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Ruszczyński, Andrzej

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Author ID: ruszczynski.andrzej Recent zbMATH articles by "Ruszczyński, Andrzej"
Published as: Ruszczyński, Andrzej; Ruszczynski, Andrzej; Ruszczyński, A.; Ruszczński, Andrzej; Ruszczynski, A.
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all top 5

Co-Authors

29 single-authored
32 Dentcheva, Darinka
7 Shapiro, Alexander
5 Mulvey, John M.
4 Du, Yu
4 Lin, Xiaodong
4 Ogryczak, Włodzimierz
4 Pflug, Georg Ch.
3 Beraldi, Patrizia
3 Choi, Sungyong
3 Ermoliev, Yuri M.
3 Prékopa, András
3 Syski, Wojciech
3 Szymanowski, Jacek
2 Berger, Adam J.
2 Çavuş, Özlem
2 Fan, Jingnan
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
1 Altman, Anna
1 Amann, Markus
1 Antipin, Anatoliĭ Sergeevich
1 Arthur, Brian W.
1 Asamov, Tsvetan
1 Banks, Harvey Thomas
1 Brdyś, Mieczysław A.
1 Brunovská, A.
1 Brunovský, Pavol
1 Burns, John A.
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 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 Schöpp, Wolfgang
1 Sokołowski, Jan
1 Sosiński, R.
1 Sosnowski, Janusz S.
1 Świȩtanowski, Artur
1 Tatjewski, Piotr
1 Topaloglu, Huseyin
1 Twardy, L.
...and 9 more Co-Authors
all top 5

Serials

20 Mathematical Programming. Series A. Series B
9 European Journal of Operational Research
9 SIAM Journal on Optimization
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 Operations Research Letters
3 SIAM Journal on Control and Optimization
3 Mathematical Methods of Operations Research
2 IEEE Transactions on Automatic Control
2 Mathematical Programming Study
2 Mathematical Programming
2 Optimization
2 Optimization Methods & Software
2 Journal of Machine Learning Research (JMLR)
2 MPS/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 Computational Optimization and Applications
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 MOS/SIAM Series on Optimization

Publications by Year

Citations contained in zbMATH Open

107 Publications have been cited 3,077 times in 1,773 Documents Cited by Year
Lectures on stochastic programming. Modeling and theory. Zbl 1183.90005
Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej
469
2009
Lectures on stochastic programming. Modeling and theory. 2nd ed. Zbl 1302.90003
Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej
153
2014
Dual stochastic dominance and related mean-risk models. Zbl 1022.91017
Ogryczak, Włodzimierz; Ruszczynski, Andrzej
150
2002
From stochastic dominance to mean-risk models: Semideviations as risk measures. Zbl 1007.91513
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
148
1999
Optimization of convex risk functions. Zbl 1278.90283
Ruszczynski, Andrzej; Shapiro, Alexander
147
2006
Optimization with stochastic dominance constraints. Zbl 1055.90055
Dentcheva, Darinka; Ruszczynski, Andrzej
135
2003
Risk-averse dynamic programming for Markov decision processes. Zbl 1207.49032
Ruszczyński, Andrzej
103
2010
A regularized decomposition method for minimizing a sum of polyhedral functions. Zbl 0599.90103
Ruszczyński, Andrzej
87
1986
Conditional risk mappings. Zbl 1278.90284
Ruszczynski, Andrzej; Shapiro, Alexander
86
2006
A new scenario decomposition method for large-scale stochastic optimization. Zbl 0843.90086
Mulvey, John M.; Ruszczyński, Andrzej
73
1995
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Zbl 1065.90058
Ruszczyński, Andrzej
70
2002
Stochastic programming. Zbl 1115.90001
70
2003
Concavity and efficient points of discrete distributions in probabilistic programming. Zbl 1033.90078
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
68
2000
On consistency of stochastic dominance and mean-semideviation models. Zbl 1014.91021
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
64
2001
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej
54
1998
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Zbl 1098.90044
Dentcheva, Darinka; Ruszczyński, Andrzej
47
2004
The probabilistic set-covering problem. Zbl 1163.90655
Beraldi, Patrizia; Ruszczynski, Andrzej
37
2002
Optimization with multivariate stochastic dominance constraints. Zbl 1221.90069
Dentcheva, Darinka; Ruszczyński, Andrzej
37
2009
A branch and bound method for stochastic integer problems under probabilistic constraints. Zbl 1064.90030
Beraldi, Patrizia; Ruszczyński, Andrzej
36
2002
Decomposition methods in stochastic programming. Zbl 0887.90129
Ruszczyński, Andrzej
34
1997
Optimization of risk measures. Zbl 1181.90281
Ruszczyński, Andrzej; Shapiro, Alexander
33
2006
Risk-averse two-stage stochastic linear programming: modeling and decomposition. Zbl 1218.90145
Miller, Naomi; Ruszczyński, Andrzej
32
2011
Parallel decomposition of multistage stochastic programming problems. Zbl 0777.90036
Ruszczyński, Andrzej
31
1993
A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk. Zbl 1233.90016
Choi, Sungyong; Ruszczyński, Andrzej; Zhao, Yao
31
2011
Accelerating the regularized decomposition method for two stage stochastic linear problems. Zbl 0929.90067
Ruszczyński, Andrzej; Świȩtanowski, Artur
30
1997
A multi-product risk-averse newsvendor with exponential utility function. Zbl 1218.91053
Choi, Sungyong; Ruszczyński, Andrzej
30
2011
Proximal decomposition via alternating linearization. Zbl 0958.65068
Kiwiel, Krzysztof C.; Rosa, Charles H.; Ruszczynski, Andrzej
30
1999
An efficient trajectory method for probabilistic production-inventory-distribution problems. Zbl 1167.90489
Lejeune, Miguel A.; Ruszczynski, Andrzej
28
2007
Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods. Zbl 1198.90308
Rudolf, Gábor; Ruszczyński, Andrzej
27
2008
On optimal allocation of indivisibles under uncertainty. Zbl 0987.90064
Norkin, Vladimir I.; Ermoliev, Yuri M.; Ruszczyński, Andrzej
27
1998
Robust stochastic dominance and its application to risk-averse optimization. Zbl 1216.90064
Dentcheva, Darinka; Ruszczyński, Andrzej
26
2010
A risk-averse newsvendor with law invariant coherent measures of risk. Zbl 1152.91572
Choi, Sungyong; Ruszczyński, Andrzej
26
2008
Dual methods for probabilistic optimization problems. Zbl 1076.90038
Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej
25
2004
Approximation techniques in stochastic programming. Zbl 0665.90067
Kall, P.; Ruszczyński, A.; Frauendorfer, K.
24
1988
On convergence of an augmented Lagrangian decomposition method for sparse convex optimization. Zbl 0845.90098
Ruszczyński, Andrzej
24
1995
Stability and sensitivity of optimization problems with first order stochastic dominance constraints. Zbl 1160.90607
Dentcheva, Darinka; Henrion, René; Ruszczyński, Andrzej
23
2007
Frontiers of stochastically nondominated portfolios. Zbl 1154.91475
Ruszczyński, Andrzej; Vanderbei, Robert J.
23
2003
Tractable almost stochastic dominance. Zbl 1244.91112
Lizyayev, Andrey; Ruszczyński, Andrzej
22
2012
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Zbl 1142.91591
Miller, Naomi; Ruszczyński, Andrzej
22
2008
A diagonal quadratic approximation method for large scale linear programs. Zbl 0767.90047
Mulvey, John M.; Ruszczyński, Andrzej
21
1992
A linearization method for nonsmooth stochastic programming problems. Zbl 0624.90078
Ruszczyński, Andrzej
21
1987
Learning algorithms for separable approximations of discrete stochastic optimization problems. Zbl 1082.90079
Powell, Warren; Ruszczyński, Andrzej; Topaloglu, Huseyin
19
2004
Bounds for probabilistic integer programming problems. Zbl 1173.90488
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
17
2002
Dual stochastic dominance and quantile risk measures. Zbl 1038.91048
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
17
2002
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.; Ruszczyński, Andrzej
17
2005
Semi-infinite probabilistic optimization: first-order stochastic dominance constraint. Zbl 1153.90513
Dentcheva, Darinka; Ruszczyński, Andrzej
17
2004
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization. Zbl 1206.90108
Dentcheva, Darinka; Ruszczyński, Andrzej
17
2008
Scenario decomposition of risk-averse multistage stochastic programming problems. Zbl 1255.90086
Collado, Ricardo A.; Papp, Dávid; Ruszczyński, Andrzej
17
2012
Relaxations of linear programming problems with first order stochastic dominance constraints. Zbl 1112.90053
Noyan, Nilay; Rudolf, Gábor; Ruszczyński, Andrzej
17
2006
Statistical estimation of composite risk functionals and risk optimization problems. Zbl 1447.62119
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej
15
2017
Inverse stochastic dominance constraints and rank dependent expected utility theory. Zbl 1130.91327
Dentcheva, Darinka; Ruszczyński, Andrzej
15
2006
On convex probabilistic programming with discrete distributions. Zbl 1042.90597
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
14
2001
A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems. Zbl 0597.90064
Ruszczyński, Andrzej; Syski, Wojciech
14
1986
Kusuoka representation of higher order dual risk measures. Zbl 1209.91078
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej
14
2010
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints. Zbl 1218.90143
Dentcheva, Darinka; Ruszczyński, Andrzej
14
2010
Stochastic approximation method with gradient averaging for unconstrained problems. Zbl 0533.62076
Ruszczyński, Andrzej; Syski, Wojciech
13
1983
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Zbl 1327.90147
Asamov, Tsvetan; Ruszczyński, Andrzej
11
2015
An extension of the DQA algorithm to convex stochastic programs. Zbl 0830.90112
Berger, Adam J.; Mulvey, John M.; Ruszczyński, Andrzej
10
1994
On augmented Lagrangian decomposition methods for multistage stochastic programs. Zbl 0857.90096
Rosa, Charles H.; Ruszczyński, Andrzej
10
1996
Common mathematical foundations of expected utility and dual utility theories. Zbl 1271.91051
Dentcheva, Darinka; Ruszczyński, Andrzej
10
2013
Risk-averse control of undiscounted transient Markov models. Zbl 1311.93087
Çavuş, Özlem; Ruszczyński, Andrzej
9
2015
Stochastic dynamic optimization with discounted stochastic dominance constraints. Zbl 1180.90211
Dentcheva, Darinka; Ruszczyński, Andrzej
9
2008
Alternating linearization for structured regularization problems. Zbl 1319.62146
Lin, Xiaodong; Pham, Minh; Ruszczyński, Andrzej
8
2014
A single timescale stochastic approximation method for nested stochastic optimization. Zbl 1441.90106
Ghadimi, Saeed; Ruszczyński, Andrzej; Wang, Mengdi
8
2020
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Zbl 1074.90031
Beraldi, Patrizia; Ruszczyński, Andrzej
7
2005
Convexification of stochastic ordering. Zbl 1083.90031
Dentcheva, D.; Ruszczyński, A.
7
2004
Computational methods for risk-averse undiscounted transient Markov models. Zbl 1295.90100
Çavuş, Özlem; Ruszczyński, Andrzej
7
2014
Composite semi-infinite optimization. Zbl 1166.49025
Dentcheva, Darinka; Ruszczyński, Andrzej
7
2007
Risk preferences on the space of quantile functions. Zbl 1311.91126
Dentcheva, Darinka; Ruszczyński, Andrzej
6
2014
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Zbl 1459.90168
Ruszczyński, Andrzej
6
2020
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Zbl 1145.90046
Noyan, Nilay; Ruszczyński, Andrzej
6
2008
Feasible direction methods for stochastic programming problems. Zbl 0442.90075
Ruszczynski, Andrzej
6
1980
An augmented Lagrangian decomposition method for block diagonal linear programming problems. Zbl 1418.90156
Ruszczyński, Andrzej
5
1989
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger
5
1998
A selective linearization method for multiblock convex optimization. Zbl 1366.90194
Du, Yu; Lin, Xiaodong; Ruszczyński, Andrzej
5
2017
Robust path choice in networks with failures. Zbl 0961.90069
Ferris, Michael C.; Ruszczyński, Andrzej
5
2000
Some advances in decomposition methods for stochastic linear programming. Zbl 0919.90119
Ruszczyński, Andrzej
4
1999
Two-stage portfolio optimization with higher-order conditional measures of risk. Zbl 1319.91144
Gülten, Sıtkı; Ruszczyński, Andrzej
4
2015
Finding normalizes equilibrium in convex-concave games. Zbl 1152.91323
Flåm, S. D.; Ruszczyński, A.
4
2008
Commentary: Post-decision states and separable approximations are powerful tools of approximate dynamic programming. Zbl 1243.90162
Ruszczyński, Andrzej
4
2010
Cost-effective sulphur emission reduction under uncertainty. Zbl 0909.90098
Altman, Anna; Amann, Markus; Klaassen, Ger; Ruszczyński, Andrzej; Schöpp, Wolfgang
3
1996
Coordination of nonstationary systems. Zbl 0414.93003
Ruszczynski, Andrzej
3
1979
Erratum to “Risk-averse dynamic programming for Markov decision processes”. Zbl 1291.49019
Ruszczyński, Andrzej
3
2014
On convergence of the stochastic subgradient method with on-line stepsize rules. Zbl 0604.90106
Ruszczyński, Andrzej; Syski, Wojciech
3
1986
Constraint aggregation principle in convex optimization. Zbl 0871.90063
Ermoliev, Yuri M.; Kryazhimskii, Arkadii V.; Ruszczyński, Andrzej
3
1997
A merit function approach to the subgradient method with averaging. Zbl 1146.90050
Ruszczyński, Andrzej
3
2008
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Zbl 1407.90335
Fan, Jingnan; Ruszczyński, Andrzej
3
2018
Lectures on stochastic programming. Modeling and theory. 3rd edition. Zbl 1487.90507
Shapiro, Alexander; Dentcheva, Darinka; Ruszczynski, Andrzej
3
2021
A stochastic subgradient method for nonsmooth nonconvex multilevel composition optimization. Zbl 1470.90096
Ruszczyński, Andrzej
2
2021
Constraint aggregation in infinite-dimensional spaces and applications. Zbl 1082.90581
Kryazhimskii, Arkadii V.; Ruszczyński, Andrzej
2
2001
Rate of convergence of the bundle method. Zbl 1373.90102
Du, Yu; Ruszczyński, Andrzej
2
2017
Regularized decomposition and augmented Lagrangian decomposition for angular linear programming problems. Zbl 0759.90065
Ruszczynski, Andrzej
2
1989
On the regularized decomposition method for stochastic programming problems. Zbl 0834.90099
Ruszczyński, Andrzej
2
1995
Convergence analysis for two-level algorithms of mathematical programming. Zbl 0497.90060
Szymanowski, J.; Ruszczynski, A.
2
1979
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka; Ruszczyński, Andrzej
2
2018
Sensitivity method for basis inverse representation in multistage stochastic linear programming problems. Zbl 0795.90045
Gondzio, J.; Ruszczyński, A.
2
1992
A method of feasible directions for solving nonsmooth stochastic programming problems. Zbl 0578.90061
Ruszczyński, Andrzej
2
1986
Risk-averse learning by temporal difference methods with Markov risk measures. Zbl 07370555
Köse, Umit; Ruszczyński, Andrzej
2
2021
Optimization under nonlinear stochastic dominance constraints. Zbl 1040.90026
Dentcheva, D.; Ruszczyński, A.
1
2003
A dual method for evaluation of dynamic risk in diffusion processes. Zbl 1458.60090
Ruszczyński, Andrzej; Yao, Jianing
1
2020
Lectures on stochastic programming. Modeling and theory. 3rd edition. Zbl 1487.90507
Shapiro, Alexander; Dentcheva, Darinka; Ruszczynski, Andrzej
3
2021
A stochastic subgradient method for nonsmooth nonconvex multilevel composition optimization. Zbl 1470.90096
Ruszczyński, Andrzej
2
2021
Risk-averse learning by temporal difference methods with Markov risk measures. Zbl 07370555
Köse, Umit; Ruszczyński, Andrzej
2
2021
Subregular recourse in nonlinear multistage stochastic optimization. Zbl 1477.90045
Dentcheva, Darinka; Ruszczyński, Andrzej
1
2021
A single timescale stochastic approximation method for nested stochastic optimization. Zbl 1441.90106
Ghadimi, Saeed; Ruszczyński, Andrzej; Wang, Mengdi
8
2020
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Zbl 1459.90168
Ruszczyński, Andrzej
6
2020
A dual method for evaluation of dynamic risk in diffusion processes. Zbl 1458.60090
Ruszczyński, Andrzej; Yao, Jianing
1
2020
Risk forms: representation, disintegration, and application to partially observable two-stage systems. Zbl 1445.90065
Dentcheva, Darinka; Ruszczyński, Andrzej
1
2020
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Zbl 1407.90335
Fan, Jingnan; Ruszczyński, Andrzej
3
2018
Time-coherent risk measures for continuous-time Markov chains. Zbl 1410.91263
Dentcheva, Darinka; Ruszczyński, Andrzej
2
2018
Statistical estimation of composite risk functionals and risk optimization problems. Zbl 1447.62119
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej
15
2017
A selective linearization method for multiblock convex optimization. Zbl 1366.90194
Du, Yu; Lin, Xiaodong; Ruszczyński, Andrzej
5
2017
Rate of convergence of the bundle method. Zbl 1373.90102
Du, Yu; Ruszczyński, Andrzej
2
2017
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Zbl 1327.90147
Asamov, Tsvetan; Ruszczyński, Andrzej
11
2015
Risk-averse control of undiscounted transient Markov models. Zbl 1311.93087
Çavuş, Özlem; Ruszczyński, Andrzej
9
2015
Two-stage portfolio optimization with higher-order conditional measures of risk. Zbl 1319.91144
Gülten, Sıtkı; Ruszczyński, Andrzej
4
2015
Lectures on stochastic programming. Modeling and theory. 2nd ed. Zbl 1302.90003
Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej
153
2014
Alternating linearization for structured regularization problems. Zbl 1319.62146
Lin, Xiaodong; Pham, Minh; Ruszczyński, Andrzej
8
2014
Computational methods for risk-averse undiscounted transient Markov models. Zbl 1295.90100
Çavuş, Özlem; Ruszczyński, Andrzej
7
2014
Risk preferences on the space of quantile functions. Zbl 1311.91126
Dentcheva, Darinka; Ruszczyński, Andrzej
6
2014
Erratum to “Risk-averse dynamic programming for Markov decision processes”. Zbl 1291.49019
Ruszczyński, Andrzej
3
2014
Common mathematical foundations of expected utility and dual utility theories. Zbl 1271.91051
Dentcheva, Darinka; Ruszczyński, Andrzej
10
2013
Tractable almost stochastic dominance. Zbl 1244.91112
Lizyayev, Andrey; Ruszczyński, Andrzej
22
2012
Scenario decomposition of risk-averse multistage stochastic programming problems. Zbl 1255.90086
Collado, Ricardo A.; Papp, Dávid; Ruszczyński, Andrzej
17
2012
Risk-averse two-stage stochastic linear programming: modeling and decomposition. Zbl 1218.90145
Miller, Naomi; Ruszczyński, Andrzej
32
2011
A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk. Zbl 1233.90016
Choi, Sungyong; Ruszczyński, Andrzej; Zhao, Yao
31
2011
A multi-product risk-averse newsvendor with exponential utility function. Zbl 1218.91053
Choi, Sungyong; Ruszczyński, Andrzej
30
2011
Portfolio optimization with risk control by stochastic dominance constraints. Zbl 1218.91148
Dentcheva, Darinka; Ruszczyński, Andrzej
1
2011
Risk-averse dynamic programming for Markov decision processes. Zbl 1207.49032
Ruszczyński, Andrzej
103
2010
Robust stochastic dominance and its application to risk-averse optimization. Zbl 1216.90064
Dentcheva, Darinka; Ruszczyński, Andrzej
26
2010
Kusuoka representation of higher order dual risk measures. Zbl 1209.91078
Dentcheva, Darinka; Penev, Spiridon; Ruszczyński, Andrzej
14
2010
Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints. Zbl 1218.90143
Dentcheva, Darinka; Ruszczyński, Andrzej
14
2010
Commentary: Post-decision states and separable approximations are powerful tools of approximate dynamic programming. Zbl 1243.90162
Ruszczyński, Andrzej
4
2010
Lectures on stochastic programming. Modeling and theory. Zbl 1183.90005
Shapiro, Alexander; Dentcheva, Darinka; Ruszczyński, Andrzej
469
2009
Optimization with multivariate stochastic dominance constraints. Zbl 1221.90069
Dentcheva, Darinka; Ruszczyński, Andrzej
37
2009
Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods. Zbl 1198.90308
Rudolf, Gábor; Ruszczyński, Andrzej
27
2008
A risk-averse newsvendor with law invariant coherent measures of risk. Zbl 1152.91572
Choi, Sungyong; Ruszczyński, Andrzej
26
2008
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Zbl 1142.91591
Miller, Naomi; Ruszczyński, Andrzej
22
2008
Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization. Zbl 1206.90108
Dentcheva, Darinka; Ruszczyński, Andrzej
17
2008
Stochastic dynamic optimization with discounted stochastic dominance constraints. Zbl 1180.90211
Dentcheva, Darinka; Ruszczyński, Andrzej
9
2008
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Zbl 1145.90046
Noyan, Nilay; Ruszczyński, Andrzej
6
2008
Finding normalizes equilibrium in convex-concave games. Zbl 1152.91323
Flåm, S. D.; Ruszczyński, A.
4
2008
A merit function approach to the subgradient method with averaging. Zbl 1146.90050
Ruszczyński, Andrzej
3
2008
Stochastic dominance for sequences and implied utility in dynamic optimization. Zbl 1164.90022
Dentcheva, Darinka; Ruszczyński, Andrzej
1
2008
An efficient trajectory method for probabilistic production-inventory-distribution problems. Zbl 1167.90489
Lejeune, Miguel A.; Ruszczynski, Andrzej
28
2007
Stability and sensitivity of optimization problems with first order stochastic dominance constraints. Zbl 1160.90607
Dentcheva, Darinka; Henrion, René; Ruszczyński, Andrzej
23
2007
Composite semi-infinite optimization. Zbl 1166.49025
Dentcheva, Darinka; Ruszczyński, Andrzej
7
2007
Optimization of convex risk functions. Zbl 1278.90283
Ruszczynski, Andrzej; Shapiro, Alexander
147
2006
Conditional risk mappings. Zbl 1278.90284
Ruszczynski, Andrzej; Shapiro, Alexander
86
2006
Optimization of risk measures. Zbl 1181.90281
Ruszczyński, Andrzej; Shapiro, Alexander
33
2006
Relaxations of linear programming problems with first order stochastic dominance constraints. Zbl 1112.90053
Noyan, Nilay; Rudolf, Gábor; Ruszczyński, Andrzej
17
2006
Inverse stochastic dominance constraints and rank dependent expected utility theory. Zbl 1130.91327
Dentcheva, Darinka; Ruszczyński, Andrzej
15
2006
Measuring risk for income streams. Zbl 1085.90041
Pflug, Georg Ch.; Ruszczyński, Andrzej
17
2005
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Zbl 1074.90031
Beraldi, Patrizia; Ruszczyński, Andrzej
7
2005
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Zbl 1098.90044
Dentcheva, Darinka; Ruszczyński, Andrzej
47
2004
Dual methods for probabilistic optimization problems. Zbl 1076.90038
Dentcheva, Darinka; Lai, Bogumila; Ruszczyński, Andrzej
25
2004
Learning algorithms for separable approximations of discrete stochastic optimization problems. Zbl 1082.90079
Powell, Warren; Ruszczyński, Andrzej; Topaloglu, Huseyin
19
2004
Semi-infinite probabilistic optimization: first-order stochastic dominance constraint. Zbl 1153.90513
Dentcheva, Darinka; Ruszczyński, Andrzej
17
2004
Convexification of stochastic ordering. Zbl 1083.90031
Dentcheva, D.; Ruszczyński, A.
7
2004
Optimization with stochastic dominance constraints. Zbl 1055.90055
Dentcheva, Darinka; Ruszczynski, Andrzej
135
2003
Stochastic programming. Zbl 1115.90001
70
2003
Frontiers of stochastically nondominated portfolios. Zbl 1154.91475
Ruszczyński, Andrzej; Vanderbei, Robert J.
23
2003
Optimization under nonlinear stochastic dominance constraints. Zbl 1040.90026
Dentcheva, D.; Ruszczyński, A.
1
2003
Dual stochastic dominance and related mean-risk models. Zbl 1022.91017
Ogryczak, Włodzimierz; Ruszczynski, Andrzej
150
2002
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Zbl 1065.90058
Ruszczyński, Andrzej
70
2002
The probabilistic set-covering problem. Zbl 1163.90655
Beraldi, Patrizia; Ruszczynski, Andrzej
37
2002
A branch and bound method for stochastic integer problems under probabilistic constraints. Zbl 1064.90030
Beraldi, Patrizia; Ruszczyński, Andrzej
36
2002
Bounds for probabilistic integer programming problems. Zbl 1173.90488
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
17
2002
Dual stochastic dominance and quantile risk measures. Zbl 1038.91048
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
17
2002
Decision making under uncertainty. Energy and power. IMA workshop, Minneapolis, MN, USA, July 20–24, 1999. Zbl 0990.00072
1
2002
On consistency of stochastic dominance and mean-semideviation models. Zbl 1014.91021
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
64
2001
On convex probabilistic programming with discrete distributions. Zbl 1042.90597
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
14
2001
Constraint aggregation in infinite-dimensional spaces and applications. Zbl 1082.90581
Kryazhimskii, Arkadii V.; Ruszczyński, Andrzej
2
2001
Concavity and efficient points of discrete distributions in probabilistic programming. Zbl 1033.90078
Dentcheva, Darinka; Prékopa, András; Ruszczyński, Andrzej
68
2000
Robust path choice in networks with failures. Zbl 0961.90069
Ferris, Michael C.; Ruszczyński, Andrzej
5
2000
From stochastic dominance to mean-risk models: Semideviations as risk measures. Zbl 1007.91513
Ogryczak, Włodzimierz; Ruszczyński, Andrzej
148
1999
Proximal decomposition via alternating linearization. Zbl 0958.65068
Kiwiel, Krzysztof C.; Rosa, Charles H.; Ruszczynski, Andrzej
30
1999
Some advances in decomposition methods for stochastic linear programming. Zbl 0919.90119
Ruszczyński, Andrzej
4
1999
A branch and bound method for stochastic global optimization. Zbl 0920.90111
Norkin, Vladimir I.; Pflug, Georg Ch.; Ruszczyński, Andrzej
54
1998
On optimal allocation of indivisibles under uncertainty. Zbl 0987.90064
Norkin, Vladimir I.; Ermoliev, Yuri M.; Ruszczyński, Andrzej
27
1998
On the Glivenko-Cantelli problem in stochastic programming: Linear recourse and extensions. Zbl 0977.90031
Pflug, Georg Ch.; Ruszczyński, Andrzej; Schultz, Rüdiger
5
1998
Decomposition methods in stochastic programming. Zbl 0887.90129
Ruszczyński, Andrzej
34
1997
Accelerating the regularized decomposition method for two stage stochastic linear problems. Zbl 0929.90067
Ruszczyński, Andrzej; Świȩtanowski, Artur
30
1997
Constraint aggregation principle in convex optimization. Zbl 0871.90063
Ermoliev, Yuri M.; Kryazhimskii, Arkadii V.; Ruszczyński, Andrzej
3
1997
On augmented Lagrangian decomposition methods for multistage stochastic programs. Zbl 0857.90096
Rosa, Charles H.; Ruszczyński, Andrzej
10
1996
Cost-effective sulphur emission reduction under uncertainty. Zbl 0909.90098
Altman, Anna; Amann, Markus; Klaassen, Ger; Ruszczyński, Andrzej; Schöpp, Wolfgang
3
1996
A new scenario decomposition method for large-scale stochastic optimization. Zbl 0843.90086
Mulvey, John M.; Ruszczyński, Andrzej
73
1995
On convergence of an augmented Lagrangian decomposition method for sparse convex optimization. Zbl 0845.90098
Ruszczyński, Andrzej
24
1995
On the regularized decomposition method for stochastic programming problems. Zbl 0834.90099
Ruszczyński, Andrzej
2
1995
An extension of the DQA algorithm to convex stochastic programs. Zbl 0830.90112
Berger, Adam J.; Mulvey, John M.; Ruszczyński, Andrzej
10
1994
Parallel decomposition of multistage stochastic programming problems. Zbl 0777.90036
Ruszczyński, Andrzej
31
1993
A diagonal quadratic approximation method for large scale linear programs. Zbl 0767.90047
Mulvey, John M.; Ruszczyński, Andrzej
21
1992
Sensitivity method for basis inverse representation in multistage stochastic linear programming problems. Zbl 0795.90045
Gondzio, J.; Ruszczyński, A.
2
1992
An augmented Lagrangian decomposition method for block diagonal linear programming problems. Zbl 1418.90156
Ruszczyński, Andrzej
5
1989
Regularized decomposition and augmented Lagrangian decomposition for angular linear programming problems. Zbl 0759.90065
Ruszczynski, Andrzej
2
1989
A sensitivity method for solving multistage stochastic linear programming problems. Zbl 0759.90075
Gondzio, Jacek; Ruszczynski, Andrzej
1
1989
Approximation techniques in stochastic programming. Zbl 0665.90067
Kall, P.; Ruszczyński, A.; Frauendorfer, K.
24
1988
A linearization method for nonsmooth stochastic programming problems. Zbl 0624.90078
Ruszczyński, Andrzej
21
1987
A regularized decomposition method for minimizing a sum of polyhedral functions. Zbl 0599.90103
Ruszczyński, Andrzej
87
1986
A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems. Zbl 0597.90064
Ruszczyński, Andrzej; Syski, Wojciech
14
1986
...and 7 more Documents
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Cited by 2,484 Authors

48 Ruszczyński, Andrzej
37 Shapiro, Alexander
30 Xu, Huifu
29 Escudero, Laureano Fernando
25 Chen, Zhiping
23 Dentcheva, Darinka
22 Ahmed, Shabbir
18 Ogryczak, Włodzimierz
18 Pichler, Alois
18 Van Ackooij, Wim
17 Lejeune, Miguel A.
16 Sen, Suvrajeet
16 Sun, Hailin
16 Zhang, Liwei
15 Homem-de-Mello, Tito
15 Schultz, Rüdiger
13 Guigues, Vincent
13 Küçükyavuz, Simge
13 Norkin, Vladimir I.
13 Noyan, Nilay
13 Royset, Johannes O.
12 Balbás, Alejandro
12 Beraldi, Patrizia
12 Liu, Jia
12 Luedtke, James R.
12 Pagnoncelli, Bernardo K.
12 Zhang, Jie
11 Jiang, Jie
11 Kopa, Miloš
11 Powell, Warren Buckler
11 Rudloff, Birgit
10 Bayraksan, Güzin
10 Chen, Xiaojun
10 Haskell, William Benjamin
10 Kibzun, Andreĭ Ivanovich
10 Kouri, Drew P.
10 Pflug, Georg Ch.
9 Balbás, Raquel
9 Branda, Martin
9 Fábián, Csaba I.
9 Grossmann, Ignacio E.
9 Henrion, René
9 Ivanov, Sergeĭ Valer’evich
9 Mitra, Gautam
9 Monge, Juan Francisco
9 Morton, David P.
9 Pang, Jong-Shi
9 Pérez-Aros, Pedro
9 Prékopa, András
9 Römisch, Werner
9 Song, Yongjia
8 Higle, Julia L.
8 Kuhn, Daniel
8 Lin, Guihua
8 Lisser, Abdel
8 Maggioni, Francesca
8 Roman, Diana
8 Shen, Siqian
8 Zhang, Dali
7 Araceli Garín, María
7 Balbás, Beatriz
7 Claus, Matthias
7 de Lara, Michel
7 Dupačová, Jitka
7 Gotoh, Jun-ya
7 Gutjahr, Walter J.
7 Li, Guoyin
7 Mehra, Aparna
7 Merino, María
7 Pang, Liping
7 Pérez, Gloria
7 Shanbhag, Uday V.
7 van der Vlerk, Maarten H.
6 Alonso-Ayuso, Antonio
6 Bertocchi, Marida
6 Bruni, Maria Elena
6 Campi, Marco Claudio
6 Chancelier, Jean-Philippe
6 Cheng, Jianqiang
6 de Oliveira, Welington Luis
6 Feinstein, Zachary
6 Gondzio, Jacek
6 Goyal, Vineet
6 Heitsch, Holger
6 Jeyakumar, Vaithilingam
6 Lan, Guanghui
6 Mansini, Renata
6 Mehrotra, Sanjay
6 Sharma, Amita
6 Xie, Weijun
5 Bertsimas, Dimitris John
5 Carpentier, Pierre
5 Duchi, John C.
5 Gaivoronski, Alexei A.
5 Garatti, Simone
5 Goldfarb, Donald
5 Govindan, Kannan
5 Guan, Yongpei
5 Guastaroba, Gianfranco
5 Guo, Shaoyan
...and 2,384 more Authors
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Cited in 210 Serials

264 European Journal of Operational Research
174 Mathematical Programming. Series A. Series B
142 Annals of Operations Research
80 SIAM Journal on Optimization
59 Computational Optimization and Applications
52 Journal of Optimization Theory and Applications
51 Operations Research Letters
49 Computers & Operations Research
44 Operations Research
43 INFORMS Journal on Computing
41 Computational Management Science
29 Optimization
28 Mathematics of Operations Research
25 Journal of Global Optimization
22 Optimization Methods & Software
19 Quantitative Finance
18 Insurance Mathematics & Economics
18 Mathematical Methods of Operations Research
18 Optimization and Engineering
17 OR Spectrum
16 Cybernetics and Systems Analysis
16 Optimization Letters
15 Journal of Computational and Applied Mathematics
14 Mathematical Problems in Engineering
14 Journal of Industrial and Management Optimization
13 Automatica
12 Set-Valued and Variational Analysis
11 Journal of Mathematical Analysis and Applications
11 Kybernetika
11 Automation and Remote Control
11 Top
10 SIAM Journal on Control and Optimization
10 SIAM/ASA Journal on Uncertainty Quantification
9 Naval Research Logistics
9 Mathematics and Financial Economics
9 Mathematical Programming Computation
8 Asia-Pacific Journal of Operational Research
8 Applied Mathematical Modelling
8 Finance and Stochastics
7 Applied Mathematics and Computation
7 Applied Mathematics and Optimization
7 Journal of Economic Dynamics & Control
7 Mathematical Finance
7 International Journal of Theoretical and Applied Finance
7 CEJOR. Central European Journal of Operations Research
7 Journal of the Operations Research Society of China
6 Decision Analysis
5 Computer Methods in Applied Mechanics and Engineering
5 Discrete Applied Mathematics
5 Inverse Problems
5 Statistics & Probability Letters
5 Soft Computing
5 RAIRO. Operations Research
5 4OR
5 Networks and Spatial Economics
4 Nonlinear Analysis. Theory, Methods & Applications. Series A: Theory and Methods
4 Opsearch
4 Journal of Scientific Computing
4 Numerical Algorithms
4 International Transactions in Operational Research
4 Journal of Inequalities and Applications
4 Journal of Applied Mathematics
4 Numerical Algebra, Control and Optimization
3 Artificial Intelligence
3 Mathematics of Computation
3 Annals of the Institute of Statistical Mathematics
3 Machine Learning
3 Computational Statistics and Data Analysis
3 SIAM Journal on Scientific Computing
3 ACM Transactions on Modeling and Computer Simulation
3 European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations
3 Vietnam Journal of Mathematics
3 Discrete Dynamics in Nature and Society
3 Methodology and Computing in Applied Probability
3 Journal of Machine Learning Research (JMLR)
3 Revista de la Real Academia de Ciencias Exactas, Físicas y Naturales. Serie A: Matemáticas. RACSAM
3 Statistics & Risk Modeling
3 EURO Journal on Computational Optimization
2 Computers & Mathematics with Applications
2 International Journal of Control
2 International Journal of Systems Science
2 Physica A
2 The Annals of Statistics
2 Fuzzy Sets and Systems
2 Information Sciences
2 Journal of Applied Probability
2 Numerical Functional Analysis and Optimization
2 SIAM Journal on Numerical Analysis
2 Systems & Control Letters
2 International Journal of Production Research
2 Statistical Science
2 Algorithmica
2 Mathematical and Computer Modelling
2 Computational Mathematics and Modeling
2 International Journal of Computer Mathematics
2 Journal of Heuristics
2 Positivity
2 Journal of Combinatorial Optimization
2 Journal of Scheduling
2 Probability in the Engineering and Informational Sciences
...and 110 more Serials
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Cited in 40 Fields

1,434 Operations research, mathematical programming (90-XX)
568 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
157 Numerical analysis (65-XX)
153 Statistics (62-XX)
145 Probability theory and stochastic processes (60-XX)
125 Calculus of variations and optimal control; optimization (49-XX)
87 Systems theory; control (93-XX)
68 Computer science (68-XX)
26 Functional analysis (46-XX)
14 Operator theory (47-XX)
10 Real functions (26-XX)
10 Partial differential equations (35-XX)
9 Convex and discrete geometry (52-XX)
9 Biology and other natural sciences (92-XX)
8 Information and communication theory, circuits (94-XX)
7 Mechanics of deformable solids (74-XX)
6 Combinatorics (05-XX)
5 Measure and integration (28-XX)
5 Approximations and expansions (41-XX)
4 Ordinary differential equations (34-XX)
3 Order, lattices, ordered algebraic structures (06-XX)
3 Difference and functional equations (39-XX)
3 Fluid mechanics (76-XX)
2 History and biography (01-XX)
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1 Global analysis, analysis on manifolds (58-XX)
1 Mechanics of particles and systems (70-XX)

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