Research Output per year

## Research Output 1974 2019

- 1 - 50 out of 113 results
- Publication Year, Title (descending)

## Risk forms: representation, disintegration, and application to partially observable two-stage systems

Dentcheva, D. & Ruszczynski, A., Jan 1 2019, In : Mathematical Programming.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Process-based risk measures and risk-averse control of discrete-time systems

Fan, J. & Ruszczynski, A., Jan 1 2018, (Accepted/In press) In : Mathematical Programming.Research output: Contribution to journal › Article

## Risk measurement and risk-averse control of partially observable discrete-time Markov systems

Fan, J. & Ruszczynski, A., Oct 1 2018, In : Mathematical Methods of Operations Research. 88, 2, p. 161-184 24 p.Research output: Contribution to journal › Article

## Time-coherent risk measures for continuous-time markov chains

Dentcheva Ruszczynski, D. & Ruszczynski, A., Jan 1 2018, In : SIAM Journal on Financial Mathematics. 9, 2, p. 690-715 26 p.Stevens Institute of Technology, Rutgers, The State University

Research output: Contribution to journal › Article

## ALGORITHM FOR REAL SYSTEM COORDINATION.

Szymanowski, J., Brdys, M. & Ruszczynski, A., Jan 1 2017, p. 561-570. 10 p.Research output: Contribution to conference › Paper

## A selective linearization method for multiblock convex optimization

Du, Y., Lin, X. & Ruszczynski, A., Jan 1 2017, In : SIAM Journal on Optimization. 27, 2, p. 1102-1117 16 p.Research output: Contribution to journal › Article

## Rate of Convergence of the Bundle Method

Du, Y. & Ruszczynski, A., Jun 1 2017, In : Journal of Optimization Theory and Applications. 173, 3, p. 908-922 15 p.Research output: Contribution to journal › Article

## Risk-averse control of continuous-time markov chains

Dentcheva, D. & Ruszczynski, A., Jan 1 2017,*Proceedings of the SIAM Conference on Control and Its Applications, CT 2017.*Society for Industrial and Applied Mathematics Publications, p. 78-85 8 p.

Rutgers, The State University, Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

## Statistical estimation of composite risk functionals and risk optimization problems

Dentcheva, D., Penev, S. & Ruszczynski, A., Aug 1 2017, In : Annals of the Institute of Statistical Mathematics. 69, 4, p. 737-760 24 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Alternating linearization for structured regularization problems

Lin, X., Pham, M. & Ruszczynski, A., Jan 1 2015, In : Journal of Machine Learning Research. 15, p. 3447-3481 35 p., A19.Research output: Contribution to journal › Article

## A risk-averse analog of the Hamilton-Jacobi-Bellman equation

Ruszczynski, A. & Yao, J., Jan 1 2015,*SIAM Conference on Control and Its Applications 2015.*Society for Industrial and Applied Mathematics Publications, p. 462-468 7 p.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

## Dynamic risk measures for finite-state partially observable Markov decision problems

Fan, J. & Ruszczynski, A., Jan 1 2015,*SIAM Conference on Control and Its Applications 2015.*Society for Industrial and Applied Mathematics Publications, p. 153-158 6 p.

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

## Risk-averse portfolio optimization via stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Jan 1 2015,*Handbook of Financial Econometrics and Statistics.*Springer New York, p. 2281-2302 22 p.

Rutgers, The State University, Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceeding › Chapter

## Time-consistent approximations of risk-averse multistage stochastic optimization problems

Asamov, T. & Ruszczynski, A., Nov 22 2015, In : Mathematical Programming. 153, 2, p. 459-493 35 p.Research output: Contribution to journal › Article

## Two-stage portfolio optimization with higher-order conditional measures of risk

Gülten, S. & Ruszczynski, A., Jan 1 2015, In : Annals of Operations Research. 229, 1, p. 409-427 19 p.Research output: Contribution to journal › Article

## Computational methods for risk-averse undiscounted transient markov models

Çavuş, Ö. & Ruszczynski, A., Jan 1 2014, In : Operations Research. 62, 2, p. 401-417 17 p.Research output: Contribution to journal › Article

## Erratum: Risk-averse dynamic programming for Markov decision processes. (Mathematical Programming (2010) 125: (235-261)) doi: 10.1007/s10107-010-0393-3

Ruszczynski, A., Jan 1 2014, In : Mathematical Programming. 145, 1-2, p. 601-604 4 p.Research output: Contribution to journal › Comment/debate

## Risk-averse control of undiscounted transient Markov models

Çavuş, Ö. & Ruszczynski, A., Jan 1 2014, In : SIAM Journal on Control and Optimization. 52, 6, p. 3935-3966 32 p.Research output: Contribution to journal › Article

## Common mathematical foundations of expected utility and dual utility theories

Dentcheva, D. & Ruszczynski, A., May 20 2013, In : SIAM Journal on Optimization. 23, 1, p. 381-405 25 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Dynamic risk-averse optimization

Ruszczynski, A., Dec 1 2013,*Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013.*p. 2611-2618 8 p. (Safety, Reliability, Risk and Life-Cycle Performance of Structures and Infrastructures - Proceedings of the 11th International Conference on Structural Safety and Reliability, ICOSSAR 2013).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

## Risk preferences on the space of quantile functions

Dentcheva, D. & Ruszczynski, A., Jan 1 2013, In : Mathematical Programming. 148, 1-2, p. 181-200 20 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Convex analysis approach to utility theories. dual utility

Dentcheva, D. & Ruszczynski, A., Dec 1 2012, In : Comptes Rendus de L'Academie Bulgare des Sciences. 65, 12, p. 1641-1648 8 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Convex analysis approach to utility theories. expected utility

Dentcheva, D. & Ruszczynski, A., Dec 19 2012, In : Comptes Rendus de L'Academie Bulgare des Sciences. 65, 11, p. 1483-1488 6 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Scenario decomposition of risk-averse multistage stochastic programming problems

Collado, R. A., Papp, D. & Ruszczynski, A., Jan 1 2012, In : Annals of Operations Research. 200, 1, p. 147-170 24 p.Research output: Contribution to journal › Article

## Stochastic modeling and optimization (in honor of András Prékopa's 80th birthday)

Dentcheva, D., Ruszczynski, A. & Szántai, T., Oct 17 2012, In : Annals of Operations Research. 200, 1, p. 1-2 2 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Editorial

## Tractable almost stochastic dominance

Lizyayev, A. & Ruszczynski, A., Apr 16 2012, In : European Journal of Operational Research. 218, 2, p. 448-455 8 p.Research output: Contribution to journal › Article

## A multi-product risk-averse newsvendor with exponential utility function

Choi, S. & Ruszczynski, A., Oct 1 2011, In : European Journal of Operational Research. 214, 1, p. 78-84 7 p.Research output: Contribution to journal › Article

## A multiproduct risk-averse newsvendor with law-invariant coherent measures of risk

Choi, S., Ruszczynski, A. & Zhao, Y., Mar 1 2011, In : Operations Research. 59, 2, p. 346-364 19 p.Research output: Contribution to journal › Article

## Nonlinear optimization

Ruszczynski, A., Sep 19 2011, Princeton University Press. 448 p.Research output: Book/Report › Book

## Portfolio optimization with risk control by stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Jan 1 2011,*International Series in Operations Research and Management Science.*Springer New York LLC, Vol. 150. p. 189-211 23 p. (International Series in Operations Research and Management Science; vol. 150).

Stevens Institute of Technology

Research output: Chapter in Book/Report/Conference proceeding › Chapter

## Risk-Averse Two-Stage stochastic linear programming: Modeling and decomposition

Miller, N. & Ruszczynski, A., Jan 1 2011, In : Operations Research. 59, 1, p. 125-132 8 p.Research output: Contribution to journal › Article

## Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Apr 1 2010, In : Optimization. 59, 3, p. 323-338 16 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Kusuoka representation of higher order dual risk measures

Dentcheva, D., Penev, S. & Ruszczynski, A., Dec 1 2010, In : Annals of Operations Research. 181, 1, p. 325-335 11 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Post-decision states and separable approximations are powerful tools of approximate dynamic programming

Ruszczynski, A., Dec 1 2010, In : INFORMS Journal on Computing. 22, 1, p. 20-22 3 p.Research output: Contribution to journal › Comment/debate

## Risk-averse dynamic programming for Markov decision processes

Ruszczynski, A., Oct 1 2010, In : Mathematical Programming. 125, 2, p. 235-261 27 p.Research output: Contribution to journal › Article

## Robust stochastic dominance and its application to risk-averse optimization

Dentcheva, D. & Ruszczynski, A., May 1 2010, In : Mathematical Programming. 123, 1, p. 85-100 16 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Optimization with multivariate stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Mar 1 2009, In : Mathematical Programming. 117, 1-2, p. 111-127 17 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## A merit function approach to the subgradient method with averaging

Ruszczynski, A., Feb 1 2008, In : Optimization Methods and Software. 23, 1, p. 161-172 12 p.Research output: Contribution to journal › Article

## A risk-averse newsvendor with law invariant coherent measures of risk

Choi, S. & Ruszczynski, A., Jan 1 2008, In : Operations Research Letters. 36, 1, p. 77-82 6 p.Research output: Contribution to journal › Article

## Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization

Dentcheva Ruszczynski, D. & Ruszczyński, A., Sep 1 2008, In : Pacific Journal of Optimization. 4, 3, p. 433-446 14 p.Stevens Institute of Technology, Rutgers, The State University

Research output: Contribution to journal › Article

## Finding normalized equilibrium in convex-concave games

Flm, S. D. & Ruszczynski, A., Mar 1 2008, In : International Game Theory Review. 10, 1, p. 37-51 15 p.Research output: Contribution to journal › Article

## Optimization problems with second order stochastic dominance constraints: Duality, compact formulations, and cut generation methods

Rudolf, G. & Ruszczynski, A., Dec 1 2008, In : SIAM Journal on Optimization. 19, 3, p. 1326-1343 18 p.Research output: Contribution to journal › Article

## Risk-adjusted probability measures in portfolio optimization with coherent measures of risk

Miller, N. & Ruszczynski, A., Nov 16 2008, In : European Journal of Operational Research. 191, 1, p. 193-206 14 p.Research output: Contribution to journal › Article

## Stochastic dominance for sequences and implied utility in dynamic optimization

Dentcheva, D. & Ruszczynski, A., Dec 17 2008, In : Comptes Rendus de L'Academie Bulgare des Sciences. 61, 1, p. 15-22 8 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Stochastic dynamic optimization with discounted stochastic dominance constraints

Dentcheva, D. & Ruszczynski, A., Nov 12 2008, In : SIAM Journal on Control and Optimization. 47, 5, p. 2540-2556 17 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints

Noyan, N. & Ruszczynski, A., Aug 1 2008, In : Mathematical Programming. 114, 2, p. 249-275 27 p.Research output: Contribution to journal › Article

## An efficient trajectory method for probabilistic production-inventory- distribution problems

Lejeune, M. A. & Ruszczynski, A., Mar 1 2007, In : Operations Research. 55, 2, p. 378-394 17 p.Research output: Contribution to journal › Article

## Composite semi-infinite optimization

Dentcheva, D. & Ruszczynski, A., Oct 25 2007, In : Control and Cybernetics. 36, 3, p. 633-646 14 p.Rutgers, The State University, Stevens Institute of Technology

Research output: Contribution to journal › Article

## Erratum: Optimization of convex risk functions (Mathematics of Operations Research (2006) 31 (433-452))

Ruszczynski, A. & Shapiro, A., May 1 2007, In : Mathematics of Operations Research. 32, 2, 1 p.Research output: Contribution to journal › Comment/debate

## Production and distribution planning with many practical constraints

Liu, S., Lei, L. & Ruszczynski, A., Jun 1 2007, In : International Journal of Operations and Quantitative Management. 13, 2, p. 129-143 15 p.Research output: Contribution to journal › Article