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Research Output 1974 2019

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Article
2019
Disintegration
Polish Space
Stochastic programming
Dependent Observations
Stochastic Programming
2018
1 Citation (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Risk Measures
Discrete-time Systems
Dynamic programming
Dynamic Programming
Stochastic programming
4 Citations (Scopus)
Risk Measures
Discrete-time
Time Consistency
Deterioration
Invariant Measure
2 Citations (Scopus)
Coherent Risk Measures
Continuous-time Markov Chain
Risk Evaluation
Markov processes
Risk Measures
2017
1 Citation (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Multiblock
Linearization Method
Convex optimization
Convex Optimization
Linearization

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Bundle Methods
Rate of Convergence
Agglomeration
Nonsmooth Optimization
Logarithm
5 Citations (Scopus)
Statistical Estimation
Composite
Optimization Problem
Finance
Insurance
2015
4 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Linearization
Data structures
Scalability
Regularization
Decomposition
13 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Stochastic Optimization
Coherent Risk Measures
Optimization Problem
Approximation
Time Consistency
6 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Long-term performance
Measure of risk
Scenario generation
Simulation study
Two-stage model
2014
10 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Computational methods
Convex optimization
Newton-Raphson method
Costs
Markov model
10 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Markov Model
Optimal Stopping Problem
Transplantation
Risk Measures
Transplantation (surgical)
2013
6 Citations (Scopus)
Utility Theory
Functional analysis
Expected Utility
Integral Representation
Separation Principle
4 Citations (Scopus)
Quantile Function
Quantile
Random variables
Random variable
Conjugate Duality
2012
Utility Theory
Convex Analysis
Expected Utility
Separation Principle
Linear Functionals
2 Citations (Scopus)
separation principle
utility theory
functional analysis
16 Citations (Scopus)
Decomposition
Scenarios
Multistage stochastic programming
Risk-averse
Approximation
23 Citations (Scopus)

Tractable almost stochastic dominance

Lizyayev, A. & Ruszczynski, A., Apr 16 2012, In : European Journal of Operational Research. 218, 2, p. 448-455 8 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Stochastic Dominance
Linear programming
Long-run
Optimization Model
Concepts
2011
49 Citations (Scopus)
Exponential Utility
Risk Aversion
Utility Function
Numerical Study
Approximation
51 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Risk aversion
Coherent measures of risk
Newsvendor
Risk-averse
Approximation
34 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Linear programming
Decomposition
Composite structures
Chemical analysis
Objective function
2010
18 Citations (Scopus)
Cutting Plane Method
Stochastic Dominance
Inverse Method
Probability distributions
Optimization Problem
13 Citations (Scopus)
Risk measures
Measure of risk
Factors
Integral
Statistics
141 Citations (Scopus)

Risk-averse dynamic programming for Markov decision processes

Ruszczynski, A., Oct 1 2010, In : Mathematical Programming. 125, 2, p. 235-261 27 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Markov Decision Process
Iteration Method
Dynamic programming
Dynamic Programming
Policy Iteration
21 Citations (Scopus)
Stochastic Dominance
Optimization Problem
Optimization
Semi-infinite Optimization
Necessary Conditions of Optimality
2009
43 Citations (Scopus)
Stochastic Dominance
Optimization
Random Vector
Lagrange multipliers
Refining
2008
11 Citations (Scopus)
Subgradient Method
Merit Function
Subgradient
Convex optimization
Averaging
58 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Invariant
Newsvendor Problem
Order quantity
Coherent measures of risk
Risk-averse
6 Citations (Scopus)
Coherent Risk Measures
Stochastic Dominance
Duality
Lorenz Curve
Optimization Problem
3 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Game
Fans
Two-person Games
Minimax Problems
Zero-sum
31 Citations (Scopus)
Stochastic Dominance
Duality
Optimization Problem
Formulation
Finite Convergence
31 Citations (Scopus)
Portfolio Optimization
Probability Measure
Matrix Game
Zero sum game
Spectral Measure
2 Citations (Scopus)
Stochastic Dominance
Dynamic Optimization
Control Problem
Stochastic Ordering
Dynamic Optimization Problems
12 Citations (Scopus)
Stochastic Dominance
Dynamic Optimization
Stochastic Optimization
Stochastic Dynamics
Discount
13 Citations (Scopus)
Stochastic programming
Stochastic Dominance
Valid Inequalities
Stochastic Programming
Restriction
2007
48 Citations (Scopus)

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.

Rutgers, The State University

Research output: Contribution to journalArticle

Supply chains
Trajectories
Integer programming
Set theory
Probability distributions
10 Citations (Scopus)

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 journalArticle

Semi-infinite Optimization
Composite
Optimization Problem
Stochastic Dominance
Nonconvex Optimization
1 Citation (Scopus)
Supply chains
Planning
Operations research
Managers
Supply chain
28 Citations (Scopus)
Stochastic Dominance
Optimization Problem
First-order
Upper Semicontinuity
Directional derivative
2006
105 Citations (Scopus)

Conditional risk mappings

Ruszczynski, A. & Shapiro, A., Sep 13 2006, In : Mathematics of Operations Research. 31, 3, p. 544-561 18 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Conditional Expectation
Representation Theorem
Dynamic programming
Dynamic Programming
Optimization Problem
21 Citations (Scopus)
Stochastic Dominance
Utility Theory
Expected Utility
Utility Function
Dependent
107 Citations (Scopus)

On the integrated production, inventory, and distribution routing problem

Lei, L., Liu, S., Ruszczynski, A. & Park, S., Nov 1 2006, In : IIE Transactions (Institute of Industrial Engineers). 38, 11, p. 955-970 16 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Consolidation
Planning
Costs
197 Citations (Scopus)

Optimization of convex risk functions

Ruszczynski, A. & Shapiro, A., Sep 13 2006, In : Mathematics of Operations Research. 31, 3, p. 433-452 20 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Risk Function
Convex function
Convex Analysis
Optimization Theory
Optimization
111 Citations (Scopus)
Optimization model
Portfolio optimization
Stochastic dominance
Joint distribution
Asset returns
27 Citations (Scopus)

Relaxations of linear programming problems with first order stochastic dominance constraints

Noyan, N., Rudolf, G. & Ruszczynski, A., Nov 1 2006, In : Operations Research Letters. 34, 6, p. 653-659 7 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Stochastic programming
Stochastic Dominance
Linear programming
First-order
Disjunctive Programming
2005
16 Citations (Scopus)
Beam Search
Probabilistic Constraints
Branch and bound method
heuristics
Branch and Bound Method
19 Citations (Scopus)

Measuring risk for income streams

Pflug, G. C. & Ruszczynski, A., Oct 1 2005, In : Computational Optimization and Applications. 32, 1-2, p. 161-178 18 p.

Rutgers, The State University

Research output: Contribution to journalArticle

Filtration
Stochastic Dynamics
Linear programming
Net Present Value
Linear Optimization
2004
26 Citations (Scopus)
Dual Method
Probability distributions
Probability Distribution
Optimal Solution
Probabilistic Constraints
54 Citations (Scopus)
Discrete Optimization
Stochastic Optimization
Learning algorithms
Learning Algorithm
Objective function
79 Citations (Scopus)
Stochastic Dominance
Duality Theory
Stochastic Optimization
Optimality Conditions
Decomposition Method