., 2002

2001

On consistency of stochastic dominance and mean-semideviation models.

Wlodzimierz Ogryczak, Andrzej Ruszczynski

Math. Program., 2001

Constraint Aggregation in Infinite-Dimensional Spaces and Applications.

Arkadii V. Kryazhimskii, Andrzej Ruszczynski

Math. Oper. Res., 2001

2000

Robust path choice in networks with failures.

Michael C. Ferris, Andrzej Ruszczynski

Networks, 2000

Concavity and efficient points of discrete distributions in probabilistic programming.

Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski

Math. Program., 2000

1999

Proximal Decomposition Via Alternating Linearization.

Krzysztof C. Kiwiel, Charles H. Rosa, Andrzej Ruszczynski

SIAM J. Optim., 1999

From stochastic dominance to mean-risk models: Semideviations as risk measures.

Wlodzimierz Ogryczak, Andrzej Ruszczynski

Eur. J. Oper. Res., 1999

Some advances in decomposition methodsfor stochastic linear programming.

Andrzej Ruszczynski

Ann. Oper. Res., 1999

1998

A branch and bound method for stochastic global optimization.

Vladimir I. Norkin, Georg Ch. Pflug, Andrzej Ruszczynski

Math. Program., 1998

On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions.

Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz

Math. Oper. Res., 1998

On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse.

Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz

Math. Methods Oper. Res., 1998

On Optimal Allocation of Indivisibles Under Uncertainty.

Vladimir I. Norkin, Yuri M. Ermoliev, Andrzej Ruszczynski

Oper. Res., 1998

1997

Decomposition methods in stochastic programming.

Andrzej Ruszczynski

Math. Program., 1997

1996

Constraint aggregation principle in convex optimization.

Yuri M. Ermoliev, Arkadii V. Kryazhimskii, Andrzej Ruszczynski

Math. Program., 1996

On augmented Lagrangian decomposition methods for multistage stochastic programs.

Charles H. Rosa, Andrzej Ruszczynski

Ann. Oper. Res., 1996

1995

On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization.

Andrzej Ruszczynski

Math. Oper. Res., 1995

A New Scenario Decomposition Method for Large-Scale Stochastic Optimization.

John M. Mulvey, Andrzej Ruszczynski

Oper. Res., 1995

1994

An Extension of the DQA Algorithm to Convex Stochastic Programs.

Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski

SIAM J. Optim., 1994

1993

Parallel decomposition of multistage stochastic programming problems.

Andrzej Ruszczynski

Math. Program., 1993

1992

A diagonal quadratic approximation method for large scale linear programs.

John M. Mulvey, Andrzej Ruszczynski

Oper. Res. Lett., 1992

1987

A Linearization Method for Nonsmooth Stochastic Programming Problems.

Andrzej Ruszczynski

Math. Oper. Res., 1987

1986

A regularized decomposition method for minimizing a sum of polyhedral functions.

Andrzej Ruszczynski

Math. Program., 1986

1980

Feasible direction methods for stochastic programming problems.

Andrzej Ruszczynski

Math. Program., 1980