Andrzej Ruszczynski

Address

Department of Management Science
and Information Systems RUTCOR
Rutgers Center for Operations Research

251 J.H. Levin Building
94 Rockafeller Road
Livingston Campus Room 109
640 Bartholomew Road
Busch Campus

Rutgers University
Piscataway, NJ 08854, USA Rutgers University
Piscataway, NJ 08854, USA

Phone: (732) 445-3422

Fax: (732) 445-6329

E-mail login: rusz domain: business.rutgers.edu

Phone: (732) 445-3184

Fax: (732) 445-5472

E-mail: login: rusz domain: business.rutgers.edu

4th Rutgers-Stevens Workshop on Optimization of Stochastic Systems (March 30--31, 2007)

Research Interests and Service

Interests: Operations Research, Management Science, Stochastic Programming, Financial Optimization, Risk.
Service: Associate Editor, SIAM Journal on Optimization, Associate Editor, Optimization Methods and Software .

Employment History

1974--91	Department of Electronics and Information Technology, Warsaw University of Technology , Poland
1984--86	Institute of Operations Research, University of Zurich , Switzerland
1991--92	Department of Civil Engineering and Operations Research, Princeton University, USA
1992--96	International Institute for Applied Systems Analysis, Laxenburg, Austria
1996--97	Department of Industrial Engineering, University of Wisconsin-Madison, USA

Books

Nonlinear Optimization

Andrzej Ruszczynski

Princeton University Press, Princeton 2006

PUP Catalog Entry
Table of Contents
Chapter 1

Reviews:
Zentralblatt MATH
Operations Research Letters
Mathematical Methods of Operations Research

Errata

Stochastic Programming, Handbook in Operations Research and Management Science

A. Ruszczynski and A. Shapiro (Editors)

Elsevier Science, Amsterdam, 2003

Refereed Journal Publications

A. Ruszczynski, A merit function approach to the subgradient method with averaging , Optimization Methods and Software 23 (2008), No. 1, 161--172.
D. Dentcheva, A. Ruszczynski, Stochastic dominance for sequences and implied utility in dynamic optimization , C. R. Acad. Bulgare Sci. 57 (2008), No. 1, 15--22.
S. Choi, A. Ruszczynski, A risk-averse newsvendor with law invariant coherent measures of risk , Operations Research Letters 36 (2008), No. 1, 77--82. (doi:10.1016/j.orl.2007.04.008)
D. Dentcheva, A. Ruszczynski, Composite semi-infinite optimization , Control and Cybernetics 36 (2007) 633--646.
D. Dentcheva, A. Ruszczynski, Optimization with multivariate stochastic dominance constraints , Mathematical Programming, 2007 ( DOI: 10.1007/s10107-007-0165-x .)
D. Dentcheva, R. Henrion and A. Ruszczynski, Stability and Sensitivity of Optimization Problems with First Order Stochastic Dominance Constraints , SIAM Journal on Optimization 18 (2007) 322--333. (DOI: 10.1137/060650118)
N. Noyan, A. Ruszczynski, Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints, Mathematical Programming, 2007 ( DOI: 10.1007/s10107-007-0100-1 )
M. Lejeune, A. Ruszczynski, An efficient trajectory method for probabilistic production-inventory-distribution problems, Operations Research 55 (2007) 378--394.
A. Ruszczynski, A. Shapiro, Optimization of Convex Risk Functions , Mathematics of Operations Research 31 (2006) 433--452.
A. Ruszczynski, A. Shapiro, Conditional Risk Mappings , Mathematics of Operations Research 31 (2006) 544--561.
L. Lei, S.G. Liu, A. Ruszczynski and S. Park, On the integrated production, inventory, and distribution routing problem, IIE Transactions 38 (2006) 955--970
D. Dentcheva, A. Ruszczynski, Inverse stochastic dominance constraints and rank dependent expected utility theory, Mathematical Programming 108 (2006) 297--311, ( DOI 10.1007/s10107-006-0712-x )
N. Noyan, G. Rudolf and A. Ruszczynski, Relaxations of Linear Programming Problems with First Order Stochastic Dominance Constraints, Operations Research Letters 34 (2006) 653--659 ( doi:10.1016/j.orl.2005.10.004 )
D. Dentcheva, A. Ruszczynski, Portfolio Optimization with Stochastic Dominance Constraints, Journal of Banking and Finance 30/2 (2006) 433--451 (doi:10.1016/j.jbankfin.2005.04.024)
D. Dentcheva, A. Ruszczynski, Semi-Infinite Probabilistic Optimization: First Order Stochastic Dominance Constraints , Optimization 53 (2004) 583--601. ( DOI: 10.1080/02331930412331327148 )
D. Dentcheva, A. Ruszczynski, Convexification of Stochastic Ordering Constraints, C. R. Acad. Bulgare Sci. 57 (2004), No. 3, 5--10.
D. Dentcheva, B. Lai and A. Ruszczynski, Dual Methods for Probabilistic Optimization Problems, Mathematical Methods of Operations Research (ZOR) 60 (2004), No. 2, 331--346.
W. Powell, A. Ruszczynski, H. Topaloglu, Learning algorithms for separable approximations of stochastic optimization problems, Mathematics of Operations Research 29 (2004) 814--836.
D. Dentcheva and A. Ruszczynski, Optimality and Duality Theory for Stochastic Optimization Problems with Nonlinear Dominance Constraints, Mathematical Programming 99 (2004) 329--350. ( DOI:10.1007/s10107-003-0453-z)
D. Dentcheva and A. Ruszczynski, Optimization with Stochastic Dominance Constraints , SIAM Journal on Optimization 14 (2003) 548--566. ( doi:10.1137/S1052623402420528 )
A. Ruszczynski and R. Vanderbei, Frontiers of Stochastically Nondominated Portfolios , Econometrica 71 (2003) 1287-1297
A. Ruszczynski, Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra, Mathematical Programming 93 (2002) 195--215.
P. Beraldi and A. Ruszczynski, The probabilistic set covering problem, Operations Research 50 (2002) 956--967.
D. Dentcheva, A. Prekopa and A. Ruszczynski, Bounds for probabilistic integer programming problems, Discrete Applied Mathematics 124 (2002) 55-65.
P. Beraldi and A. Ruszczynski, A branch and bound method for stochastic integer problems under probabilistic constraints, Optimization Methods and Software 17 (2002) 359--382.
W. Ogryczak and A. Ruszczynski, Dual stochastic dominance and related mean--risk models, SIAM Journal on Optimization 13 (2002) 60--78. (DOI: 10.1137/S1052623400375075)
A. Kryazhimskii and A. Ruszczynski, Constraint aggregation in infinite-dimensional spaces and applications, Mathematics of Operations Research 26 (2001) 769--795.
H. Konno, J. M. Mulvey and A. Ruszczynski (Eds.), Mathematical Programming and Finance . Mathematical Programing 89 (2001), Ser. B. Springer-Verlag, Heidelberg.
D. Dentcheva, A. Prekopa and A. Ruszczynski, On convex probabilistic programming with discrete distributions, Nonlinear Analysis 47 (3) (2001) 1997-2009.
W. Ogryczak and A. Ruszczynski, On consistency of stochastic dominance and mean--semideviation models, Mathematical Programming 89 (2001) 217--232. ( DOI 10.1007/PL00011396 )
D. Dentcheva, A. Prekopa and A. Ruszczynski, Concavity and efficient points of discrete distributions in probabilistic programming, Mathematical Programming 89 (2000) 55--77.
A.Ruszczynski, Dynamics aggregation in stochastic control problems, Journal of Optimization Theory and Applications 105(3) (2000) 639--658.
M.C. Ferris and A. Ruszczynski, Robust path choice in networks with failures, Networks 35 (2000) 181--194.
W. Ogryczak and A. Ruszczynski, From stochastic dominance to mean--risk models: Semideviations as risk measures, European Journal of Operational Research 116 (1999) 33--50. ( doi:10.1016/S0377-2217(98)00167-2 )
A.Ruszczynski, Some advances in decomposition methods for stochastic linear programming, Annals of Operations Research 85 (1999) 153--172
K.C. Kiwiel, C.H. Rosa and A. Ruszczynski, Proximal decomposition via alternating linearization, SIAM Journal on Optimization 9 (1999) 153--172.
V.I. Norkin, G.Ch. Pflug and A. Ruszczynski, A branch and bound method for stochastic global optimization, Mathematical Programming 83 (1998) 425--450.
G.Ch. Pflug, A. Ruszczynski and R. Schultz, On the Glivenko--Cantelli problem in stochastic programming: mixed-integer linear recourse, Mathematical Methods of Operations Research (ZOR) 47 (1998) 39--49.
G.Ch. Pflug, A. Ruszczynski and R. Schultz, On the Glivenko--Cantelli problem in stochastic programming: linear nd convex recourse, Mathematics of Operations Research 23 (1998) 204--220.
V.I. Norkin, Yu.M. Ermoliev and A. Ruszczynski, On optimal allocation of undivisibles under uncertainty, Operations Research 46 (1998) 381--395.
A. Ruszczynski, A. Swietanowski, Accelerating the regularized decomposition method for two stage stochastic linear problems, European Journal of Operational Research 101 (2) (1997) 328--342.
A. Ruszczynski, Decomposition methods in stochastic programming, Mathematical Programming 79 (1997) 333--353.
Yu.M. Ermoliev, A. Kryazhimskii and A. Ruszczynski, A constraint aggregation principle in convex optimization, Mathematical Programming 76(1997) 353--372.
Yu.M. Ermoliev and A. Ruszczynski, Convex optimization by radial search, Journal of Optimization Theory and Applications 91(1996) 731--738.
C.H. Rosa and A. Ruszczynski, On augmented Lagrangian decomposition methods for multistage stochastic programs, Annals of Operations Research 64(1996) 289--309.
A. Altman, M. Amann, G. Klaassen, A. Ruszczynski, W. Schöpp, Cost-effective sulphur emission under uncertainty, European Journal of Operational Research 90(1996) 395--412.
W. Gutjahr, G.Ch. Pflug and A. Ruszczynski, Configurations of series--parallel networks with maximum reliability, Microelectron. Reliab. 36(1996) 247--253.
J.M. Mulvey and A. Ruszczynski, A new scenario decomposition method for large-scale stochastic optimization, Operations Research 43(1995) 477--490.
A. Ruszczynski, On convergence of an augmented Lagrangian decomposition method for sparse convex optimization, Mathematics of Operations Research 20(1995) 634--656.
A.J. Berger, J.M. Mulvey and A. Ruszczynski, An extension of the DQA algorithm to convex stochastic programs, SIAM Journal on Optimization 4(1994) 735--753.
A. Ruszczynski, Parallel decomposition of multistage stochastic programming problems, Mathematical Programming 58(1993) 201--228.
J. Gondzio and A. Ruszczynski, Sensitivity method for basis inverse representation in multistage stochastic programming problems, Journal of Optimization Theory and Applications 74(1992) 221--242.
J.M. Mulvey and A. Ruszczynski, A diagonal quadratic approximation method for large scale linear programs, Operations Research Letters 12(1992) 205--215.
B. Arthur and A. Ruszczynski, Strategic pricing in markets with a conformity effect, Archives of Control Sciences 1(XXXVII)(1992) 7--31.
A. Ruszczynski, An augmented Lagrangian decomposition method for block diagonal linear programming problems, Operations Research Letters 8(1989) 287--294.
A. Ruszczynski, A linearization method for nonsmooth stochastic optimization problems, Mathematics of Operations Research 12(1987) 32--49.
A. Ruszczynski, A regularized decomposition method for minimizing a sum of polyhedral functions, Mathematical Programming 35(1986) 309--333.
A. Ruszczynski and W. Syski, On convergence of the stochastic subgradient method with on-line stepsize rules, Journal of Mathematical Analysis and Applications 114(1986) 512--527.
A. Ruszczynski and W. Syski, A method of aggregate stochastic subgradients with on-line stepsize rules for convex stochastic programming problems, Mathematical Programming Study 28(1986) 113--131.
A. Ruszczynski, A recursive quadratic programming algorithm for constrained stochastic programming problems, Control and Cybernetics 13 (1984) 59--72.
A. Ruszczynski and M. Styblinski, Stochastic approximation approach to statistical circuit design, Electronics Letters 19(1983) 300--302.
A. Ruszczynski and W. Syski, Stochastic approximation algorithm with gradient averaging for unconstrained problems, IEEE Transactions on Automatic Control AC--28(1983) 1097--1105.
A. Ruszczynski, Stochastic feasible direction methods for nonsmooth stochastic optimization problems, Control and Cybernetics 9(1980) 173--187.
A. Ruszczynski, Feasible direction methods for stochastic programming problems, Mathematical Programming 19(1980) 220--229.
A. Ruszczynski and J. Szymanowski, Convergence analysis for two-level algorithms of mathematical programming, Mathematical Programmming Study 10(1979) 158--171.
A. Ruszczynski, Coordination of nonstationary systems, IEEE Transactions on Automatic Control AC--24(1979) 51--62.
A. Ruszczynski, Convergence conditions for the interaction balance algorithm based on an approximate mathematical model, Control and Cybernetics 5(1976) 29--43.
K. Malinowski and A. Ruszczynski, Application of an interaction balance method to process coordination, Control and Cybernetics 4(1975) 15--31.

Other Refereed Publications

A. Ruszczynski, A. Shapiro, Optimization of Risk Measures , in: G. Calafiore and F, Dabbene (Eds.) Probabilistic and Randomized Methods for Design under Uncertainty, Springer-Verlag, London 2006, pp. 119-157.
G. Ch. Pflug and A. Ruszczynski, A risk measure for income processes, in: G. Szego (Ed.), Risk measures for 21st Century , Wiley, Chichester 2004, pp. 249--268.
B.J. Lence and A. Ruszczynski, Managing water quality under uncertainty: application of a new stochastic branch and bound method, in: Risk, Reliability, Uncertainty and Robustness of Water Resources Systems, Cambridge University Press, Cambridge, U.K., 2004.
A. Ruszczynski, On regularized duality in convex optimization, in: Recent Advances in Nonsmooth Optimization, D.Z. Du, L. Qi and R.S. Womersley (eds.), World Scientific, Singapore 1995, pp. 381--391.
A. Ruszczynski, On the regularized decomposition method for stochastic programming problems, in: Stochastic Programming: Numerical Techniques and Engineering Applications, K. Marti and P. Kall (eds.), Lecture Notes in Control and Information Sciences 423(1995), Springer-Verlag, Berlin 1995, pp. 93--108.
W.B. Arthur and A. Ruszczynski, Strategic pricing in markets with increasing returns, in: W.B. Arthur (ed.), Increasing Returns and Path-Dependence in the Economy, The University of Michigan Press, Ann Arbor, 1994, pp. 159--184.
A.J. Berger, J.M. Mulvey and A. Ruszczynski, Restarting strategies for the DQA algorithm, in: Large Scale Optimization: State of the Art, W. Hager, D. Hearn and P. Pardalos (eds.), Kluwer Academic Publishers 1994, pp. 1--25.
J.M. Mulvey and A. Ruszczynski, A diagonal quadratic approximation method for linear multistage stochastic programming problems, in: System Modelling and Optimization, P. Kall (ed.), Lecture Notes in Control and Information Sciences 180(1992), Springer-Verlag, Berlin 1992, pp.588--597.
A. Ruszczynski, Regularized decomposition and augmented Lagrangian decomposition for angular linear programming problems, in: Aspiration Based Decision Support Systems, A. Lewandowski and A. Wierzbicki (eds.), Lecture Notes in Economics and Mathematical Systems 331(1989), Springer-Verlag, Berlin 1989, pp. 80--91.
J Gondzio and A. Ruszczynski, A sensitivity method for solving multistage linear programming problems, in: Aspiration Based Decision Support Systems, A. Lewandowski and A. Wierzbicki (eds.), Lecture Notes in Economics and Mathematical Systems 331(1989), Springer-Verlag, Berlin 1989, pp. 68--79.
A. Ruszczynski, Modern techniques for linear dynamic and stochastic programs, in: Aspiration Based Decision Support Systems, A. Lewandowski and A. Wierzbicki (eds.), Lecture Notes in Economics and Mathematical Systems 331(1989), Springer-Verlag, Berlin 1989, pp. 48--67.
P. Kall, A. Ruszczynski and K. Frauendorfer, Approximation techniques in stochastic programming, in: Numerical Methods for Stochastic Optimization, Yu.M. Ermoliev and R. Wets (eds.), Springer-Verlag, 1987.
A. Ruszczynski, A method of feasible directions for solving nonsmooth stochastic programming problems, in: Stochastic Programming , F. Archetti, G. Di Pillo and M. Lucertini (eds.), Lecture Notes on Control and Inf. Sci. 76(1986), Springer-Verlag, Berlin 1986, pp. 258--271.
A. Ruszczynski and W. Syski, Stochastic approximation algorithm with gradient averaging and on-line stepsize rules, Proceedings of 9th IFAC World Congress (J. Gertler and L. Keviczky, eds.), Budapest 1984.
A. Ruszczynski, Nonsmooth functions in hierarchical control problems, in Progress in Nondifferentiable Optimization, E. Nurminski (ed.), North--Holland, 1982, pp. 145--172.
A. Ruszczynski, On convergence of quasi-Newton methods for nonlinearly constrained optimization problems, in Methods of Mathematical Programming, Polish Scientific Publishers, Warsaw, 1981, pp. 277--281.
A. Ruszczynski and J. Szymanowski, An accuracy selection algorithm for the modified gradient projection method in min--max problems, Lecture Notes on Control and Inf. Sci. 7(1978), Springer-Verlag, Berlin 1978, pp. 169--178.