Andrzej Ruszczynski

Publication Activity (10 Years)

Years Active: 1980-2024
Publications (10 Years): 22

Top Topics

Subgradient Method

Stochastic Optimization

Markov Decision Processes

Top Venues

SIAM J. Control. Optim.

Publications

Andrzej Ruszczynski, Shangzhe Yang
A Functional Model Method for Nonconvex Nonsmooth Conditional Stochastic Optimization. CoRR (2024)
Zhengqi Lin, Andrzej Ruszczynski
Fast Dual Subgradient Optimization of the Integrated Transportation Distance Between Stochastic Kernels. CoRR (2023)
Tomasz R. Bielecki, Igor Cialenco, Andrzej Ruszczynski
Risk filtering and risk-averse control of Markovian systems subject to model uncertainty. Math. Methods Oper. Res. 98 (2) (2023)
Zhengqi Lin, Andrzej Ruszczynski
An Integrated Transportation Distance between Kernels and Approximate Dynamic Risk Evaluation in Markov Systems. SIAM J. Control. Optim. 61 (6) (2023)
Constantine Alexander Vitt, Darinka Dentcheva, Andrzej Ruszczynski, Nolan Sandberg
The deepest event cuts in risk-averse optimization with application to radiation therapy design. Comput. Optim. Appl. 86 (3) (2023)
Darinka Dentcheva, Andrzej Ruszczynski
Mini-Batch Risk Forms. SIAM J. Optim. 33 (2) (2023)
Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu
A Stochastic Subgradient Method for Distributionally Robust Non-convex and Non-smooth Learning. J. Optim. Theory Appl. 194 (3) (2022)
Jingnan Fan, Andrzej Ruszczynski
Process-based risk measures and risk-averse control of discrete-time systems. Math. Program. 191 (1) (2022)
Umit Kose, Andrzej Ruszczynski
Risk-Averse Learning by Temporal Difference Methods with Markov Risk Measures. J. Mach. Learn. Res. 22 (2021)
Minh Pham, Xiaodong Lin, Andrzej Ruszczynski, Yu Du
An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems. J. Glob. Optim. 81 (1) (2021)
Darinka Dentcheva, Andrzej Ruszczynski
Subregular recourse in nonlinear multistage stochastic optimization. Math. Program. 189 (1) (2021)
Andrzej Ruszczynski
A Stochastic Subgradient Method for Nonsmooth Nonconvex Multilevel Composition Optimization. SIAM J. Control. Optim. 59 (3) (2021)
Yu Du, Xiaodong Lin, Minh Pham, Andrzej Ruszczynski
Selective linearization for multi-block statistical learning. Eur. J. Oper. Res. 293 (1) (2021)
Mert Gürbüzbalaban, Andrzej Ruszczynski, Landi Zhu
A Stochastic Subgradient Method for Distributionally Robust Non-Convex Learning. CoRR (2020)
Andrzej Ruszczynski
Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Optim. Lett. 14 (7) (2020)
Umit Kose, Andrzej Ruszczynski
Risk-Averse Learning by Temporal Difference Methods. CoRR (2020)
Saeed Ghadimi, Andrzej Ruszczynski, Mengdi Wang
A Single Timescale Stochastic Approximation Method for Nested Stochastic Optimization. SIAM J. Optim. 30 (1) (2020)
Darinka Dentcheva, Andrzej Ruszczynski
Risk forms: representation, disintegration, and application to partially observable two-stage systems. Math. Program. 181 (2) (2020)
Jingnan Fan, Andrzej Ruszczynski
Risk measurement and risk-averse control of partially observable discrete-time Markov systems. Math. Methods Oper. Res. 88 (2) (2018)
Darinka Dentcheva, Andrzej Ruszczynski
Time-Coherent Risk Measures for Continuous-Time Markov Chains. SIAM J. Financial Math. 9 (2) (2018)
Yu Du, Xiaodong Lin, Andrzej Ruszczynski
A Selective Linearization Method For Multiblock Convex Optimization. SIAM J. Optim. 27 (2) (2017)
Yu Du, Andrzej Ruszczynski
Rate of Convergence of the Bundle Method. J. Optim. Theory Appl. 173 (3) (2017)
Tsvetan Asamov, Andrzej Ruszczynski
Time-consistent approximations of risk-averse multistage stochastic optimization problems. Math. Program. 153 (2) (2015)
Andrzej Ruszczynski, Jianing Yao
A Risk-Averse Analog of the Hamilton-Jacobi-Bellman Equation. SIAM Conf. on Control and its Applications (2015)
Sitki Gülten, Andrzej Ruszczynski
Two-stage portfolio optimization with higher-order conditional measures of risk. Ann. Oper. Res. 229 (1) (2015)
Jingnan Fan, Andrzej Ruszczynski
Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems. SIAM Conf. on Control and its Applications (2015)
Özlem Çavus, Andrzej Ruszczynski
Computational Methods for Risk-Averse Undiscounted Transient Markov Models. Oper. Res. 62 (2) (2014)
Xiaodong Lin, Minh Pham, Andrzej Ruszczynski
Alternating linearization for structured regularization problems. J. Mach. Learn. Res. 15 (1) (2014)
Andrzej Ruszczynski
Erratum to: Risk-averse dynamic programming for Markov decision processes. Math. Program. 145 (1-2) (2014)
Özlem Çavus, Andrzej Ruszczynski
Risk-Averse Control of Undiscounted Transient Markov Models. SIAM J. Control. Optim. 52 (6) (2014)
Darinka Dentcheva, Andrzej Ruszczynski
Risk preferences on the space of quantile functions. Math. Program. 148 (1-2) (2014)
Darinka Dentcheva, Andrzej Ruszczynski
Common Mathematical Foundations of Expected Utility and Dual Utility Theories. SIAM J. Optim. 23 (1) (2013)
Ricardo A. Collado, Dávid Papp, Andrzej Ruszczynski
Scenario decomposition of risk-averse multistage stochastic programming problems. Ann. Oper. Res. 200 (1) (2012)
Andrey Lizyayev, Andrzej Ruszczynski
Tractable Almost Stochastic Dominance. Eur. J. Oper. Res. 218 (2) (2012)
Darinka Dentcheva, Andrzej Ruszczynski, Tamás Szántai
Stochastic modeling and optimization (in honor of András Prékopa's 80th birthday). Ann. Oper. Res. 200 (1) (2012)
Sungyong Choi, Andrzej Ruszczynski, Yao Zhao
A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk. Oper. Res. 59 (2) (2011)
Naomi Miller, Andrzej Ruszczynski
Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition. Oper. Res. 59 (1) (2011)
Sungyong Choi, Andrzej Ruszczynski
A multi-product risk-averse newsvendor with exponential utility function. Eur. J. Oper. Res. 214 (1) (2011)
Darinka Dentcheva, Spiridon I. Penev, Andrzej Ruszczynski
Kusuoka representation of higher order dual risk measures. Ann. Oper. Res. 181 (1) (2010)
Andrzej Ruszczynski
Commentary - Post-Decision States and Separable Approximations Are Powerful Tools of Approximate Dynamic Programming. INFORMS J. Comput. 22 (1) (2010)
Darinka Dentcheva, Andrzej Ruszczynski
Robust stochastic dominance and its application to risk-averse optimization. Math. Program. 123 (1) (2010)
Andrzej Ruszczynski
Risk-averse dynamic programming for Markov decision processes. Math. Program. 125 (2) (2010)
Darinka Dentcheva, Andrzej Ruszczynski
Optimization with multivariate stochastic dominance constraints. Math. Program. 117 (1-2) (2009)
Nilay Noyan, Andrzej Ruszczynski
Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints. Math. Program. 114 (2) (2008)
Sungyong Choi, Andrzej Ruszczynski
A risk-averse newsvendor with law invariant coherent measures of risk. Oper. Res. Lett. 36 (1) (2008)
Darinka Dentcheva, Andrzej Ruszczynski
Stochastic Dynamic Optimization with Discounted Stochastic Dominance Constraints. SIAM J. Control. Optim. 47 (5) (2008)
Sjur Didrik Flåm, Andrzej Ruszczynski
Finding Normalized Equilibrium in Convex-concave Games. IGTR 10 (1) (2008)
Andrzej Ruszczynski
A merit function approach to the subgradient method with averaging. Optim. Methods Softw. 23 (1) (2008)
Naomi Miller, Andrzej Ruszczynski
Risk-adjusted probability measures in portfolio optimization with coherent measures of risk. Eur. J. Oper. Res. 191 (1) (2008)
Gábor Rudolf, Andrzej Ruszczynski
Optimization Problems with Second Order Stochastic Dominance Constraints: Duality, Compact Formulations, and Cut Generation Methods. SIAM J. Optim. 19 (3) (2008)
Miguel A. Lejeune, Andrzej Ruszczynski
An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems. Oper. Res. 55 (2) (2007)
Andrzej Ruszczynski, Alexander Shapiro
31 (2006) 433 - 452. Math. Oper. Res. 32 (2) (2007)
Darinka Dentcheva, René Henrion, Andrzej Ruszczynski
Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints. SIAM J. Optim. 18 (1) (2007)
Andrzej Ruszczynski, Alexander Shapiro
Optimization of Convex Risk Functions. Math. Oper. Res. 31 (3) (2006)
Andrzej Ruszczynski, Alexander Shapiro
Conditional Risk Mappings. Math. Oper. Res. 31 (3) (2006)
Darinka Dentcheva, Andrzej Ruszczynski
Inverse stochastic dominance constraints and rank dependent expected utility theory. Math. Program. 108 (2-3) (2006)
Nilay Noyan, Gábor Rudolf, Andrzej Ruszczynski
Relaxations of linear programming problems with first order stochastic dominance constraints. Oper. Res. Lett. 34 (6) (2006)
Georg Ch. Pflug, Andrzej Ruszczynski
Measuring Risk for Income Streams. Comput. Optim. Appl. 32 (1-2) (2005)
Patrizia Beraldi, Andrzej Ruszczynski
Beam search heuristic to solve stochastic integer problems under probabilistic constraints. Eur. J. Oper. Res. 167 (1) (2005)
Darinka Dentcheva, Andrzej Ruszczynski
Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints. Math. Program. 99 (2) (2004)
Warren B. Powell, Andrzej Ruszczynski, Huseyin Topaloglu
Learning Algorithms for Separable Approximations of Discrete Stochastic Optimization Problems. Math. Oper. Res. 29 (4) (2004)
Darinka Dentcheva, Bogumila Lai, Andrzej Ruszczynski
. Math. Methods Oper. Res. 60 (2) (2004)
Darinka Dentcheva, Andrzej Ruszczynski
Optimization with Stochastic Dominance Constraints. SIAM J. Optim. 14 (2) (2003)
Andrzej Ruszczynski
Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra. Math. Program. 93 (2) (2002)
Donald L. Keefer, DeLyle Bloomquist, David Graziosi, Lei Lei, Andrzej Ruszczynski, Shuguang Liu, Hua Zhong
Practice Abstracts. Interfaces 32 (4) (2002)
Patrizia Beraldi, Andrzej Ruszczynski
A branch and bound method for stochastic integer problems under probabilistic constraints. Optim. Methods Softw. 17 (3) (2002)
Patrizia Beraldi, Andrzej Ruszczynski
The Probabilistic Set-Covering Problem. Oper. Res. 50 (6) (2002)
Wlodzimierz Ogryczak, Andrzej Ruszczynski
Dual Stochastic Dominance and Related Mean-Risk Models. SIAM J. Optim. 13 (1) (2002)
Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski
Bounds for probabilistic integer programming problems. Discret. Appl. Math. 124 (1-3) (2002)
Arkadii V. Kryazhimskii, Andrzej Ruszczynski
Constraint Aggregation in Infinite-Dimensional Spaces and Applications. Math. Oper. Res. 26 (4) (2001)
Wlodzimierz Ogryczak, Andrzej Ruszczynski
On consistency of stochastic dominance and mean-semideviation models. Math. Program. 89 (2) (2001)
Michael C. Ferris, Andrzej Ruszczynski
Robust path choice in networks with failures. Networks 35 (3) (2000)
Darinka Dentcheva, András Prékopa, Andrzej Ruszczynski
Concavity and efficient points of discrete distributions in probabilistic programming. Math. Program. 89 (1) (2000)
Krzysztof C. Kiwiel, Charles H. Rosa, Andrzej Ruszczynski
Proximal Decomposition Via Alternating Linearization. SIAM J. Optim. 9 (3) (1999)
Andrzej Ruszczynski
Some advances in decomposition methodsfor stochastic linear programming. Ann. Oper. Res. 85 (1999)
Wlodzimierz Ogryczak, Andrzej Ruszczynski
From stochastic dominance to mean-risk models: Semideviations as risk measures. Eur. J. Oper. Res. 116 (1) (1999)
Vladimir I. Norkin, Yuri M. Ermoliev, Andrzej Ruszczynski
On Optimal Allocation of Indivisibles Under Uncertainty. Oper. Res. 46 (3) (1998)
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse. Math. Methods Oper. Res. 47 (1) (1998)
Vladimir I. Norkin, Georg Ch. Pflug, Andrzej Ruszczynski
A branch and bound method for stochastic global optimization. Math. Program. 83 (1998)
Georg Ch. Pflug, Andrzej Ruszczynski, Rüdiger Schultz
On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions. Math. Oper. Res. 23 (1) (1998)
Andrzej Ruszczynski
Decomposition methods in stochastic programming. Math. Program. 79 (1997)
Yuri M. Ermoliev, Arkadii V. Kryazhimskii, Andrzej Ruszczynski
Constraint aggregation principle in convex optimization. Math. Program. 76 (1996)
Charles H. Rosa, Andrzej Ruszczynski
On augmented Lagrangian decomposition methods for multistage stochastic programs. Ann. Oper. Res. 64 (1) (1996)
Andrzej Ruszczynski
On Convergence of an Augmented Lagrangian Decomposition Method for Sparse Convex Optimization. Math. Oper. Res. 20 (3) (1995)
John M. Mulvey, Andrzej Ruszczynski
A New Scenario Decomposition Method for Large-Scale Stochastic Optimization. Oper. Res. 43 (3) (1995)
Adam J. Berger, John M. Mulvey, Andrzej Ruszczynski
An Extension of the DQA Algorithm to Convex Stochastic Programs. SIAM J. Optim. 4 (4) (1994)
Andrzej Ruszczynski
Parallel decomposition of multistage stochastic programming problems. Math. Program. 58 (1993)
John M. Mulvey, Andrzej Ruszczynski
A diagonal quadratic approximation method for large scale linear programs. Oper. Res. Lett. 12 (4) (1992)
Andrzej Ruszczynski
A Linearization Method for Nonsmooth Stochastic Programming Problems. Math. Oper. Res. 12 (1) (1987)
Andrzej Ruszczynski
A regularized decomposition method for minimizing a sum of polyhedral functions. Math. Program. 35 (3) (1986)
Andrzej Ruszczynski
Feasible direction methods for stochastic programming problems. Math. Program. 19 (1) (1980)