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Ruszczyński, Andrzej

Co-Author Distance
Author ID:
ruszczynski.andrzej Recent zbMATH articles by "Ruszczyński, Andrzej"
Published as:
Ruszczyński, Andrzej;Ruszczynski, Andrzej;Ruszczyński, A.;Ruszczynski, A.
Software Indexed:
1 Package
alltop 5

Co-Authors

30single-authored
36 Dentcheva, Darinka
7 Shapiro, Alexander
5 Mulvey, John M.
5 Pflug, Georg
4 Du, Yu
4 Lin, Xiaodong
4 Ogryczak, Włodzimierz
3 Beraldi, Patrizia
3 Choi, Sungyong
3 Ermoliev, Yuri M.
3 Fan, Jingnan
3 Prékopa, András
3 Syski, Wojciech
3 Szymanowski, Jacek
3 Yao, Jianing
2 Berger, Adam J.
2 Çavuş, Özlem
2 Gondzio, Jacek
2 Kryazhimskiĭ, Arkadiĭ Viktorovich
2 Miller, Naomi
2 Norkin, Vladimir I.
2 Noyan, Nilay
2 Penev, Spiridon I.
2 Rosa, Charles H.
2 Rudolf, Gábor
2 Schultz, Rüdiger
2 Yang, Shangzhe
1 Altman, Anna
1 Amann, Markus
1 Antipin, Anatoliĭ Sergeevich
1 Arthur, Brian W.
1 Asamov, Tsvetan
1 Banks, Harvey Thomas
1 Bielecki, Tomasz R.
1 Brdyś, Mieczysław A.
1 Brunovská, A.
1 Brunovský, Pavol
1 Burns, John A.
1 Cialenco, Igor
1 Collado, Ricardo A.
1 Deumlich, Reinhard
1 Dontchev, Asen L.
1 Elster, Karl-Heinz
1 Eremin, Ivan Ivanovich
1 Faner, M. A.
1 Fayard, Didier
1 Ferris, Michael C.
1 Flåm, Sjur Didrik
1 Fortuna, Zenon
1 Frauendorfer, Karl
1 Gessing, Ryszard S.
1 Ghadimi, Saeed
1 Giannessi, Franco
1 Gicev, Todor R.
1 Greengard, Claude
1 Grossmann, Christian
1 Guddat, Jürgen
1 Gülten, Sıtkı
1 Gürbüzbalaban, Mert
1 Henrion, René
1 Hille, G.
1 Holnicki, Piotr
1 Janiak, Andrzej
1 Jankowska-Zorychta, Zofia
1 Janus, Stefan
1 Jurina, Lorenzo
1 Kaliszewski, Ignacy
1 Kall, Peter
1 Khobotov, Ye. N.
1 Kiwiel, Krzysztof Czesław
1 Klaassen, Ger
1 Köse, Umit
1 Krarup, Jakob
1 Kreglewski, Tomasz
1 Krynski, Stanislaw L.
1 Lai, Bogumila
1 Lejeune, Miguel A.
1 Libura, Marek
1 Lin, Zhengqi
1 Lizyayev, Andrey
1 Maier, Giulio
1 Malanowski, Kazimierz D.
1 Malinowski, Krzysztof B.
1 Nguyen Dinh Quyet
1 Nykowski, Ireneusz
1 Olbrot, Andrzej W.
1 Papp, Dávid
1 Phan Quôc Khánh
1 Piehler, Joachim
1 Plateau, Gérard
1 Powell, Warren Buckler
1 Propoi, Anatoli I.
1 Pruzan, Peter Mark
1 Przeworska-Rolewicz, Danuta
1 Qi, Liqun
1 Rolewicz, Stefan
1 Saguez, Christian
1 Sandberg, Nolan
1 Schöpp, Wolfgang
1 Sokołowski, Jan
...and 15 more Co-Authors
alltop 5

Serials

20 Mathematical Programming. Series A. Series B
11 SIAM Journal on Optimization
9 European Journal of Operational Research
7 Mathematics of Operations Research
7 Operations Research
6 Doklady Bolgarskoĭ Akademii Nauk
5 Control and Cybernetics
5 Journal of Optimization Theory and Applications
5 Annals of Operations Research
4 Archiwum Automatyki i Telemechaniki
4 SIAM Journal on Control and Optimization
4 Operations Research Letters
4 Mathematical Methods of Operations Research
2 IEEE Transactions on Automatic Control
2 Mathematical Programming Study
2 Mathematical Programming
2 Optimization
2 Computational Optimization and Applications
2 Optimization Methods \& Software
2 Journal of Machine Learning Research (JMLR)
2 MOS-SIAM Series on Optimization
1 Discrete Applied Mathematics
1 Journal of Mathematical Analysis and Applications
1 Annals of the Institute of Statistical Mathematics
1 Econometrica
1 Networks
1 Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
1 Journal of Global Optimization
1 Archives of Control Sciences
1 International Transactions in Operational Research
1 INFORMS Journal on Computing
1 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
1 International Game Theory Review
1 Pacific Journal of Optimization
1 Handbooks in Operations Research and Management Science
1 The IMA Volumes in Mathematics and its Applications
1 Optimization Letters
1 SIAM Journal on Financial Mathematics
1 MPS/SIAM Series on Optimization
1 Springer Series in Operations Research and Financial Engineering

Publications by Year

Citations contained in zbMATH Open

115 Publications have been cited 4,539 times in2,685 DocumentsCited by ▼Year ▼
Lectures on stochastic programming. Modeling and theory. Zbl 1183.90005
Shapiro, Alexander;Dentcheva, Darinka;Ruszczyński, Andrzej
2009
Stochastic programming. Zbl 1115.90001
2003
Lectures on stochastic programming. Modeling and theory. 2nd ed. Zbl 1302.90003
Shapiro, Alexander;Dentcheva, Darinka;Ruszczyński, Andrzej
2014
Nonlinear optimization. Zbl 1108.90001
Ruszczyński, Andrzej
2006
Optimization of convex risk functions. Zbl 1278.90283
Ruszczynski, Andrzej;Shapiro, Alexander
2006
Dual stochastic dominance and related mean-risk models. Zbl 1022.91017
Ogryczak, Włodzimierz;Ruszczynski, Andrzej
2002
From stochastic dominance to mean-risk models: Semideviations as risk measures. Zbl 1007.91513
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
1999
Optimization with stochastic dominance constraints. Zbl 1055.90055
Dentcheva, Darinka;Ruszczynski, Andrzej
2003
Risk-averse dynamic programming for Markov decision processes. Zbl 1207.49032
Ruszczyński, Andrzej
2010
Conditional risk mappings. Zbl 1278.90284
Ruszczynski, Andrzej;Shapiro, Alexander
2006
A regularized decomposition method for minimizing a sum of polyhedral functions. Zbl 0599.90103
Ruszczyński, Andrzej
1986
A new scenario decomposition method for large-scale stochastic optimization. Zbl 0843.90086
Mulvey, John M.;Ruszczyński, Andrzej
1995
Concavity and efficient points of discrete distributions in probabilistic programming. Zbl 1033.90078
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2000
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Zbl 1065.90058
Ruszczyński, Andrzej
2002
On consistency of stochastic dominance and mean-semideviation models. Zbl 1014.91021
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
2001
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.;Pflug, Georg Ch.;Ruszczyński, Andrzej
1998
Lectures on stochastic programming. Modeling and theory. 3rd edition. Zbl 1487.90507
Shapiro, Alexander;Dentcheva, Darinka;Ruszczynski, Andrzej
2021
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Zbl 1098.90044
Dentcheva, Darinka;Ruszczyński, Andrzej
2004
Decomposition methods in stochastic programming. Zbl 0887.90129
Ruszczyński, Andrzej
1997
The probabilistic set-covering problem. Zbl 1163.90655
Beraldi, Patrizia;Ruszczynski, Andrzej
2002
A branch and bound method for stochastic integer problems under probabilistic constraints. Zbl 1064.90030
Beraldi, Patrizia;Ruszczyński, Andrzej
2002
Optimization of risk measures. Zbl 1181.90281
Ruszczyński, Andrzej;Shapiro, Alexander
2006
A multi-product risk-averse newsvendor with exponential utility function. Zbl 1218.91053
Choi, Sungyong;Ruszczyński, Andrzej
2011
Risk-averse two-stage stochastic linear programming: modeling and decomposition. Zbl 1218.90145
Miller, Naomi;Ruszczyński, Andrzej
2011
Optimization with multivariate stochastic dominance constraints. Zbl 1221.90069
Dentcheva, Darinka;Ruszczyński, Andrzej
2009
A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk. Zbl 1233.90016
Choi, Sungyong;Ruszczyński, Andrzej;Zhao, Yao
2011
Proximal decomposition via alternating linearization. Zbl 0958.65068
Kiwiel, Krzysztof C.;Rosa, Charles H.;Ruszczynski, Andrzej
1999
Parallel decomposition of multistage stochastic programming problems. Zbl 0777.90036
Ruszczyński, Andrzej
1993
Frontiers of stochastically nondominated portfolios. Zbl 1154.91475
Ruszczyński, Andrzej;Vanderbei, Robert J.
2003
Accelerating the regularized decomposition method for two stage stochastic linear problems. Zbl 0929.90067
Ruszczyński, Andrzej;Świȩtanowski, Artur
1997
Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods. Zbl 1198.90308
Rudolf, Gábor;Ruszczyński, Andrzej
2008
An efficient trajectory method for probabilistic production-inventory-distribution problems. Zbl 1167.90489
Lejeune, Miguel A.;Ruszczynski, Andrzej
2007
On optimal allocation of indivisibles under uncertainty. Zbl 0987.90064
Norkin, Vladimir I.;Ermoliev, Yuri M.;Ruszczyński, Andrzej
1998
On convergence of an augmented Lagrangian decomposition method for sparse convex optimization. Zbl 0845.90098
Ruszczyński, Andrzej
1995
Statistical estimation of composite risk functionals and risk optimization problems. Zbl 1447.62119
Dentcheva, Darinka;Penev, Spiridon;Ruszczyński, Andrzej
2017
Robust stochastic dominance and its application to risk-averse optimization. Zbl 1216.90064
Dentcheva, Darinka;Ruszczyński, Andrzej
2010
A risk-averse newsvendor with law invariant coherent measures of risk. Zbl 1152.91572
Choi, Sungyong;Ruszczyński, Andrzej
2008
Dual methods for probabilistic optimization problems. Zbl 1076.90038
Dentcheva, Darinka;Lai, Bogumila;Ruszczyński, Andrzej
2004
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization. Zbl 1206.90108
Dentcheva, Darinka;Ruszczyński, Andrzej
2008
A linearization method for nonsmooth stochastic programming problems. Zbl 0624.90078
Ruszczyński, Andrzej
1987
Approximation techniques in stochastic programming. Zbl 0665.90067
Kall, P.;Ruszczyński, A.;Frauendorfer, K.
1988
Tractable almost stochastic dominance. Zbl 1244.91112
Lizyayev, Andrey;Ruszczyński, Andrzej
2012
Stability and sensitivity of optimization problems with first order stochastic dominance constraints. Zbl 1160.90607
Dentcheva, Darinka;Henrion, René;Ruszczyński, Andrzej
2007
A diagonal quadratic approximation method for large scale linear programs. Zbl 0767.90047
Mulvey, John M.;Ruszczyński, Andrzej
1992
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Zbl 1142.91591
Miller, Naomi;Ruszczyński, Andrzej
2008
Semi-infinite probabilistic optimization: first-order stochastic dominance constraint. Zbl 1153.90513
Dentcheva, Darinka;Ruszczyński, Andrzej
2004
Inverse stochastic dominance constraints and rank dependent expected utility theory. Zbl 1130.91327
Dentcheva, Darinka;Ruszczyński, Andrzej
2006
Learning algorithms for separable approximations of discrete stochastic optimization problems. Zbl 1082.90079
Powell, Warren;Ruszczyński, Andrzej;Topaloglu, Huseyin
2004
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.;Ruszczyński, Andrzej
2005
A single timescale stochastic approximation method for nested stochastic optimization. Zbl 1441.90106
Ghadimi, Saeed;Ruszczyński, Andrzej;Wang, Mengdi
2020
Scenario decomposition of risk-averse multistage stochastic programming problems. Zbl 1255.90086
Collado, Ricardo A.;Papp, Dávid;Ruszczyński, Andrzej
2012
Kusuoka representation of higher order dual risk measures. Zbl 1209.91078
Dentcheva, Darinka;Penev, Spiridon;Ruszczyński, Andrzej
2010
Relaxations of linear programming problems with first order stochastic dominance constraints. Zbl 1112.90053
Noyan, Nilay;Rudolf, Gábor;Ruszczyński, Andrzej
2006
Bounds for probabilistic integer programming problems. Zbl 1173.90488
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2002
Dual stochastic dominance and quantile risk measures. Zbl 1038.91048
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
2002
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Zbl 1459.90168
Ruszczyński, Andrzej
2020
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints. Zbl 1218.90143
Dentcheva, Darinka;Ruszczyński, Andrzej
2010
On convex probabilistic programming with discrete distributions. Zbl 1042.90597
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2001
Risk-averse control of undiscounted transient Markov models. Zbl 1311.93087
Çavuş, Özlem;Ruszczyński, Andrzej
2015
Common mathematical foundations of expected utility and dual utility theories. Zbl 1271.91051
Dentcheva, Darinka;Ruszczyński, Andrzej
2013
A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems. Zbl 0597.90064
Ruszczyński, Andrzej;Syski, Wojciech
1986
Stochastic approximation method with gradient averaging for unconstrained problems. Zbl 0533.62076
Ruszczyński, Andrzej;Syski, Wojciech
1983
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Zbl 1327.90147
Asamov, Tsvetan;Ruszczyński, Andrzej
2015
Alternating linearization for structured regularization problems. Zbl 1319.62146
Lin, Xiaodong;Pham, Minh;Ruszczyński, Andrzej
2014
An augmented Lagrangian decomposition method for block diagonal linear programming problems. Zbl 1418.90156
Ruszczyński, Andrzej
1989
Stochastic dynamic optimization with discounted stochastic dominance constraints. Zbl 1180.90211
Dentcheva, Darinka;Ruszczyński, Andrzej
2008
On augmented Lagrangian decomposition methods for multistage stochastic programs. Zbl 0857.90096
Rosa, Charles H.;Ruszczyński, Andrzej
1996
An extension of the DQA algorithm to convex stochastic programs. Zbl 0830.90112
Berger, Adam J.;Mulvey, John M.;Ruszczyński, Andrzej
1994
A stochastic subgradient method for nonsmooth nonconvex multilevel composition optimization. Zbl 1470.90096
Ruszczyński, Andrzej
2021
Computational methods for risk-averse undiscounted transient Markov models. Zbl 1295.90100
Çavuş, Özlem;Ruszczyński, Andrzej
2014
Convexification of stochastic ordering. Zbl 1083.90031
Dentcheva, D.;Ruszczyński, A.
2004
Two-stage portfolio optimization with higher-order conditional measures of risk. Zbl 1319.91144
Gülten, Sıtkı;Ruszczyński, Andrzej
2015
Feasible direction methods for stochastic programming problems. Zbl 0442.90075
Ruszczynski, Andrzej
1980
Risk preferences on the space of quantile functions. Zbl 1311.91126
Dentcheva, Darinka;Ruszczyński, Andrzej
2014
Rate of convergence of the bundle method. Zbl 1373.90102
Du, Yu;Ruszczyński, Andrzej
2017
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Zbl 1407.90335
Fan, Jingnan;Ruszczyński, Andrzej
2018
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Zbl 1074.90031
Beraldi, Patrizia;Ruszczyński, Andrzej
2005
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Zbl 1145.90046
Noyan, Nilay;Ruszczyński, Andrzej
2008
Composite semi-infinite optimization. Zbl 1166.49025
Dentcheva, Darinka;Ruszczyński, Andrzej
2007
Commentary: Post-decision states and separable approximations are powerful tools of approximate dynamic programming. Zbl 1243.90162
Ruszczyński, Andrzej
2010
Risk-averse learning by temporal difference methods with Markov risk measures. Zbl 1539.68268
Köse, Umit;Ruszczyński, Andrzej
2021
Risk forms: representation, disintegration, and application to partially observable two-stage systems. Zbl 1445.90065
Dentcheva, Darinka;Ruszczyński, Andrzej
2020
Process-based risk measures and risk-averse control of discrete-time systems. Zbl 1489.90077
Fan, Jingnan;Ruszczyński, Andrzej
2022
A merit function approach to the subgradient method with averaging. Zbl 1146.90050
Ruszczyński, Andrzej
2008
Finding normalizes equilibrium in convex-concave games. Zbl 1152.91323
Flåm, S. D.;Ruszczyński, A.
2008
Robust path choice in networks with failures. Zbl 0961.90069
Ferris, Michael C.;Ruszczyński, Andrzej
2000
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.;Ruszczyński, Andrzej;Schultz, Rüdiger
1998
Some advances in decomposition methods for stochastic linear programming. Zbl 0919.90119
Ruszczyński, Andrzej
1999
A selective linearization method for multiblock convex optimization. Zbl 1366.90194
Du, Yu;Lin, Xiaodong;Ruszczyński, Andrzej
2017
Constraint aggregation principle in convex optimization. Zbl 0871.90063
Ermoliev, Yuri M.;Kryazhimskii, Arkadii V.;Ruszczyński, Andrzej
1997
Erratum to “Risk-averse dynamic programming for Markov decision processes”. Zbl 1291.49019
Ruszczyński, Andrzej
2014
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka;Ruszczyński, Andrzej
2018
On the regularized decomposition method for stochastic programming problems. Zbl 0834.90099
Ruszczyński, Andrzej
1995
Cost-effective sulphur emission reduction under uncertainty. Zbl 0909.90098
Altman, Anna;Amann, Markus;Klaassen, Ger;Ruszczyński, Andrzej;Schöpp, Wolfgang
1996
Coordination of nonstationary systems. Zbl 0414.93003
Ruszczynski, Andrzej
1979
Subregular recourse in nonlinear multistage stochastic optimization. Zbl 1477.90045
Dentcheva, Darinka;Ruszczyński, Andrzej
2021
Portfolio optimization with risk control by stochastic dominance constraints. Zbl 1218.91148
Dentcheva, Darinka;Ruszczyński, Andrzej
2011
On convergence of the stochastic subgradient method with on-line stepsize rules. Zbl 0604.90106
Ruszczyński, Andrzej;Syski, Wojciech
1986
A method of feasible directions for solving nonsmooth stochastic programming problems. Zbl 0578.90061
Ruszczyński, Andrzej
1986
A risk-averse analog of the Hamilton-Jacobi-Bellman equation. Zbl 1545.93700
Ruszczyński, Andrzej;Yao, Jianing
2015
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty. Zbl 1534.90181
Bielecki, Tomasz R.;Cialenco, Igor;Ruszczyński, Andrzej
2023
The deepest event cuts in risk-averse optimization with application to radiation therapy design. Zbl 1536.90136
Vitt, Constantine A.;Dentcheva, Darinka;Ruszczyński, Andrzej;Sandberg, Nolan
2023
Mini-batch risk forms. Zbl 1519.90133
Dentcheva, Darinka;Ruszczyński, Andrzej
2023
Process-based risk measures and risk-averse control of discrete-time systems. Zbl 1489.90077
Fan, Jingnan;Ruszczyński, Andrzej
2022
A stochastic subgradient method for distributionally robust non-convex and non-smooth learning. Zbl 1492.90103
Gürbüzbalaban, Mert;Ruszczyński, Andrzej;Zhu, Landi
2022
Lectures on stochastic programming. Modeling and theory. 3rd edition. Zbl 1487.90507
Shapiro, Alexander;Dentcheva, Darinka;Ruszczynski, Andrzej
2021
A stochastic subgradient method for nonsmooth nonconvex multilevel composition optimization. Zbl 1470.90096
Ruszczyński, Andrzej
2021
Risk-averse learning by temporal difference methods with Markov risk measures. Zbl 1539.68268
Köse, Umit;Ruszczyński, Andrzej
2021
Subregular recourse in nonlinear multistage stochastic optimization. Zbl 1477.90045
Dentcheva, Darinka;Ruszczyński, Andrzej
2021
A single timescale stochastic approximation method for nested stochastic optimization. Zbl 1441.90106
Ghadimi, Saeed;Ruszczyński, Andrzej;Wang, Mengdi
2020
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Zbl 1459.90168
Ruszczyński, Andrzej
2020
Risk forms: representation, disintegration, and application to partially observable two-stage systems. Zbl 1445.90065
Dentcheva, Darinka;Ruszczyński, Andrzej
2020
A dual method for evaluation of dynamic risk in diffusion processes. Zbl 1458.60090
Ruszczyński, Andrzej;Yao, Jianing
2020
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Zbl 1407.90335
Fan, Jingnan;Ruszczyński, Andrzej
2018
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka;Ruszczyński, Andrzej
2018
Statistical estimation of composite risk functionals and risk optimization problems. Zbl 1447.62119
Dentcheva, Darinka;Penev, Spiridon;Ruszczyński, Andrzej
2017
Rate of convergence of the bundle method. Zbl 1373.90102
Du, Yu;Ruszczyński, Andrzej
2017
A selective linearization method for multiblock convex optimization. Zbl 1366.90194
Du, Yu;Lin, Xiaodong;Ruszczyński, Andrzej
2017
Risk-averse control of continuous-time Markov chains. Zbl 1545.93590
Dentcheva, Darinka;Ruszczyński, Andrzej
2017
Risk-averse control of undiscounted transient Markov models. Zbl 1311.93087
Çavuş, Özlem;Ruszczyński, Andrzej
2015
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Zbl 1327.90147
Asamov, Tsvetan;Ruszczyński, Andrzej
2015
Two-stage portfolio optimization with higher-order conditional measures of risk. Zbl 1319.91144
Gülten, Sıtkı;Ruszczyński, Andrzej
2015
A risk-averse analog of the Hamilton-Jacobi-Bellman equation. Zbl 1545.93700
Ruszczyński, Andrzej;Yao, Jianing
2015
Lectures on stochastic programming. Modeling and theory. 2nd ed. Zbl 1302.90003
Shapiro, Alexander;Dentcheva, Darinka;Ruszczyński, Andrzej
2014
Alternating linearization for structured regularization problems. Zbl 1319.62146
Lin, Xiaodong;Pham, Minh;Ruszczyński, Andrzej
2014
Computational methods for risk-averse undiscounted transient Markov models. Zbl 1295.90100
Çavuş, Özlem;Ruszczyński, Andrzej
2014
Risk preferences on the space of quantile functions. Zbl 1311.91126
Dentcheva, Darinka;Ruszczyński, Andrzej
2014
Erratum to “Risk-averse dynamic programming for Markov decision processes”. Zbl 1291.49019
Ruszczyński, Andrzej
2014
Common mathematical foundations of expected utility and dual utility theories. Zbl 1271.91051
Dentcheva, Darinka;Ruszczyński, Andrzej
2013
Tractable almost stochastic dominance. Zbl 1244.91112
Lizyayev, Andrey;Ruszczyński, Andrzej
2012
Scenario decomposition of risk-averse multistage stochastic programming problems. Zbl 1255.90086
Collado, Ricardo A.;Papp, Dávid;Ruszczyński, Andrzej
2012
A multi-product risk-averse newsvendor with exponential utility function. Zbl 1218.91053
Choi, Sungyong;Ruszczyński, Andrzej
2011
Risk-averse two-stage stochastic linear programming: modeling and decomposition. Zbl 1218.90145
Miller, Naomi;Ruszczyński, Andrzej
2011
A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk. Zbl 1233.90016
Choi, Sungyong;Ruszczyński, Andrzej;Zhao, Yao
2011
Portfolio optimization with risk control by stochastic dominance constraints. Zbl 1218.91148
Dentcheva, Darinka;Ruszczyński, Andrzej
2011
Risk-averse dynamic programming for Markov decision processes. Zbl 1207.49032
Ruszczyński, Andrzej
2010
Robust stochastic dominance and its application to risk-averse optimization. Zbl 1216.90064
Dentcheva, Darinka;Ruszczyński, Andrzej
2010
Kusuoka representation of higher order dual risk measures. Zbl 1209.91078
Dentcheva, Darinka;Penev, Spiridon;Ruszczyński, Andrzej
2010
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints. Zbl 1218.90143
Dentcheva, Darinka;Ruszczyński, Andrzej
2010
Commentary: Post-decision states and separable approximations are powerful tools of approximate dynamic programming. Zbl 1243.90162
Ruszczyński, Andrzej
2010
Lectures on stochastic programming. Modeling and theory. Zbl 1183.90005
Shapiro, Alexander;Dentcheva, Darinka;Ruszczyński, Andrzej
2009
Optimization with multivariate stochastic dominance constraints. Zbl 1221.90069
Dentcheva, Darinka;Ruszczyński, Andrzej
2009
Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods. Zbl 1198.90308
Rudolf, Gábor;Ruszczyński, Andrzej
2008
A risk-averse newsvendor with law invariant coherent measures of risk. Zbl 1152.91572
Choi, Sungyong;Ruszczyński, Andrzej
2008
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization. Zbl 1206.90108
Dentcheva, Darinka;Ruszczyński, Andrzej
2008
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Zbl 1142.91591
Miller, Naomi;Ruszczyński, Andrzej
2008
Stochastic dynamic optimization with discounted stochastic dominance constraints. Zbl 1180.90211
Dentcheva, Darinka;Ruszczyński, Andrzej
2008
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Zbl 1145.90046
Noyan, Nilay;Ruszczyński, Andrzej
2008
A merit function approach to the subgradient method with averaging. Zbl 1146.90050
Ruszczyński, Andrzej
2008
Finding normalizes equilibrium in convex-concave games. Zbl 1152.91323
Flåm, S. D.;Ruszczyński, A.
2008
Stochastic dominance for sequences and implied utility in dynamic optimization. Zbl 1164.90022
Dentcheva, Darinka;Ruszczyński, Andrzej
2008
An efficient trajectory method for probabilistic production-inventory-distribution problems. Zbl 1167.90489
Lejeune, Miguel A.;Ruszczynski, Andrzej
2007
Stability and sensitivity of optimization problems with first order stochastic dominance constraints. Zbl 1160.90607
Dentcheva, Darinka;Henrion, René;Ruszczyński, Andrzej
2007
Composite semi-infinite optimization. Zbl 1166.49025
Dentcheva, Darinka;Ruszczyński, Andrzej
2007
Nonlinear optimization. Zbl 1108.90001
Ruszczyński, Andrzej
2006
Optimization of convex risk functions. Zbl 1278.90283
Ruszczynski, Andrzej;Shapiro, Alexander
2006
Conditional risk mappings. Zbl 1278.90284
Ruszczynski, Andrzej;Shapiro, Alexander
2006
Optimization of risk measures. Zbl 1181.90281
Ruszczyński, Andrzej;Shapiro, Alexander
2006
Inverse stochastic dominance constraints and rank dependent expected utility theory. Zbl 1130.91327
Dentcheva, Darinka;Ruszczyński, Andrzej
2006
Relaxations of linear programming problems with first order stochastic dominance constraints. Zbl 1112.90053
Noyan, Nilay;Rudolf, Gábor;Ruszczyński, Andrzej
2006
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.;Ruszczyński, Andrzej
2005
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Zbl 1074.90031
Beraldi, Patrizia;Ruszczyński, Andrzej
2005
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Zbl 1098.90044
Dentcheva, Darinka;Ruszczyński, Andrzej
2004
Dual methods for probabilistic optimization problems. Zbl 1076.90038
Dentcheva, Darinka;Lai, Bogumila;Ruszczyński, Andrzej
2004
Semi-infinite probabilistic optimization: first-order stochastic dominance constraint. Zbl 1153.90513
Dentcheva, Darinka;Ruszczyński, Andrzej
2004
Learning algorithms for separable approximations of discrete stochastic optimization problems. Zbl 1082.90079
Powell, Warren;Ruszczyński, Andrzej;Topaloglu, Huseyin
2004
Convexification of stochastic ordering. Zbl 1083.90031
Dentcheva, D.;Ruszczyński, A.
2004
Stochastic programming. Zbl 1115.90001
2003
Optimization with stochastic dominance constraints. Zbl 1055.90055
Dentcheva, Darinka;Ruszczynski, Andrzej
2003
Frontiers of stochastically nondominated portfolios. Zbl 1154.91475
Ruszczyński, Andrzej;Vanderbei, Robert J.
2003
Optimization under nonlinear stochastic dominance constraints. Zbl 1040.90026
Dentcheva, D.;Ruszczyński, A.
2003
Dual stochastic dominance and related mean-risk models. Zbl 1022.91017
Ogryczak, Włodzimierz;Ruszczynski, Andrzej
2002
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Zbl 1065.90058
Ruszczyński, Andrzej
2002
The probabilistic set-covering problem. Zbl 1163.90655
Beraldi, Patrizia;Ruszczynski, Andrzej
2002
A branch and bound method for stochastic integer problems under probabilistic constraints. Zbl 1064.90030
Beraldi, Patrizia;Ruszczyński, Andrzej
2002
Bounds for probabilistic integer programming problems. Zbl 1173.90488
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2002
Dual stochastic dominance and quantile risk measures. Zbl 1038.91048
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
2002
Decision making under uncertainty. Energy and power. IMA workshop, Minneapolis, MN, USA, July 20–24, 1999. Zbl 0990.00072
2002
On consistency of stochastic dominance and mean-semideviation models. Zbl 1014.91021
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
2001
On convex probabilistic programming with discrete distributions. Zbl 1042.90597
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2001
Constraint aggregation in infinite-dimensional spaces and applications. Zbl 1082.90581
Kryazhimskii, Arkadii V.;Ruszczyński, Andrzej
2001
Concavity and efficient points of discrete distributions in probabilistic programming. Zbl 1033.90078
Dentcheva, Darinka;Prékopa, András;Ruszczyński, Andrzej
2000
Robust path choice in networks with failures. Zbl 0961.90069
Ferris, Michael C.;Ruszczyński, Andrzej
2000
From stochastic dominance to mean-risk models: Semideviations as risk measures. Zbl 1007.91513
Ogryczak, Włodzimierz;Ruszczyński, Andrzej
1999
Proximal decomposition via alternating linearization. Zbl 0958.65068
Kiwiel, Krzysztof C.;Rosa, Charles H.;Ruszczynski, Andrzej
1999
Some advances in decomposition methods for stochastic linear programming. Zbl 0919.90119
Ruszczyński, Andrzej
1999
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.;Pflug, Georg Ch.;Ruszczyński, Andrzej
1998
On optimal allocation of indivisibles under uncertainty. Zbl 0987.90064
Norkin, Vladimir I.;Ermoliev, Yuri M.;Ruszczyński, Andrzej
1998
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.;Ruszczyński, Andrzej;Schultz, Rüdiger
1998
Decomposition methods in stochastic programming. Zbl 0887.90129
Ruszczyński, Andrzej
1997
Accelerating the regularized decomposition method for two stage stochastic linear problems. Zbl 0929.90067
Ruszczyński, Andrzej;Świȩtanowski, Artur
1997
Constraint aggregation principle in convex optimization. Zbl 0871.90063
Ermoliev, Yuri M.;Kryazhimskii, Arkadii V.;Ruszczyński, Andrzej
1997
On augmented Lagrangian decomposition methods for multistage stochastic programs. Zbl 0857.90096
Rosa, Charles H.;Ruszczyński, Andrzej
1996
Cost-effective sulphur emission reduction under uncertainty. Zbl 0909.90098
Altman, Anna;Amann, Markus;Klaassen, Ger;Ruszczyński, Andrzej;Schöpp, Wolfgang
1996
A new scenario decomposition method for large-scale stochastic optimization. Zbl 0843.90086
Mulvey, John M.;Ruszczyński, Andrzej
1995
On convergence of an augmented Lagrangian decomposition method for sparse convex optimization. Zbl 0845.90098
Ruszczyński, Andrzej
1995
On the regularized decomposition method for stochastic programming problems. Zbl 0834.90099
Ruszczyński, Andrzej
1995
An extension of the DQA algorithm to convex stochastic programs. Zbl 0830.90112
Berger, Adam J.;Mulvey, John M.;Ruszczyński, Andrzej
1994
Parallel decomposition of multistage stochastic programming problems. Zbl 0777.90036
Ruszczyński, Andrzej
1993
A diagonal quadratic approximation method for large scale linear programs. Zbl 0767.90047
Mulvey, John M.;Ruszczyński, Andrzej
1992
...and 15 more Documents
alltop 5

Cited by 3,816 Authors

57 Ruszczyński, Andrzej
41 Shapiro, Alexander
41 Xu, Huifu
34 Chen, Zhiping
30 Escudero, Laureano Fernando
29 Van Ackooij, Wim
28 Dentcheva, Darinka
27 Ahmed, Shabbir
26 Pichler, Alois
24 Schultz, Rüdiger
23 Zhang, Liwei
22 Sun, Hailin
20 Chen, Xiaojun
20 Henrion, René
20 Jiang, Jie
19 Sen, Suvrajeet
18 Guigues, Vincent
18 Lejeune, Miguel A.
18 Ogryczak, Włodzimierz
17 Pérez-Aros, Pedro
16 de Oliveira, Welington Luis
16 Norkin, Vladimir I.
16 Royset, Johannes O.
15 Homem-de-Mello, Tito
15 Küçükyavuz, Simge
15 Liu, Jia
15 Luedtke, James R.
15 Powell, Warren Buckler
15 Römisch, Werner
14 Bayraksan, Güzin
14 Beraldi, Patrizia
14 Kopa, Miloš
14 Kuhn, Daniel
14 Liu, Yongchao
13 Balbás, Alejandro
13 Branda, Martin
13 Heitsch, Holger
13 Kibzun, Andreĭ Ivanovich
13 Kouri, Drew P.
13 Noyan, Nilay
13 Pagnoncelli, Bernardo K.
13 Shanbhag, Uday V.
13 Zhang, Jie
12 Fábián, Csaba I.
12 Ivanov, Sergeĭ Valer'evich
12 Lisser, Abdel
12 Maggioni, Francesca
12 Rudloff, Birgit
12 Shen, Siqian
12 Song, Yongjia
11 Haskell, William Benjamin
11 Morton, David P.
11 Pang, Jong-Shi
11 Pflug, Georg
11 Sagastizábal, Claudia A.
11 Surowiec, Thomas
11 Xie, Weijun
10 Claus, Matthias
10 de Lara, Michel
10 Guan, Yongpei
10 Lan, Guanghui
10 Leclère, Vincent
10 Lin, Guihua
10 Mehrotra, Sanjay
10 Prékopa, András
10 Zhang, Dali
9 Balbás, Raquel
9 Grossmann, Ignacio E.
9 Jiang, Ruiwei
9 Malick, Jérôme
9 Mitra, Gautam
9 Monge, Juan Francisco
9 Pang, Liping
9 Philpott, Andrew B.
9 Sharma, Amita
9 Solodov, Mikhail V.
9 Speranza, Maria Grazia
9 Sun, Jie
9 Zhang, Jin
8 Bruni, Maria Elena
8 Carpentier, Pierre
8 Chancelier, Jean-Philippe
8 Cheng, Jianqiang
8 Dupačová, Jitka
8 Gendreau, Michel
8 Guo, Shaoyan
8 Higle, Julia L.
8 Kratschmer, Volker
8 Li, Guoyin
8 Rahimian, Hamed
8 Rockafellar, Ralph Tyrrell
8 Roman, Diana
8 van der Vlerk, Maarten H.
7 Alonso-Ayuso, Antonio
7 Araceli Garín, María
7 Balbás, Beatriz
7 Bertocchi, Marida
7 Feinstein, Zachary
7 Gaivoronski, Alexei A.
7 Gotoh, Jun-ya
...and 3,716 more Authors
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Cited in 291 Serials

351 European Journal of Operational Research
227 Mathematical Programming. Series A. Series B
173 Annals of Operations Research
134 SIAM Journal on Optimization
88 Computational Optimization and Applications
80 Journal of Optimization Theory and Applications
70 Computers \& Operations Research
67 Operations Research Letters
58 Operations Research
57 Computational Management Science
55 INFORMS Journal on Computing
45 Journal of Global Optimization
41 Optimization
35 Mathematics of Operations Research
31 Optimization Methods \& Software
30 Automatica
29 Optimization Letters
28 Mathematical Methods of Operations Research
28 Optimization and Engineering
25 International Transactions in Operational Research
25 OR Spectrum
24 Quantitative Finance
23 Journal of Computational and Applied Mathematics
22 Journal of Industrial and Management Optimization
22 Set-Valued and Variational Analysis
21 Naval Research Logistics
21 Insurance Mathematics \& Economics
21 Cybernetics and Systems Analysis
17 Mathematical Problems in Engineering
16 SIAM Journal on Control and Optimization
15 Journal of Mathematical Analysis and Applications
14 Applied Mathematics and Optimization
14 Top
14 Mathematical Finance
13 Asia-Pacific Journal of Operational Research
13 Automation and Remote Control
12 Inverse Problems
12 Mathematics and Financial Economics
12 SIAM/ASA Journal on Uncertainty Quantification
11 Kybernetika
11 EURO Journal on Computational Optimization
10 Applied Mathematics and Computation
10 Journal of Scientific Computing
10 Applied Mathematical Modelling
10 SIAM Journal on Scientific Computing
10 Journal of Machine Learning Research (JMLR)
10 Journal of the Operations Research Society of China
9 Systems \& Control Letters
9 Journal of Economic Dynamics \& Control
9 Mathematical Programming Computation
8 Finance and Stochastics
8 International Journal of Theoretical and Applied Finance
8 CEJOR. Central European Journal of Operations Research
8 4OR
7 Information Sciences
7 Networks
7 Statistics \& Probability Letters
7 Journal of Convex Analysis
7 Networks and Spatial Economics
6 Computer Methods in Applied Mechanics and Engineering
6 Discrete Applied Mathematics
6 Opsearch
6 Neural Networks
6 Machine Learning
6 Numerical Algorithms
6 Computational Statistics and Data Analysis
6 International Journal of Robust and Nonlinear Control
6 ACM Transactions on Modeling and Computer Simulation
6 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
6 Soft Computing
6 RAIRO. Operations Research
6 Numerical Algebra, Control and Optimization
6 Decision Analysis
5 Artificial Intelligence
5 Journal of Computational Physics
5 Mathematics of Computation
5 Journal of Inequalities and Applications
5 Journal of Applied Mathematics
5 SIAM Journal on Financial Mathematics
4 International Journal for Numerical Methods in Engineering
4 Journal of the American Statistical Association
4 Mathematics and Computers in Simulation
4 Nonlinear Analysis. Theory, Methods \& Applications. Series A: Theory and Methods
4 SIAM Journal on Numerical Analysis
4 Computational and Applied Mathematics
4 The Journal of Artificial Intelligence Research (JAIR)
4 Vietnam Journal of Mathematics
4 Applied Stochastic Models in Business and Industry
4 ASTIN Bulletin
4 Statistics and Computing
4 Statistics \& Risk Modeling
4 INFOR: Information Systems and Operational Research
3 Computers \& Mathematics with Applications
3 International Journal of Control
3 Mathematical Methods in the Applied Sciences
3 Annals of the Institute of Statistical Mathematics
3 Fuzzy Sets and Systems
3 INFOR
3 Journal of Econometrics
3 Journal of Mathematical Economics
...and 191 more Serials
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Cited in 46 Fields

2,138 Operations research, mathematical programming (90-XX)
745 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
288 Numerical analysis (65-XX)
262 Statistics (62-XX)
224 Calculus of variations and optimal control; optimization (49-XX)
198 Probability theory and stochastic processes (60-XX)
152 Systems theory; control (93-XX)
119 Computer science (68-XX)
33 Partial differential equations (35-XX)
29 Functional analysis (46-XX)
24 Operator theory (47-XX)
22 Biology and other natural sciences (92-XX)
17 Mechanics of deformable solids (74-XX)
16 Real functions (26-XX)
15 Convex and discrete geometry (52-XX)
15 Information and communication theory, circuits (94-XX)
14 Fluid mechanics (76-XX)
10 Combinatorics (05-XX)
9 Measure and integration (28-XX)
8 Ordinary differential equations (34-XX)
7 Linear and multilinear algebra; matrix theory (15-XX)
5 Approximations and expansions (41-XX)
4 General and overarching topics; collections (00-XX)
4 Geophysics (86-XX)
4 Mathematics education (97-XX)
3 History and biography (01-XX)
3 Mathematical logic and foundations (03-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Algebraic geometry (14-XX)
3 Difference and functional equations (39-XX)
3 Differential geometry (53-XX)
3 General topology (54-XX)
3 Optics, electromagnetic theory (78-XX)
3 Classical thermodynamics, heat transfer (80-XX)
3 Quantum theory (81-XX)
3 Statistical mechanics, structure of matter (82-XX)
2 Number theory (11-XX)
2 Several complex variables and analytic spaces (32-XX)
2 Dynamical systems and ergodic theory (37-XX)
2 Global analysis, analysis on manifolds (58-XX)
1 Special functions (33-XX)
1 Harmonic analysis on Euclidean spaces (42-XX)
1 Abstract harmonic analysis (43-XX)
1 Integral equations (45-XX)
1 Manifolds and cell complexes (57-XX)
1 Mechanics of particles and systems (70-XX)

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