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ORCIDAndrzej Ruszczynski
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2020 – today
- 2024
[j86]Andrzej Ruszczynski
, Shangzhe Yang:
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization. SIAM J. Optim. 34(3): 3064-3087 (2024)- [i4]Andrzej Ruszczynski, Shangzhe Yang:
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization. CoRR abs/2405.10815 (2024) - 2023
- [j85]Constantine Alexander Vitt, Darinka Dentcheva, Andrzej Ruszczynski, Nolan Sandberg:
The deepest event cuts in risk-averse optimization with application to radiation therapy design. Comput. Optim. Appl. 86(3): 1347-1372 (2023) - [j84]Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski:
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty. Math. Methods Oper. Res. 98(2): 231-268 (2023) - [j83]Zhengqi Lin, Andrzej Ruszczynski:
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems. SIAM J. Control. Optim. 61(6): 3559-3583 (2023) - [j82]Darinka Dentcheva, Andrzej Ruszczynski:
Mini-Batch Risk Forms. SIAM J. Optim. 33(2): 615-637 (2023) - [i3]Zhengqi Lin, Andrzej Ruszczynski:
Fast Dual Subgradient Optimization of the Integrated Transportation Distance Between Stochastic Kernels. CoRR abs/2312.01432 (2023) - 2022
- [j81]Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu:
A Stochastic Subgradient Method for Distributionally Robust Non-convex and Non-smooth Learning. J. Optim. Theory Appl. 194(3): 1014-1041 (2022) - [j80]Jingnan Fan, Andrzej Ruszczynski:
Process-based risk measures and risk-averse control of discrete-time systems. Math. Program. 191(1): 113-140 (2022) - 2021
- [j79]Yu Du, Xiaodong Lin, Minh Pham, Andrzej Ruszczynski:
Selective linearization for multi-block statistical learning. Eur. J. Oper. Res. 293(1): 219-228 (2021) - [j78]Minh Pham, Xiaodong Lin, Andrzej Ruszczynski, Yu Du:
An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems. J. Glob. Optim. 81(1): 179-202 (2021) - [j77]Umit Kose, Andrzej Ruszczynski:
Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures. J. Mach. Learn. Res. 22: 38:1-38:34 (2021) - [j76]Darinka Dentcheva, Andrzej Ruszczynski:
Subregular recourse in nonlinear multistage stochastic optimization. Math. Program. 189(1): 249-270 (2021) - [j75]Andrzej Ruszczynski:
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization. SIAM J. Control. Optim. 59(3): 2301-2320 (2021) - 2020
- [j74]Darinka Dentcheva, Andrzej Ruszczynski:
Risk forms: representation, disintegration, and application to partially observable two-stage systems. Math. Program. 181(2): 297-317 (2020) - [j73]Andrzej Ruszczynski:
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Optim. Lett. 14(7): 1615-1625 (2020) - [j72]Saeed Ghadimi, Andrzej Ruszczynski, Mengdi Wang:
A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization. SIAM J. Optim. 30(1): 960-979 (2020) - [i2]Umit Kose, Andrzej Ruszczynski:
Risk-Averse Learning by Temporal Difference Methods. CoRR abs/2003.00780 (2020) - [i1]Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu:
A Stochastic Subgradient Method for Distributionally Robust Non-Convex Learning. CoRR abs/2006.04873 (2020)
2010 – 2019
- 2018
- [j71]Jingnan Fan, Andrzej Ruszczynski:
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Math. Methods Oper. Res. 88(2): 161-184 (2018) - [j70]Darinka Dentcheva, Andrzej Ruszczynski:
Time-Coherent Risk Measures for Continuous-Time Markov Chains. SIAM J. Financial Math. 9(2): 690-715 (2018) - 2017
- [j69]Yu Du, Andrzej Ruszczynski:
Rate of Convergence of the Bundle Method. J. Optim. Theory Appl. 173(3): 908-922 (2017) - [j68]Yu Du, Xiaodong Lin, Andrzej Ruszczynski:
A Selective Linearization Method For Multiblock Convex Optimization. SIAM J. Optim. 27(2): 1102-1117 (2017) - 2015
- [j67]Sitki Gülten, Andrzej Ruszczynski:
Two-stage portfolio optimization with higher-order conditional measures of risk. Ann. Oper. Res. 229(1): 409-427 (2015) - [j66]Tsvetan Asamov, Andrzej Ruszczynski:
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Math. Program. 153(2): 459-493 (2015) - [c2]Jingnan Fan, Andrzej Ruszczynski:
Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems. SIAM Conf. on Control and its Applications 2015: 153-158 - [c1]Andrzej Ruszczynski, Jianing Yao:
A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation. SIAM Conf. on Control and its Applications 2015: 462-468 - 2014
- [b2]Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski:
Lectures on Stochastic Programming - Modeling and Theory, Second Edition. MOS-SIAM Series on Optimization 16, SIAM 2014, ISBN 978-1-61197-342-6, pp. I-XVII, 1-494 - [j65]Özlem Çavus, Andrzej Ruszczynski:
Computational Methods for Risk-Averse Undiscounted Transient Markov Models. Oper. Res. 62(2): 401-417 (2014) - [j64]Xiaodong Lin, Minh Pham, Andrzej Ruszczynski:
Alternating linearization for structured regularization problems. J. Mach. Learn. Res. 15(1): 3447-3481 (2014) - [j63]Andrzej Ruszczynski:
Erratum to: Risk-averse dynamic programming for Markov decision processes. Math. Program. 145(1-2): 601-604 (2014) - [j62]Darinka Dentcheva, Andrzej Ruszczynski:
Risk preferences on the space of quantile functions. Math. Program. 148(1-2): 181-200 (2014) - [j61]Özlem Çavus, Andrzej Ruszczynski:
Risk-Averse Control of Undiscounted Transient Markov Models. SIAM J. Control. Optim. 52(6): 3935-3966 (2014) - 2013
- [j60]Darinka Dentcheva, Andrzej Ruszczynski:
Common Mathematical Foundations of Expected Utility and Dual Utility Theories. SIAM J. Optim. 23(1): 381-405 (2013) - 2012
- [j59]Darinka Dentcheva, Andrzej Ruszczynski, Tamás Szántai:
Stochastic modeling and optimization (in honor of András Prékopa's 80th birthday). Ann. Oper. Res. 200(1): 1-2 (2012) - [j58]Ricardo A. Collado, Dávid Papp, Andrzej Ruszczynski:
Scenario decomposition of risk-averse multistage stochastic programming problems. Ann. Oper. Res. 200(1): 147-170 (2012) - [j57]Andrey Lizyayev, Andrzej Ruszczynski:
Tractable Almost Stochastic Dominance. Eur. J. Oper. Res. 218(2): 448-455 (2012) - 2011
- [j56]Sungyong Choi, Andrzej Ruszczynski:
A multi-product risk-averse newsvendor with exponential utility function. Eur. J. Oper. Res. 214(1): 78-84 (2011) - [j55]Naomi Miller, Andrzej Ruszczynski:
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition. Oper. Res. 59(1): 125-132 (2011) - [j54]Sungyong Choi, Andrzej Ruszczynski, Yao Zhao:
A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk. Oper. Res. 59(2): 346-364 (2011) - 2010
- [j53]Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski:
Kusuoka representation of higher order dual risk measures. Ann. Oper. Res. 181(1): 325-335 (2010) - [j52]Andrzej Ruszczynski:
Commentary - Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming. INFORMS J. Comput. 22(1): 20-22 (2010) - [j51]Darinka Dentcheva, Andrzej Ruszczynski:
Robust stochastic dominance and its application to risk-averse optimization. Math. Program. 123(1): 85-100 (2010) - [j50]Andrzej Ruszczynski:
Risk-averse dynamic programming for Markov decision processes. Math. Program. 125(2): 235-261 (2010)
2000 – 2009
- 2009
- [b1]Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski:
Lectures on Stochastic Programming - Modeling and Theory. MOS-SIAM Series on Optimization, SIAM 2009, ISBN 978-0-89871-687-0, pp. I-XV, 1-431 - [j49]Darinka Dentcheva, Andrzej Ruszczynski:
Optimization with multivariate stochastic dominance constraints. Math. Program. 117(1-2): 111-127 (2009) - 2008
- [j48]Naomi Miller, Andrzej Ruszczynski:
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Eur. J. Oper. Res. 191(1): 193-206 (2008) - [j47]Sjur Didrik Flåm, Andrzej Ruszczynski:
Finding Normalized Equilibrium in Convex-concave Games. IGTR 10(1): 37-51 (2008) - [j46]Nilay Noyan, Andrzej Ruszczynski:
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Math. Program. 114(2): 249-275 (2008) - [j45]Andrzej Ruszczynski:
A merit function approach to the subgradient method with averaging. Optim. Methods Softw. 23(1): 161-172 (2008) - [j44]Sungyong Choi, Andrzej Ruszczynski:
A risk-averse newsvendor with law invariant coherent measures of risk. Oper. Res. Lett. 36(1): 77-82 (2008) - [j43]Darinka Dentcheva, Andrzej Ruszczynski:
Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints. SIAM J. Control. Optim. 47(5): 2540-2556 (2008) - [j42]Gábor Rudolf, Andrzej Ruszczynski:
Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods. SIAM J. Optim. 19(3): 1326-1343 (2008) - 2007
- [j41]Miguel A. Lejeune, Andrzej Ruszczynski:
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems. Oper. Res. 55(2): 378-394 (2007) - [j40]Andrzej Ruszczynski, Alexander Shapiro:
Corrigendum to: "Optimization of Convex Risk Functions, " Mathematics of Operations Research 31 (2006) 433 - 452. Math. Oper. Res. 32(2): 496 (2007) - [j39]Darinka Dentcheva, René Henrion, Andrzej Ruszczynski:
Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints. SIAM J. Optim. 18(1): 322-337 (2007) - 2006
- [j38]Andrzej Ruszczynski, Alexander Shapiro:
Optimization of Convex Risk Functions. Math. Oper. Res. 31(3): 433-452 (2006) - [j37]Andrzej Ruszczynski, Alexander Shapiro:
Conditional Risk Mappings. Math. Oper. Res. 31(3): 544-561 (2006) - [j36]Darinka Dentcheva, Andrzej Ruszczynski:
Inverse stochastic dominance constraints and rank dependent expected utility theory. Math. Program. 108(2-3): 297-311 (2006) - [j35]Nilay Noyan, Gábor Rudolf, Andrzej Ruszczynski:
Relaxations of linear programming problems with first order stochastic dominance constraints. Oper. Res. Lett. 34(6): 653-659 (2006) - 2005
- [j34]Georg Ch. Pflug, Andrzej Ruszczynski:
Measuring Risk for Income Streams. Comput. Optim. Appl. 32(1-2): 161-178 (2005) - [j33]Patrizia Beraldi, Andrzej Ruszczynski:
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Eur. J. Oper. Res. 167(1): 35-47 (2005) - 2004
- [j32]Darinka Dentcheva, Bogumila Lai, Andrzej Ruszczynski:
Dual methods for probabilistic optimization problems *. Math. Methods Oper. Res. 60(2): 331-346 (2004) - [j31]Warren B. Powell, Andrzej Ruszczynski, Huseyin Topaloglu:
Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems. Math. Oper. Res. 29(4): 814-836 (2004) - [j30]Darinka Dentcheva, Andrzej Ruszczynski:
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Math. Program. 99(2): 329-350 (2004) - 2003
- [j29]Darinka Dentcheva, Andrzej Ruszczynski:
Optimization with Stochastic Dominance Constraints. SIAM J. Optim. 14(2): 548-566 (2003) - 2002
- [j28]Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski:
Bounds for probabilistic integer programming problems. Discret. Appl. Math. 124(1-3): 55-65 (2002) - [j27]Donald L. Keefer, DeLyle Bloomquist, David Graziosi, Lei Lei, Andrzej Ruszczynski, Shuguang Liu, Hua Zhong:
Practice Abstracts. Interfaces 32(4): 67-68 (2002) - [j26]Patrizia Beraldi, Andrzej Ruszczynski:
The Probabilistic Set-Covering Problem. Oper. Res. 50(6): 956-967 (2002) - [j25]Andrzej Ruszczynski:
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Math. Program. 93(2): 195-215 (2002) - [j24]Patrizia Beraldi, Andrzej Ruszczynski:
A branch and bound method for stochastic integer problems under probabilistic constraints. Optim. Methods Softw. 17(3): 359-382 (2002) - [j23]Wlodzimierz Ogryczak, Andrzej Ruszczynski:
Dual Stochastic Dominance and Related Mean-Risk Models. SIAM J. Optim. 13(1): 60-78 (2002) - 2001
- [j22]Arkadii V. Kryazhimskii, Andrzej Ruszczynski:
Constraint Aggregation in Infinite-Dimensional Spaces and Applications. Math. Oper. Res. 26(4): 769-795 (2001) - [j21]Wlodzimierz Ogryczak, Andrzej Ruszczynski:
On consistency of stochastic dominance and mean-semideviation models. Math. Program. 89(2): 217-232 (2001) - 2000
- [j20]Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski:
Concavity and efficient points of discrete distributions in probabilistic programming. Math. Program. 89(1): 55-77 (2000) - [j19]Michael C. Ferris, Andrzej Ruszczynski:
Robust path choice in networks with failures. Networks 35(3): 181-194 (2000)
1990 – 1999
- 1999
- [j18]Andrzej Ruszczynski:
Some advances in decomposition methodsfor stochastic linear programming. Ann. Oper. Res. 85: 153-172 (1999) - [j17]Wlodzimierz Ogryczak, Andrzej Ruszczynski:
From stochastic dominance to mean-risk models: Semideviations as risk measures. Eur. J. Oper. Res. 116(1): 33-50 (1999) - [j16]Krzysztof C. Kiwiel, Charles H. Rosa, Andrzej Ruszczynski:
Proximal Decomposition Via Alternating Linearization. SIAM J. Optim. 9(3): 668-689 (1999) - 1998
- [j15]Vladimir I. Norkin, Yuri M. Ermoliev, Andrzej Ruszczynski:
On Optimal Allocation of Indivisibles Under Uncertainty. Oper. Res. 46(3): 381-395 (1998) - [j14]Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz:
On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse. Math. Methods Oper. Res. 47(1): 39-49 (1998) - [j13]Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz:
On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions. Math. Oper. Res. 23(1): 204-220 (1998) - [j12]Vladimir I. Norkin, Georg Ch. Pflug, Andrzej Ruszczynski:
A branch and bound method for stochastic global optimization. Math. Program. 83: 425-450 (1998) - 1997
- [j11]Andrzej Ruszczynski:
Decomposition methods in stochastic programming. Math. Program. 79: 333-353 (1997) - 1996
- [j10]Charles H. Rosa, Andrzej Ruszczynski:
On augmented Lagrangian decomposition methods for multistage stochastic programs. Ann. Oper. Res. 64(1): 289-309 (1996) - [j9]Yuri M. Ermoliev, Arkadii V. Kryazhimskii, Andrzej Ruszczynski:
Constraint aggregation principle in convex optimization. Math. Program. 76: 353-372 (1996) - 1995
- [j8]John M. Mulvey, Andrzej Ruszczynski:
A New Scenario Decomposition Method for Large-Scale Stochastic Optimization. Oper. Res. 43(3): 477-490 (1995) - [j7]Andrzej Ruszczynski:
On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization. Math. Oper. Res. 20(3): 634-656 (1995) - 1994
- [j6]Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski:
An Extension of the DQA Algorithm to Convex Stochastic Programs. SIAM J. Optim. 4(4): 735-753 (1994) - 1993
- [j5]Andrzej Ruszczynski:
Parallel decomposition of multistage stochastic programming problems. Math. Program. 58: 201-228 (1993) - 1992
- [j4]John M. Mulvey, Andrzej Ruszczynski:
A diagonal quadratic approximation method for large scale linear programs. Oper. Res. Lett. 12(4): 205-215 (1992)
1980 – 1989
- 1987
- [j3]Andrzej Ruszczynski:
A Linearization Method for Nonsmooth Stochastic Programming Problems. Math. Oper. Res. 12(1): 32-49 (1987) - 1986
- [j2]Andrzej Ruszczynski:
A regularized decomposition method for minimizing a sum of polyhedral functions. Math. Program. 35(3): 309-333 (1986) - 1980
- [j1]Andrzej Ruszczynski:
Feasible direction methods for stochastic programming problems. Math. Program. 19(1): 220-229 (1980)
Coauthor Index
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