Andrzej Ruszczynski

98 papers Journal 94Unranked 2
YearRankTypeTitle / Venue / Authors
2026 J jnl
Convergence Rate of a Functional Learning Method for Contextual Stochastic Optimization.
CoRR
Noel Smith, Andrzej Ruszczynski
2026 J jnl
Mean-semideviation-based distributionally robust learning with weakly convex losses: convergence rates and finite-sample guarantees.
Math. Program.
Landi Zhu, Mert Gürbüzbalaban, Andrzej Ruszczynski
2025 J jnl
Federated Calculation of the Free-Support Transportation Barycenter by Single-Loop Dual Decomposition.
CoRR
Zhengqi Lin, Andrzej Ruszczynski
2025 J jnl
Stochastic modeling and optimization in memory of András Prékopa.
Ann. Oper. Res.
Endre Boros, Michael N. Katehakis, Andrzej Ruszczynski
2024 J jnl
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization.
CoRR
Andrzej Ruszczynski, Shangzhe Yang
2024 J jnl
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization.
SIAM J. Optim.
Andrzej Ruszczynski, Shangzhe Yang
2023 J jnl
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems.
SIAM J. Control. Optim.
Zhengqi Lin, Andrzej Ruszczynski
2023 J jnl
Fast Dual Subgradient Optimization of the Integrated Transportation Distance Between Stochastic Kernels.
CoRR
Zhengqi Lin, Andrzej Ruszczynski
2023 J jnl
Mini-Batch Risk Forms.
SIAM J. Optim.
Darinka Dentcheva, Andrzej Ruszczynski
2023 J jnl
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty.
Math. Methods Oper. Res.
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski
2023 J jnl
The deepest event cuts in risk-averse optimization with application to radiation therapy design.
Comput. Optim. Appl.
Constantine Alexander Vitt, Darinka Dentcheva, Andrzej Ruszczynski, Nolan Sandberg
2022 J jnl
A Stochastic Subgradient Method for Distributionally Robust Non-convex and Non-smooth Learning.
J. Optim. Theory Appl.
Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu
2022 J jnl
Process-based risk measures and risk-averse control of discrete-time systems.
Math. Program.
Jingnan Fan, Andrzej Ruszczynski
2021 J jnl
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization.
SIAM J. Control. Optim.
Andrzej Ruszczynski
2021 J jnl
An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems.
J. Glob. Optim.
Minh Pham, Xiaodong Lin, Andrzej Ruszczynski, Yu Du
2021 J jnl
Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures.
J. Mach. Learn. Res.
Umit Kose, Andrzej Ruszczynski
2021 J jnl
Selective linearization for multi-block statistical learning.
Eur. J. Oper. Res.
Yu Du, Xiaodong Lin, Minh Pham, Andrzej Ruszczynski
2021 J jnl
Subregular recourse in nonlinear multistage stochastic optimization.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2020 J jnl
A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization.
SIAM J. Optim.
Saeed Ghadimi, Andrzej Ruszczynski, Mengdi Wang
2020 J jnl
A Stochastic Subgradient Method for Distributionally Robust Non-Convex Learning.
CoRR
Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu
2020 J jnl
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization.
Optim. Lett.
Andrzej Ruszczynski
2020 J jnl
Risk forms: representation, disintegration, and application to partially observable two-stage systems.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2020 J jnl
Risk-Averse Learning by Temporal Difference Methods.
CoRR
Umit Kose, Andrzej Ruszczynski
2018 J jnl
Risk measurement and risk-averse control of partially observable discrete-time Markov systems.
Math. Methods Oper. Res.
Jingnan Fan, Andrzej Ruszczynski
2018 J jnl
Time-Coherent Risk Measures for Continuous-Time Markov Chains.
SIAM J. Financial Math.
Darinka Dentcheva, Andrzej Ruszczynski
2017 J jnl
A Selective Linearization Method For Multiblock Convex Optimization.
SIAM J. Optim.
Yu Du, Xiaodong Lin, Andrzej Ruszczynski
2017 J jnl
Rate of Convergence of the Bundle Method.
J. Optim. Theory Appl.
Yu Du, Andrzej Ruszczynski
2015 — conf
A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation.
SIAM Conf. on Control and its Applications
Andrzej Ruszczynski, Jianing Yao
2015 — conf
Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems.
SIAM Conf. on Control and its Applications
Jingnan Fan, Andrzej Ruszczynski
2015 J jnl
Time-consistent approximations of risk-averse multistage stochastic optimization problems.
Math. Program.
Tsvetan Asamov, Andrzej Ruszczynski
2015 J jnl
Two-stage portfolio optimization with higher-order conditional measures of risk.
Ann. Oper. Res.
Sitki Gülten, Andrzej Ruszczynski
2014 J jnl
Alternating linearization for structured regularization problems.
J. Mach. Learn. Res.
Xiaodong Lin, Minh Pham, Andrzej Ruszczynski
2014 J jnl
Computational Methods for Risk-Averse Undiscounted Transient Markov Models.
Oper. Res.
Özlem Çavus, Andrzej Ruszczynski
2014 J jnl
Erratum to: Risk-averse dynamic programming for Markov decision processes.
Math. Program.
Andrzej Ruszczynski
2014 — book
Lectures on Stochastic Programming - Modeling and Theory, Second Edition.
Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski
2014 J jnl
Risk preferences on the space of quantile functions.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2014 J jnl
Risk-Averse Control of Undiscounted Transient Markov Models.
SIAM J. Control. Optim.
Özlem Çavus, Andrzej Ruszczynski
2013 J jnl
Common Mathematical Foundations of Expected Utility and Dual Utility Theories.
SIAM J. Optim.
Darinka Dentcheva, Andrzej Ruszczynski
2012 J jnl
Scenario decomposition of risk-averse multistage stochastic programming problems.
Ann. Oper. Res.
Ricardo A. Collado, Dávid Papp, Andrzej Ruszczynski
2012 J jnl
Stochastic modeling and optimization (in honor of András Prékopa's 80th birthday).
Ann. Oper. Res.
Darinka Dentcheva, Andrzej Ruszczynski, Tamás Szántai
2012 J jnl
Tractable Almost Stochastic Dominance.
Eur. J. Oper. Res.
Andrey Lizyayev, Andrzej Ruszczynski
2011 J jnl
A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk.
Oper. Res.
Sungyong Choi, Andrzej Ruszczynski, Yao Zhao
2011 J jnl
A multi-product risk-averse newsvendor with exponential utility function.
Eur. J. Oper. Res.
Sungyong Choi, Andrzej Ruszczynski
2011 J jnl
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition.
Oper. Res.
Naomi Miller, Andrzej Ruszczynski
2010 J jnl
Commentary - Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming.
INFORMS J. Comput.
Andrzej Ruszczynski
2010 J jnl
Kusuoka representation of higher order dual risk measures.
Ann. Oper. Res.
Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski
2010 J jnl
Risk-averse dynamic programming for Markov decision processes.
Math. Program.
Andrzej Ruszczynski
2010 J jnl
Robust stochastic dominance and its application to risk-averse optimization.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2009 — book
Lectures on Stochastic Programming - Modeling and Theory
Alexander Shapiro, Darinka Dentcheva, Andrzej Ruszczynski
2009 J jnl
Optimization with multivariate stochastic dominance constraints.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2008 J jnl
A merit function approach to the subgradient method with averaging.
Optim. Methods Softw.
Andrzej Ruszczynski
2008 J jnl
A risk-averse newsvendor with law invariant coherent measures of risk.
Oper. Res. Lett.
Sungyong Choi, Andrzej Ruszczynski
2008 J jnl
Finding Normalized Equilibrium in Convex-concave Games.
IGTR
Sjur Didrik Flåm, Andrzej Ruszczynski
2008 J jnl
Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods.
SIAM J. Optim.
Gábor Rudolf, Andrzej Ruszczynski
2008 J jnl
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk.
Eur. J. Oper. Res.
Naomi Miller, Andrzej Ruszczynski
2008 J jnl
Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints.
SIAM J. Control. Optim.
Darinka Dentcheva, Andrzej Ruszczynski
2008 J jnl
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints.
Math. Program.
Nilay Noyan, Andrzej Ruszczynski
2007 J jnl
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems.
Oper. Res.
Miguel A. Lejeune, Andrzej Ruszczynski
2007 J jnl
Corrigendum to: "Optimization of Convex Risk Functions, "
Math. Oper. Res.
Andrzej Ruszczynski, Alexander Shapiro
2007 J jnl
Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints.
SIAM J. Optim.
Darinka Dentcheva, René Henrion, Andrzej Ruszczynski
2006 J jnl
Conditional Risk Mappings.
Math. Oper. Res.
Andrzej Ruszczynski, Alexander Shapiro
2006 J jnl
Inverse stochastic dominance constraints and rank dependent expected utility theory.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2006 J jnl
Optimization of Convex Risk Functions.
Math. Oper. Res.
Andrzej Ruszczynski, Alexander Shapiro
2006 J jnl
Relaxations of linear programming problems with first order stochastic dominance constraints.
Oper. Res. Lett.
Nilay Noyan, Gábor Rudolf, Andrzej Ruszczynski
2005 J jnl
Beam search heuristic to solve stochastic integer problems under probabilistic constraints.
Eur. J. Oper. Res.
Patrizia Beraldi, Andrzej Ruszczynski
2005 J jnl
Measuring Risk for Income Streams.
Comput. Optim. Appl.
Georg Ch. Pflug, Andrzej Ruszczynski
2004 J jnl
Dual methods for probabilistic optimization problems
Math. Methods Oper. Res.
Darinka Dentcheva, Bogumila Lai, Andrzej Ruszczynski
2004 J jnl
Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems.
Math. Oper. Res.
Warren B. Powell, Andrzej Ruszczynski, Huseyin Topaloglu
2004 J jnl
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints.
Math. Program.
Darinka Dentcheva, Andrzej Ruszczynski
2003 J jnl
Optimization with Stochastic Dominance Constraints.
SIAM J. Optim.
Darinka Dentcheva, Andrzej Ruszczynski
2002 J jnl
A branch and bound method for stochastic integer problems under probabilistic constraints.
Optim. Methods Softw.
Patrizia Beraldi, Andrzej Ruszczynski
2002 J jnl
Bounds for probabilistic integer programming problems.
Discret. Appl. Math.
Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski
2002 J jnl
Dual Stochastic Dominance and Related Mean-Risk Models.
SIAM J. Optim.
Wlodzimierz Ogryczak, Andrzej Ruszczynski
2002 J jnl
Practice Abstracts.
Interfaces
Donald L. Keefer, DeLyle Bloomquist, David Graziosi, Lei Lei, Andrzej Ruszczynski, Shuguang Liu, Hua Zhong
2002 J jnl
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra.
Math. Program.
Andrzej Ruszczynski
2002 J jnl
The Probabilistic Set-Covering Problem.
Oper. Res.
Patrizia Beraldi, Andrzej Ruszczynski
2001 J jnl
Constraint Aggregation in Infinite-Dimensional Spaces and Applications.
Math. Oper. Res.
Arkadii V. Kryazhimskii, Andrzej Ruszczynski
2001 J jnl
On consistency of stochastic dominance and mean-semideviation models.
Math. Program.
Wlodzimierz Ogryczak, Andrzej Ruszczynski
2000 J jnl
Concavity and efficient points of discrete distributions in probabilistic programming.
Math. Program.
Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski
2000 J jnl
Robust path choice in networks with failures.
Networks
Michael C. Ferris, Andrzej Ruszczynski
1999 J jnl
From stochastic dominance to mean-risk models: Semideviations as risk measures.
Eur. J. Oper. Res.
Wlodzimierz Ogryczak, Andrzej Ruszczynski
1999 J jnl
Proximal Decomposition Via Alternating Linearization.
SIAM J. Optim.
Krzysztof C. Kiwiel, Charles H. Rosa, Andrzej Ruszczynski
1999 J jnl
Some advances in decomposition methodsfor stochastic linear programming.
Ann. Oper. Res.
Andrzej Ruszczynski
1998 J jnl
A branch and bound method for stochastic global optimization.
Math. Program.
Vladimir I. Norkin, Georg Ch. Pflug, Andrzej Ruszczynski
1998 J jnl
On Optimal Allocation of Indivisibles Under Uncertainty.
Oper. Res.
Vladimir I. Norkin, Yuri M. Ermoliev, Andrzej Ruszczynski
1998 J jnl
On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions.
Math. Oper. Res.
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
1998 J jnl
On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse.
Math. Methods Oper. Res.
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
1997 J jnl
Decomposition methods in stochastic programming.
Math. Program.
Andrzej Ruszczynski
1996 J jnl
Constraint aggregation principle in convex optimization.
Math. Program.
Yuri M. Ermoliev, Arkadii V. Kryazhimskii, Andrzej Ruszczynski
1996 J jnl
On augmented Lagrangian decomposition methods for multistage stochastic programs.
Ann. Oper. Res.
Charles H. Rosa, Andrzej Ruszczynski
1995 J jnl
A New Scenario Decomposition Method for Large-Scale Stochastic Optimization.
Oper. Res.
John M. Mulvey, Andrzej Ruszczynski
1995 J jnl
On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization.
Math. Oper. Res.
Andrzej Ruszczynski
1994 J jnl
An Extension of the DQA Algorithm to Convex Stochastic Programs.
SIAM J. Optim.
Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski
1993 J jnl
Parallel decomposition of multistage stochastic programming problems.
Math. Program.
Andrzej Ruszczynski
1992 J jnl
A diagonal quadratic approximation method for large scale linear programs.
Oper. Res. Lett.
John M. Mulvey, Andrzej Ruszczynski
1987 J jnl
A Linearization Method for Nonsmooth Stochastic Programming Problems.
Math. Oper. Res.
Andrzej Ruszczynski
1986 J jnl
A regularized decomposition method for minimizing a sum of polyhedral functions.
Math. Program.
Andrzej Ruszczynski
1980 J jnl
Feasible direction methods for stochastic programming problems.
Math. Program.
Andrzej Ruszczynski