Details about Andrzej Ruszczynski

Access statistics for papers by Andrzej Ruszczynski.

Last updated 2021-03-06. Update your information in the RePEc Author Service.

Short-id: pru30

Working Papers

2020

1. A Dual Method For Backward Stochastic Differential Equations with Application to Risk Valuation
   Papers, arXiv.org View citations (1)

2016

2. Process-Based Risk Measures and Risk-Averse Control of Discrete-Time Systems
   Papers, arXiv.org View citations (1)

2012

3. Common mathematical foundations of expected utility and dual utility theories
   MPRA Paper, University Library of Munich, Germany View citations (3)

2006

4. Computing Normalized Equilibria in Convex-Concave Games
   Working Papers in Economics, University of Bergen, Department of Economics
   Also in Working Papers, Lund University, Department of Economics (2006) View citations (2)
5. Portfolio Optimization With Stochastic Dominance Constraints
   Finance, University Library of Munich, Germany View citations (54)
   See also Journal Article Portfolio optimization with stochastic dominance constraints, Journal of Banking & Finance, Elsevier (2006) View citations (47) (2006)

2005

6. Conditional Risk Mappings
   Risk and Insurance, University Library of Munich, Germany View citations (17)
7. Convexification of Stochastic Ordering
   GE, Growth, Math methods, University Library of Munich, Germany View citations (6)
8. Inverse stochastic dominance constraints and rank dependent expected utility theory
   GE, Growth, Math methods, University Library of Munich, Germany View citations (11)
9. Optimization Under First Order Stochastic Dominance Constraints
   GE, Growth, Math methods, University Library of Munich, Germany View citations (32)
10. Optimization of Convex Risk Functions
    Risk and Insurance, University Library of Munich, Germany View citations (37)

2004

11. Optimization of Risk Measures
    Risk and Insurance, University Library of Munich, Germany View citations (8)

2000

12. Noncooperative Convex Games: Computing Equilibrium by Partial Regularization
    Norway; Department of Economics, University of Bergen, Department of Economics, University of Bergen
    Also in Working Papers, International Institute for Applied Systems Analysis (1994)

1997

13. Constraint Aggregation in Infinite-Dimensional Spaces and Applications
    Working Papers, International Institute for Applied Systems Analysis
14. From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures
    Working Papers, International Institute for Applied Systems Analysis View citations (6)
    See also Journal Article From stochastic dominance to mean-risk models: Semideviations as risk measures, European Journal of Operational Research, Elsevier (1999) View citations (164) (1999)
15. On Stochastic Dominance and Mean-Semideviation Models
    Working Papers, International Institute for Applied Systems Analysis View citations (4)

1996

16. A Branch and Bound Method for Stochastic Global Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations (6)
17. Managing Water Quality under Uncertainty: Application of a New Stochastic Branch and Bound Method
    Working Papers, International Institute for Applied Systems Analysis View citations (1)
18. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse and Extensions
    Working Papers, International Institute for Applied Systems Analysis View citations (1)
19. On the Regularized Decomposition Method for Two Stage Stochastic Linear Problems
    Working Papers, International Institute for Applied Systems Analysis View citations (1)

1995

20. Constraint Aggregation Principle in Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations (7)
21. Convex Optimization by Radial Search
    Working Papers, International Institute for Applied Systems Analysis
22. Decomposition via Alternating Linearization
    Working Papers, International Institute for Applied Systems Analysis View citations (1)
23. On the Glivenko-Cantelli Problem in Stochastic Programming: Linear Recourse
    Working Papers, International Institute for Applied Systems Analysis

1994

24. A Partial Regularization Method for Saddle Point Seeking
    Working Papers, International Institute for Applied Systems Analysis View citations (3)
25. Cost-Effective Sulphur Reduction Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis
26. On Augmented Lagrangian Decomposition Methods For Multistage Stochastic Programs
    Working Papers, International Institute for Applied Systems Analysis View citations (4)
    Also in Working Papers, International Institute for Applied Systems Analysis (1994) View citations (3)
27. On Optimal Allocation of Indivisibles Under Uncertainty
    Working Papers, International Institute for Applied Systems Analysis View citations (5)
    See also Journal Article On Optimal Allocation of Indivisibles Under Uncertainty, Operations Research, INFORMS (1998) View citations (12) (1998)
28. Parallel Solution of Linear Programs Via Nash Equilibria
    Working Papers, International Institute for Applied Systems Analysis View citations (3)
29. Perturbation Methods for Saddle Point Computation
    Working Papers, International Institute for Applied Systems Analysis View citations (7)

1993

30. Configurations of Series-Parallel Networks with Maximum Reliability
    Working Papers, International Institute for Applied Systems Analysis
31. Interior Point Methods in Stochastic Programming
    Working Papers, International Institute for Applied Systems Analysis
32. Regularized Decomposition of Stochastic Programs: Algorithmic Techniques and Numerical Results
    Working Papers, International Institute for Applied Systems Analysis View citations (4)

1992

33. Augmented Lagrangian Decomposition for Sparse Convex Optimization
    Working Papers, International Institute for Applied Systems Analysis View citations (7)

Journal Articles

2018

1. Risk measurement and risk-averse control of partially observable discrete-time Markov systems
   Mathematical Methods of Operations Research, 2018, 88, (2), 161-184 View citations (2)

2017

2. Rate of Convergence of the Bundle Method
   Journal of Optimization Theory and Applications, 2017, 173, (3), 908-922 View citations (2)
3. Statistical estimation of composite risk functionals and risk optimization problems
   Annals of the Institute of Statistical Mathematics, 2017, 69, (4), 737-760 View citations (4)

2015

4. Two-stage portfolio optimization with higher-order conditional measures of risk
   Annals of Operations Research, 2015, 229, (1), 409-427

2014

5. Computational Methods for Risk-Averse Undiscounted Transient Markov Models
   Operations Research, 2014, 62, (2), 401-417 View citations (1)

2012

6. Scenario decomposition of risk-averse multistage stochastic programming problems
   Annals of Operations Research, 2012, 200, (1), 147-170 View citations (13)
7. Stochastic modeling and optimization (in honor of András Prékopa’s 80th birthday)
   Annals of Operations Research, 2012, 200, (1), 1-2 View citations (1)
8. Tractable Almost Stochastic Dominance
   European Journal of Operational Research, 2012, 218, (2), 448-455 View citations (22)

2011

9. A Multiproduct Risk-Averse Newsvendor with Law-Invariant Coherent Measures of Risk
   Operations Research, 2011, 59, (2), 346-364 View citations (30)
10. A multi-product risk-averse newsvendor with exponential utility function
    European Journal of Operational Research, 2011, 214, (1), 78-84 View citations (36)
11. Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition
    Operations Research, 2011, 59, (1), 125-132 View citations (14)

2010

12. Kusuoka representation of higher order dual risk measures
    Annals of Operations Research, 2010, 181, (1), 325-335 View citations (14)

2008

13. FINDING NORMALIZED EQUILIBRIUM IN CONVEX-CONCAVE GAMES
    International Game Theory Review (IGTR), 2008, 10, (01), 37-51
14. Risk-adjusted probability measures in portfolio optimization with coherent measures of risk
    European Journal of Operational Research, 2008, 191, (1), 193-206 View citations (22)

2007

15. An Efficient Trajectory Method for Probabilistic Production-Inventory-Distribution Problems
    Operations Research, 2007, 55, (2), 378-394 View citations (13)

2006

16. Portfolio optimization with stochastic dominance constraints
    Journal of Banking & Finance, 2006, 30, (2), 433-451 View citations (47)
    See also Working Paper Portfolio Optimization With Stochastic Dominance Constraints, Finance (2006) View citations (54) (2006)

2005

17. Beam search heuristic to solve stochastic integer problems under probabilistic constraints
    European Journal of Operational Research, 2005, 167, (1), 35-47 View citations (5)

2004

18. Dual methods for probabilistic optimization problems *
    Mathematical Methods of Operations Research, 2004, 60, (2), 331-346 View citations (10)

2003

19. Frontiers of Stochastically Nondominated Portfolios
    Econometrica, 2003, 71, (4), 1287-1297 View citations (26)

2002

20. Practice Abstracts
    Interfaces, 2002, 32, (4), 67-68
21. The Probabilistic Set-Covering Problem
    Operations Research, 2002, 50, (6), 956-967 View citations (11)

2000

22. Dynamics Aggregation in Stochastic Control Problems
    Journal of Optimization Theory and Applications, 2000, 105, (3), 639-658

1999

23. From stochastic dominance to mean-risk models: Semideviations as risk measures
    European Journal of Operational Research, 1999, 116, (1), 33-50 View citations (164)
    See also Working Paper From Stochastic Dominance to Mean-Risk Models: Semideviations as Risk Measures, Working Papers (1997) View citations (6) (1997)
24. Some advances in decomposition methodsfor stochastic linear programming
    Annals of Operations Research, 1999, 85, 153-172 View citations (2)

1998

25. On Optimal Allocation of Indivisibles Under Uncertainty
    Operations Research, 1998, 46, (3), 381-395 View citations (12)
    See also Working Paper On Optimal Allocation of Indivisibles Under Uncertainty, Working Papers (1994) View citations (5) (1994)
26. On the Glivenko-Cantelli problem in stochastic programming: Mixed-integer linear recourse
    Mathematical Methods of Operations Research, 1998, 47, (1), 39-49 View citations (2)

1997

27. Accelerating the regularized decomposition method for two stage stochastic linear problems
    European Journal of Operational Research, 1997, 101, (2), 328-342 View citations (15)
28. Thirteenth EURO Summer Institute: Stochastic Optimization
    European Journal of Operational Research, 1997, 101, (2), 229-229

1996

29. Cost-effective sulphur emission reduction under uncertainty
    European Journal of Operational Research, 1996, 90, (3), 395-412 View citations (5)

1995

30. A New Scenario Decomposition Method for Large-Scale Stochastic Optimization
    Operations Research, 1995, 43, (3), 477-490 View citations (69)