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Andrzej Ruszczynski

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This is information that was supplied by Andrzej Ruszczynski in registering through RePEc. If you are Andrzej Ruszczynski , you may change this information at the RePEc Author Service. Or if you are not registered and would like to be listed as well, register at the RePEc Author Service. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Personal Details

First Name: Andrzej
Middle Name:
Last Name: Ruszczynski
Suffix:

RePEc Short-ID: pru30

Email:
Homepage: http://www.rusz.rutgers.edu
Postal Address: Rutgers University Department of Management Science 94 Rockafeller Road Piscataway, NJ 08854 USA
Phone: 732-445-3422

Affiliation

Rutgers University
Homepage: http://www.rutgers.edu
Location: New Brunswick, New Jersey

Works

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Working papers

  1. Dentcheva, Darinka & Ruszczynski, Andrzej, 2012. "Common mathematical foundations of expected utility and dual utility theories," MPRA Paper 42736, University Library of Munich, Germany.
  2. Flam, Sjur & Ruszczynski, A., 2006. "Computing Normalized Equilibria in Convex-Concave Games," Working Papers 2006:9, Lund University, Department of Economics.
  3. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, EconWPA.
  4. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, EconWPA, revised 08 Oct 2005.
  5. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, EconWPA, revised 02 Mar 2006.
  6. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, EconWPA, revised 07 Aug 2005.
  7. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, EconWPA.
  8. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Convexification of Stochastic Ordering," GE, Growth, Math methods 0402005, EconWPA, revised 05 Aug 2005.
  9. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, EconWPA, revised 08 Oct 2005.
  10. Flam, S.D. & Ruszczynski, A., 2000. "Noncooperative Convex Games: Computing Equilibrium by Partial Regularization," Norway; Department of Economics, University of Bergen 1200, Department of Economics, University of Bergen.
  11. W. Ogryczak & A. Ruszczynski, 1997. "From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures," Working Papers ir97027, International Institute for Applied Systems Analysis.
  12. A.V. Kryazhimskii & A. Ruszczynski, 1997. "Constraint Aggregation in Infinite-Dimensional Spaces and Applications," Working Papers ir97051, International Institute for Applied Systems Analysis.
  13. W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis.
  14. V.I. Norkin & G.C. Pflug & A. Ruszczynski, 1996. "A Branch and Bound Method for Stochastic Global Optimization," Working Papers wp96065, International Institute for Applied Systems Analysis.
  15. G.C. Pflug & A. Ruszczynski & R. Schultz, 1996. "On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions," Working Papers wp96020, International Institute for Applied Systems Analysis.
  16. B.J. Lence & A. Ruszczynski, 1996. "Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method," Working Papers wp96066, International Institute for Applied Systems Analysis.
  17. A. Ruszczynski & A. Swietanowski, 1996. "On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems," Working Papers wp96014, International Institute for Applied Systems Analysis.
  18. Y.M. Ermoliev & A. Ruszczynski, 1995. "Convex Optimization by Radial Search," Working Papers wp95036, International Institute for Applied Systems Analysis.
  19. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, International Institute for Applied Systems Analysis.
  20. Y.M. Ermoliev & A.V. Kryazhimskii & A. Ruszczynski, 1995. "Constraint Aggregation Principle in Convex Optimization," Working Papers wp95015, International Institute for Applied Systems Analysis.
  21. G.C. Pflug & A. Ruszczynski & R. Schultz, 1995. "On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse," Working Papers wp95003, International Institute for Applied Systems Analysis.
  22. A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs," Working Papers wp94005, International Institute for Applied Systems Analysis.
  23. A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis.
  24. A. Altman & M. Amann & G. Klaassen & A. Ruszczynski & W. Schoepp, 1994. "Cost-Effective Sulphur Reduction Under Uncertainty," Working Papers wp94119, International Institute for Applied Systems Analysis.
  25. M.J. Kallio & A. Ruszczynski, 1994. "Parallel Solution of Linear Programs Via Nash Equilibria," Working Papers wp94015, International Institute for Applied Systems Analysis.
  26. M.J. Kallio & A. Ruszczynski, 1994. "Perturbation Methods for Saddle Point Computation," Working Papers wp94038, International Institute for Applied Systems Analysis.
  27. V.I. Norkin & Y.M. Ermoliev & A. Ruszczynski, 1994. "On Optimal Allocation of Indivisibles Under Uncertainty," Working Papers wp94021, International Institute for Applied Systems Analysis.
  28. W. Gutjahr & G.C. Pflug & A. Ruszczynski, 1993. "Configurations of Series-Parallel Networks with Maximum Reliability," Working Papers wp93060, International Institute for Applied Systems Analysis.
  29. A. Ruszczynski, 1993. "Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results," Working Papers wp93021, International Institute for Applied Systems Analysis.
  30. A. Ruszczynski, 1993. "Interior Point Methods in Stochastic Programming," Working Papers wp93008, International Institute for Applied Systems Analysis.
  31. A. Ruszczynski, 1992. "Augmented Lagrangian Decomposition for Sparse Convex Optimization," Working Papers wp92075, International Institute for Applied Systems Analysis.

Articles

  1. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
  2. Choi, Sungyong & Ruszczynski, Andrzej, 2011. "A multi-product risk-averse newsvendor with exponential utility function," European Journal of Operational Research, Elsevier, vol. 214(1), pages 78-84, October.
  3. S. D. Flåm & A. Ruszczyński, 2008. "Finding Normalized Equilibrium In Convex-Concave Games," International Game Theory Review (IGTR), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 37-51.
  4. Miller, Naomi & Ruszczynski, Andrzej, 2008. "Risk-adjusted probability measures in portfolio optimization with coherent measures of risk," European Journal of Operational Research, Elsevier, vol. 191(1), pages 193-206, November.
  5. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
  6. Beraldi, Patrizia & Ruszczynski, Andrzej, 2005. "Beam search heuristic to solve stochastic integer problems under probabilistic constraints," European Journal of Operational Research, Elsevier, vol. 167(1), pages 35-47, November.
  7. Andrzej Ruszczynski & Robert J. Vanderbei, 2003. "Frontiers of Stochastically Nondominated Portfolios," Econometrica, Econometric Society, vol. 71(4), pages 1287-1297, 07.
  8. Ogryczak, Wlodzimierz & Ruszczynski, Andrzej, 1999. "From stochastic dominance to mean-risk models: Semideviations as risk measures," European Journal of Operational Research, Elsevier, vol. 116(1), pages 33-50, July.
  9. Pflug, G. Ch. & Ruszczynski, A., 1997. "Thirteenth EURO Summer Institute: Stochastic Optimization," European Journal of Operational Research, Elsevier, vol. 101(2), pages 229-229, September.
  10. Ruszczynski, Andrzej & Swietanowski, Artur, 1997. "Accelerating the regularized decomposition method for two stage stochastic linear problems," European Journal of Operational Research, Elsevier, vol. 101(2), pages 328-342, September.
  11. Altman, Anna & Amann, Markus & Klaassen, Ger & Ruszczynski, Andrzej & Schopp, Wolfgang, 1996. "Cost-effective sulphur emission reduction under uncertainty," European Journal of Operational Research, Elsevier, vol. 90(3), pages 395-412, May.

NEP Fields

8 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2004-03-14
  2. NEP-CMP: Computational Economics (2) 2004-02-23 2006-04-29. Author is listed
  3. NEP-FIN: Finance (1) 2004-02-23
  4. NEP-GTH: Game Theory (1) 2006-04-29
  5. NEP-HPE: History & Philosophy of Economics (1) 2012-12-10
  6. NEP-MIC: Microeconomics (3) 2004-02-23 2004-03-07 2012-12-10. Author is listed
  7. NEP-RMG: Risk Management (1) 2004-03-14
  8. NEP-UPT: Utility Models & Prospect Theory (1) 2012-12-10

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