Andrzej Ruszczyński

Board of Governors Professor
Rutgers Business School
Andrzej Ruszczyński in Warsaw
Click to enlarge

Contact Information

Office: Room 5182, 100 Rockafeller Road, Livingston Campus

Address: Rutgers Business School, Piscataway, NJ 08854, USA

Phone: (848) 445-3184

Email: rusz [at] business.rutgers.edu

Department: Management Science and Information Systems

Research Interests

Optimization Theory

Nonlinear programming, convex analysis, numerical methods for large-scale optimization problems, and decomposition algorithms.

Stochastic Programming

Decomposition methods for two- and multi-stage stochastic programs, stochastic subgradient methods.

Risk-Averse Optimization

Risk measures, stochastic dominance constraints, and applications in financial engineering.

Control and Learning

Markov decision processes, risk-averse dynamic programming and reinforcement learning.

Business Analytics

Applications of optimization and machine learning to business problems in finance, revenue management, and supply chain optimization.

Editorial Service

Associate Editor:

Employment History

Rutgers University

Department of Management Science and Information Systems

Professor

University of Wisconsin-Madison

Department of Industrial and Systems Engineering

Visiting Professor

Princeton University

Department of Civil Engineering and Operations Research

Visiting Professor

International Institute for Applied Systems Analysis

Laxenburg, Austria

Project Leader

University of Zurich

Institute of Operations Research, Switzerland

Visiting Professor

Warsaw University of Technology

Department of Electronics and Information Technology, Poland

Professor

Academic Degrees

1974
M.Sc. in Electrical Engineering and Computer Science
Warsaw University of Technology, Warsaw, Poland
1977
Ph.D. in Control Engineering
Thesis: "Interaction Balance Methods for Control of Large-Scale Systems"
Warsaw University of Technology, Warsaw, Poland
1983
Habilitation (Qualification for Professorship)
Thesis: "Some Properties and Methods of Solution of Nonlinear Stochastic Programming Problems"
Warsaw University of Technology, Warsaw, Poland
1992
Professor
State title awarded by the President of the Republic of Poland

Honors and Awards

🏆

George B. Dantzig Prize (2018)

Awarded jointly by the Society for Industrial and Applied Mathematics (SIAM) and the Mathematical Optimization Society (MOS) for original research that has had a major impact on the field of mathematical optimization.

Learn more about the Dantzig Prize →

Books

Risk-Averse Optimization and Control book cover
Risk-Averse Optimization and Control: Theory and Methods
D. Dentcheva, A. Ruszczyński
Springer Series in Operations Research and Financial Engineering, 2024
Lectures on Stochastic Programming book cover
Lectures on Stochastic Programming: Modeling and Theory
A. Shapiro, D. Dentcheva, A. Ruszczyński
SIAM-MPS Series on Optimization, 2009 (Third Edition: 2021)
Nonlinear Optimization book cover
Nonlinear Optimization
A. Ruszczyński
Princeton University Press, 2006
Stochastic Programming Handbook cover
Stochastic Programming
A. Ruszczyński and A. Shapiro (editors)
Handbooks in Operations Research and Management Science, Vol. 10, Elsevier, 2003

Selected Publications

These are highly cited works representing key contributions to optimization theory, stochastic programming, and risk-averse control.

A. Ruszczyński
Risk-averse dynamic programming for Markov decision processes
Mathematical Programming 125(2) (2010), 235-261
View Publication
A. Ruszczyński, A. Shapiro
Optimization of convex risk functions
Mathematics of Operations Research 31(3) (2006), 433-452
View Publication
D. Dentcheva, A. Ruszczyński
Portfolio optimization with stochastic dominance constraints
Journal of Banking and Finance 30/2 (2006) 433--451
View Publication
D. Dentcheva, A. Ruszczyński
Optimization with stochastic dominance constraints
SIAM Journal on Optimization 14(2) (2003), 548-566
View Publication
D. Dentcheva, A. Prékopa and A. Ruszczyński
Concavity and efficient points of discrete distributions in probabilistic programming
Mathematical Programming 89 (2000) 55--77
View Publication
W. Ogryczak and A. Ruszczyński
Dual stochastic dominance and related mean--risk models
SIAM Journal on Optimization 13 (2002) 60--78
View Publication
W. Ogryczak and A. Ruszczyński
From stochastic dominance to mean--risk models: Semideviations as risk measures
European Journal of Operational Research 116 (1999) 33--50
View Publication
V.I. Norkin, G.Ch. Pflug and A. Ruszczyński
A branch and bound method for stochastic global optimization
Mathematical Programming 83 (1998) 425--450
View Publication
J.M. Mulvey and A. Ruszczyński
A new scenario decomposition method for large-scale stochastic optimization
Operations Research 43 (1995) 477--490
View Publication
A. Ruszczyński
A linearization method for nonsmooth stochastic programming problems
Mathematics of Operations Research, 12 (1987) 32--49
View Publication
A. Ruszczyński
A regularized decomposition method for minimizing a sum of polyhedral functions
Mathematical Programming 35 (1986) 309--333
View Publication
A. Ruszczyński and W. Syski
Stochastic approximation algorithm with gradient averaging for unconstrained problems
IEEE Transactions on Automatic Control AC--28 (1983) 1097--1105
View Publication
View All Publications (91 total) →

Teaching

33:136:405
Risk Modeling
View Syllabus (PDF)
26:711:564
Optimization Models in Finance (Graduate)
View Syllabus (PDF)
26:711:555
Stochastic Programming (Graduate)
View Syllabus (PDF)

Chess Composition

In addition to my academic work, I am an active chess problem author and hold the title of International Master of Chess Composition from the World Chess Federation (FIDE). I have had 30 problems selected for the FIDE Albums, which represent the best chess compositions from around the world. In chess, I am using my middle name Piotr.

Selected Chess Compositions book cover
Selected Chess Compositions
P. Ruszczyński
Penelopa, 2024

View Two Featured Problems →

View My Complete Chess Problem Collection →