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Andrzej Ruszczynski

Personal Details

First Name:Andrzej
Middle Name:
Last Name:Ruszczynski
Suffix:
RePEc Short-ID:pru30
http://www.rusz.rutgers.edu
Rutgers University Department of Management Science 94 Rockafeller Road Piscataway, NJ 08854 USA
732-445-3422
Terminal Degree:1975 (from RePEc Genealogy)

Affiliation

Rutgers University

http://www.rutgers.edu
New Brunswick, New Jersey

Research output

as
Jump to: Working papers Articles

Working papers

  1. Andrzej Ruszczynski & Jianing Yao, 2017. "A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation," Papers 1701.06234, arXiv.org, revised Aug 2020.
  2. Jingnan Fan & Andrzej Ruszczynski, 2014. "Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems," Papers 1411.2675, arXiv.org, revised Nov 2016.
  3. Dentcheva, Darinka & Ruszczynski, Andrzej, 2012. "Common mathematical foundations of expected utility and dual utility theories," MPRA Paper 42736, University Library of Munich, Germany.
  4. Flam, Sjur & Ruszczynski, A., 2006. "Computing Normalized Equilibria in Convex-Concave Games," Working Papers 2006:9, Lund University, Department of Economics.
  5. Darinka Dentcheva & Andrzej Ruszczynski, 2005. "Inverse stochastic dominance constraints and rank dependent expected utility theory," GE, Growth, Math methods 0503001, University Library of Munich, Germany.
  6. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Risk Measures," Risk and Insurance 0407002, University Library of Munich, Germany.
  7. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Conditional Risk Mappings," Risk and Insurance 0404002, University Library of Munich, Germany, revised 08 Oct 2005.
  8. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Optimization Under First Order Stochastic Dominance Constraints," GE, Growth, Math methods 0403002, University Library of Munich, Germany, revised 07 Aug 2005.
  9. Andrzej Ruszczynski & Alexander Shapiro, 2004. "Optimization of Convex Risk Functions," Risk and Insurance 0404001, University Library of Munich, Germany, revised 08 Oct 2005.
  10. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Portfolio Optimization With Stochastic Dominance Constraints," Finance 0402016, University Library of Munich, Germany, revised 02 Mar 2006.
  11. Darinka Dentcheva & Andrzej Ruszczynski, 2004. "Convexification of Stochastic Ordering," GE, Growth, Math methods 0402005, University Library of Munich, Germany, revised 05 Aug 2005.
  12. 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.
  13. A.V. Kryazhimskii & A. Ruszczynski, 1997. "Constraint Aggregation in Infinite-Dimensional Spaces and Applications," Working Papers ir97051, International Institute for Applied Systems Analysis.
  14. W. Ogryczak & A. Ruszczynski, 1997. "On Stochastic Dominance and Mean-Semideviation Models," Working Papers ir97043, International Institute for Applied Systems Analysis.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. 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.
  20. Y.M. Ermoliev & A. Ruszczynski, 1995. "Convex Optimization by Radial Search," Working Papers wp95036, 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. Y.M. Ermoliev & A.V. Kryazhimskii & A. Ruszczynski, 1995. "Constraint Aggregation Principle in Convex Optimization," Working Papers wp95015, International Institute for Applied Systems Analysis.
  23. K. Kiwiel & C.H. Rosa & A. Ruszczynski, 1995. "Decomposition via Alternating Linearization," Working Papers wp95051, 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. "Perturbation Methods for Saddle Point Computation," Working Papers wp94038, International Institute for Applied Systems Analysis.
  26. A. Ruszczynski, 1994. "On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs," Working Papers wp94005, International Institute for Applied Systems Analysis.
  27. A. Ruszczynski, 1994. "A Partial Regularization Method for Saddle Point Seeking," Working Papers wp94020, International Institute for Applied Systems Analysis.
  28. M.J. Kallio & A. Ruszczynski, 1994. "Parallel Solution of Linear Programs Via Nash Equilibria," Working Papers wp94015, International Institute for Applied Systems Analysis.
  29. 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.
  30. A. Ruszczynski, 1993. "Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results," Working Papers wp93021, International Institute for Applied Systems Analysis.
  31. A. Ruszczynski, 1993. "Interior Point Methods in Stochastic Programming," Working Papers wp93008, International Institute for Applied Systems Analysis.
  32. 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.
  33. A. Ruszczynski, 1992. "Augmented Lagrangian Decomposition for Sparse Convex Optimization," Working Papers wp92075, International Institute for Applied Systems Analysis.

Articles

  1. Jingnan Fan & Andrzej Ruszczyński, 2018. "Risk measurement and risk-averse control of partially observable discrete-time Markov systems," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 161-184, October.
  2. Yu Du & Andrzej Ruszczyński, 2017. "Rate of Convergence of the Bundle Method," Journal of Optimization Theory and Applications, Springer, vol. 173(3), pages 908-922, June.
  3. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2017. "Statistical estimation of composite risk functionals and risk optimization problems," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 69(4), pages 737-760, August.
  4. Sıtkı Gülten & Andrzej Ruszczyński, 2015. "Two-stage portfolio optimization with higher-order conditional measures of risk," Annals of Operations Research, Springer, vol. 229(1), pages 409-427, June.
  5. Özlem Çavuş & Andrzej Ruszczyński, 2014. "Computational Methods for Risk-Averse Undiscounted Transient Markov Models," Operations Research, INFORMS, vol. 62(2), pages 401-417, April.
  6. Ricardo Collado & Dávid Papp & Andrzej Ruszczyński, 2012. "Scenario decomposition of risk-averse multistage stochastic programming problems," Annals of Operations Research, Springer, vol. 200(1), pages 147-170, November.
  7. Darinka Dentcheva & Andrzej Ruszczyński & Tamás Szántai, 2012. "Stochastic modeling and optimization (in honor of András Prékopa’s 80th birthday)," Annals of Operations Research, Springer, vol. 200(1), pages 1-2, November.
  8. Lizyayev, Andrey & Ruszczyński, Andrzej, 2012. "Tractable Almost Stochastic Dominance," European Journal of Operational Research, Elsevier, vol. 218(2), pages 448-455.
  9. Naomi Miller & Andrzej Ruszczyński, 2011. "Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition," Operations Research, INFORMS, vol. 59(1), pages 125-132, February.
  10. Sungyong Choi & Andrzej Ruszczyński & Yao Zhao, 2011. "A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk," Operations Research, INFORMS, vol. 59(2), pages 346-364, April.
  11. 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.
  12. Andrzej Ruszczyński, 2010. "Commentary ---Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming," INFORMS Journal on Computing, INFORMS, vol. 22(1), pages 20-22, February.
  13. Darinka Dentcheva & Spiridon Penev & Andrzej Ruszczyński, 2010. "Kusuoka representation of higher order dual risk measures," Annals of Operations Research, Springer, vol. 181(1), pages 325-335, December.
  14. 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.
  15. 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.
  16. Andrzej Ruszczyński & Alexander Shapiro, 2007. "Corrigendum to: “Optimization of Convex Risk Functions,” Mathematics of Operations Research 31 (2006) 433--452," Mathematics of Operations Research, INFORMS, vol. 32(2), pages 496-496, May.
  17. Miguel A. Lejeune & Andrzej Ruszczyński, 2007. "An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems," Operations Research, INFORMS, vol. 55(2), pages 378-394, April.
  18. Dentcheva, Darinka & Ruszczynski, Andrzej, 2006. "Portfolio optimization with stochastic dominance constraints," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 433-451, February.
  19. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Conditional Risk Mappings," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 544-561, August.
  20. Andrzej Ruszczyński & Alexander Shapiro, 2006. "Optimization of Convex Risk Functions," Mathematics of Operations Research, INFORMS, vol. 31(3), pages 433-452, August.
  21. 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.
  22. Darinka Dentcheva & Bogumila Lai & Andrzej Ruszczyński, 2004. "Dual methods for probabilistic optimization problems ," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 60(2), pages 331-346, October.
  23. Warren Powell & Andrzej Ruszczyński & Huseyin Topaloglu, 2004. "Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems," Mathematics of Operations Research, INFORMS, vol. 29(4), pages 814-836, November.
  24. Andrzej Ruszczynski & Robert J. Vanderbei, 2003. "Frontiers of Stochastically Nondominated Portfolios," Econometrica, Econometric Society, vol. 71(4), pages 1287-1297, July.
  25. Donald L. Keefer & DeLyle Bloomquist & David Graziosi & Lei Lei & Andrzej Ruszczynski & Shuguang Liu & Hua Zhong, 2002. "Practice Abstracts," Interfaces, INFORMS, vol. 32(4), pages 67-68, August.
  26. Patrizia Beraldi & Andrzej Ruszczyński, 2002. "The Probabilistic Set-Covering Problem," Operations Research, INFORMS, vol. 50(6), pages 956-967, December.
  27. Arkadii V. Kryazhimskii & Andrzej Ruszczyński, 2001. "Constraint Aggregation in Infinite-Dimensional Spaces and Applications," Mathematics of Operations Research, INFORMS, vol. 26(4), pages 769-795, November.
  28. A. RuszczyŃski, 2000. "Dynamics Aggregation in Stochastic Control Problems," Journal of Optimization Theory and Applications, Springer, vol. 105(3), pages 639-658, June.
  29. 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.
  30. Andrzej Ruszczynski, 1999. "Some advances in decomposition methodsfor stochastic linear programming," Annals of Operations Research, Springer, vol. 85(0), pages 153-172, January.
  31. Georg Pflug & Andrzej Ruszczyński & Rüdiger Schultz, 1998. "On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 47(1), pages 39-49, February.
  32. Vladimir I. Norkin & Yuri M. Ermoliev & Andrzej Ruszczyński, 1998. "On Optimal Allocation of Indivisibles Under Uncertainty," Operations Research, INFORMS, vol. 46(3), pages 381-395, June.
  33. 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.
  34. 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.
  35. 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.
  36. John M. Mulvey & Andrzej Ruszczyński, 1995. "A New Scenario Decomposition Method for Large-Scale Stochastic Optimization," Operations Research, INFORMS, vol. 43(3), pages 477-490, June.
  37. Andrzej Ruszczyński, 1995. "On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization," Mathematics of Operations Research, INFORMS, vol. 20(3), pages 634-656, August.
  38. Andrzej Ruszczyński, 1987. "A Linearization Method for Nonsmooth Stochastic Programming Problems," Mathematics of Operations Research, INFORMS, vol. 12(1), pages 32-49, February.

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-MIC: Microeconomics (3) 2004-02-23 2004-03-07 2012-12-10
  2. NEP-CMP: Computational Economics (2) 2004-02-23 2006-04-29
  3. NEP-RMG: Risk Management (2) 2004-03-14 2017-01-29
  4. NEP-UPT: Utility Models & Prospect Theory (2) 2012-12-10 2017-01-29
  5. NEP-CFN: Corporate Finance (1) 2004-03-14
  6. NEP-GTH: Game Theory (1) 2006-04-29
  7. NEP-HPE: History & Philosophy of Economics (1) 2012-12-10

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