Z. Lin and A. RuszczyĆski, An integrated transportation distance between kernels and approximate dynamic risk evaluation in Markov systems. SIAM Journal on Control and Optimization, 61(6) (2023), 2559--3583 .
C. Vitt, D. Dentcheva, A. RuszczyĆski, and N. Sandberg, The deepest event cuts in risk-averse optimization with application to radiation therapy design, Computational Optimization and Applications (2023): 1-26.
T. R. Bielecki, I. Cialenco, and A. RuszczyĆski, Risk filtering and risk-averse control of Markovian systems subject to model uncertainty. Mathematical Methods of Operations Research, 1 (2023) 1--38.
D. Dentcheva, A. RuszczyĆski, Mini-batch risk forms, SIAM Journal on Optimization, 33 (2)(2023), 615--637.
M. GĂŒrbĂŒzbalaban, A RuszczyĆski, L. Zhu, A stochastic subgradient method for distributionally robust non-convex and non-smooth learning, Journal of Optimization Theory and Applications 19 (2022) 1014--1041.
J. Fan, A. RuszczyĆski, Process-based risk measures and risk-averse control of discrete-time systems, Mathematical Programming, Series B, 191 (2022), 113--140.
A. RuszczyĆski, A stochastic subgradient method for nonsmooth nonconvex multilevel composition optimization, SIAM Journal on Control and Optimization 59 (33) (2021), 2301--2320.
D. Dentcheva, A. RuszczyĆski, Subregular recourse in nonlinear multistage stochastic optimization, Mathematical Programming, Series B, 189 (1)(2021), 249--270.
M. Pham, X. Lin, A. RuszczyĆski, Y. Du, An outer-inner linearization method for non-convex and nondifferentiable composite regularization problems, Journal of Global Optimization 81 (1) (2021), 179--202.
Y. Du, X. Lin, M. Pham, A. RuszczyĆski, Selective linearization for multi-block statistical learning, European Journal of Operational Research 293 (1) (2021), 219-228.
Ă. Köse, A. RuszczyĆski, Risk-averse learning by temporal difference methods with Markov risk measures, Journal of Machine Learning Research 22(2021), 1--34.
A. RuszczyĆski, J. Yao, A dual method for the evaluation of risk in diffusion processes, ESAIM: Control, Optimization, and Calculus of Variations 26(2020), 96--116.
A. RuszczyĆski, Convergence of a stochastic subgradient method with averaging for nonsmooth nonconvex constrained optimization. Optimization Letters 14(2020), pp. 1615-1625.
S. Ghadimi, A. RuszczyĆski, and M. Wang, A single time-scale stochastic approximation method for nested stochastic optimization. SIAM Journal on Optimization 30 (1) (2020), pp. 960-979.
D. Dentcheva, A. RuszczyĆski, Risk forms: representation, disintegration, and application to partially observable two-stage systems, Mathematical Programming, Series B, 181(2)(2020), pp. 297--317.
J. Fan, A. RuszczyĆski, Risk measurement and risk-averse control of partially observable discrete-time Markov systems, Mathematical Methods of Operations Research, 88(2)(2018), pp. 161--184.
D. Dentcheva, A. RuszczyĆski, Time-coherent risk measures for continuous-time Markov chains, SIAM Journal on Financial Mathematics, 9(2) (2018), pp. 690--715.
Y. Du, X. Lin, A. RuszczyĆski, A selective linearization method for multi-block convex optimization, SIAM Journal on Optimization, 27 (2017), pp. 1102--1117.
Y. Du, A. RuszczyĆski, Rate of convergence of the bundle method, Journal of Optimization Theory and Applications, 173 (2017), pp. 908--922.
D. Dentcheva, S. Penev, A. RuszczyĆski, Statistical estimation of composite risk functionals and risk optimization problems, Annals of the Institute of Statistical Mathematics, 69 (4) (2017), pp, 737--760.
D. Dentcheva, A. RuszczyĆski, Risk-Averse Control of Continuous-Time Markov Chains, Proceedings of the Conference on Control and its Applications, Pittsburgh 2017, pp. 78--85.
J. Fan, A. RuszczyĆski, Dynamic Risk Measures for Finite-State Partially Observable Markov Decision Problems, Proceedings of the Conference on Control and its Applications, Paris 2015, pp. 153--158.
A. RuszczyĆski, J. Yao, A Risk-Averse Analog of the Hamilton--Jacobi--Bellman Equation, Proceedings of the Conference on Control and its Applications, Paris 2015, pp. 462--468.
R. Collado, D. Papp, A. RuszczyĆski, Scenario decomposition of risk-averse multistage stochastic programming problems, Annals of Operations Research 200 (2012), No. 1, 147--170.
A. Lizyayev, A. RuszczyĆski, Tractable almost stochastic dominance, European Journal of Operational Research 218 (2012), No. 2, 448-455.
S. Choi, A. RuszczyĆski, Y. Zhao, A multi-product risk-averse newsvendor with law invariant coherent measures of risk, Operations Research 59 (2011), No. 2, 346--364.
S. Choi, A. Ruszczynski, A Multi-product risk-averse newsvendor with exponential utility function, European Journal of Operational Research 214 (2011), No. 1, 78--84.
N. Miller, A. RuszczyĆski, Risk-averse two-stage stochastic linear programming: modeling and decomposition, Operations Research, 59 (2011) 125-132. %DOI: 10.1287/opre.1100.0847
D. Dentcheva, S. Penev, A. RuszczyĆski, Kusuoka representation of higher order dual risk measures, Annals of Operations Research 181 (2010) 325--335.
A. RuszczyĆski, Risk-averse dynamic programming for Markov decision processes, Mathematical Programming, Series B 125 (2010) 235--261.
D. Dentcheva, A. RuszczyĆski, Inverse cutting plane methods for optimization problems with second-order stochastic dominance constraints, Optimization 59 (2010) 323--338.
D. Dentcheva and A. RuszczyĆski, Robust stochastic dominance and its application to risk-averse optimization, Mathematical Programming, Series B 123 (2010) 85--100.
D. Dentcheva and A. RuszczyĆski, Duality between coherent risk measures and stochastic dominance constraints in risk-averse optimization, Pacific J. of Optimization 4 (2008), No. 3, 433--446.
G. Rudolf and A. RuszczyĆski, Optimization problems with second order stochastic dominance constraints: duality, compact formulations, and cut generation methods, SIAM Journal on Optimization 19 (2008), No. 3, 1326--1343.
S.D. Fl\aam and A. RuszczyĆski, Finding normalized equilibrium in convex-concave games, Int. Game Theory Rev. 10 (2008), no. 1, 37--51.
D. Dentcheva and A. RuszczyĆski, Stochastic dynamic optimization with discounted stochastic dominance constraints, SIAM Journal on Control and Optimization 47 (2008), No. 5, 2540--2556.
D. Dentcheva and A. RuszczyĆski, Stochastic dominance for sequences and implied utility in dynamic optimization, Comptes Rendus de l'Academie Bulgare des Sciences 57 (2008), No. 1, 15--22.
A. RuszczyĆski, A merit function approach to the subgradient method with averaging, Optimization Methods and Software 23 (2008), No. 1, 161--172.
N. Noyan, A. RuszczyĆski, Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints, Mathematical Programming 114 (2008) 249--275.
S. Choi and A. RuszczyĆski, A risk-averse newsvendor with law invariant coherent measures of risk. Operations Research Letters 36 (2008), No. 1, 77--82.
D. Dentcheva, R. Henrion and A. RuszczyĆski, Stability and sensitivity of optimization problems with first order stochastic dominance constraints, SIAM Journal on Optimization 18 (2007) 322--333.
M. Lejeune, A. RuszczyĆski, An efficient trajectory method for probabilistic production-inventory-distribution problems, Operations Research 55 (2007) 378--394.
A. RuszczyĆski and A. Shapiro, Conditional risk mappings, Mathematics of Operations Research 31 (2006) 544--561.
A. RuszczyĆski and A. Shapiro, Optimization of convex risk functions, Mathematics of Operations Research 31 (2006) 433--452.
L. Lei, S.G. Liu, A. RuszczyĆski and S. Park, On the integrated production, inventory, and distribution routing problem, IIE Transactions 38 (2006) 955--970.
N. Noyan, G. Rudolf and A. RuszczyĆski, Relaxations of linear programming problems with first order stochastic dominance constraints, Operations Research Letters 34 (2006) 653--659.
D. Dentcheva and A. RuszczyĆski, Inverse stochastic dominance constraints and rank dependent expected utility theory, Mathematical Programming 108 (2006) 297--311.
D. Dentcheva and A. RuszczyĆski, Portfolio optimization with stochastic dominance constraints. Journal of Banking and Finance 30/2 (2006) 433--451.
P. Beraldi and A. RuszczyĆski, Beam search heuristic to solve stochastic integer problems under probabilistic constraints, European Journal of Operational Research 167 (2005) 35--47.
D. Dentcheva, A RuszczyĆski, Inverse stochastic dominance constraints and quantile utility theory, Comptes Rendus de l'Academie Bulgare des Sciences 58 (2005), No.2, 11--16.
D. Dentcheva and A. RuszczyĆski, Semi-infinite probabilistic optimization: first order stochastic dominance constraints, Optimization 53 (2004) 583--601
W. Powell, A. RuszczyĆski, H. Topaloglu, Learning algorithms for separable approximations of stochastic optimization problems, Mathematics of Operations Research 29 (2004) 814--836.
D. Dentcheva, B. Lai, and A. RuszczyĆski, Dual methods for probabilistic optimization, Mathematical Methods of Operations Research 60 (2004) 331--346.
D. Dentcheva and A. RuszczyĆski, Optimality and duality theory for stochastic optimization problems with nonlinear dominance constraints, Mathematical Programming 99 (2004) 329--350.
D. Dentcheva and A. RuszczyĆski, Convexification of stochastic ordering, Comptes Rendus de l'Academie Bulgare des Sciences 57 (2004), No. 4, 11--16.
D. Dentcheva and A. RuszczyĆski, Optimization with stochastic dominance constraints, SIAM Journal on Optimization 14 (2003) 548--566.
A. RuszczyĆski and R.J. Vanderbei, Frontiers of stochastically nondominated portfolios, Econometrica 71 (2003) 1287--1297.
D. Dentcheva and A. RuszczyĆski, Optimization under nonlinear stochastic dominance, Comptes Rendus de l'Academie Bulgare des Sciences 56 (2003), No. 7, pp. 19--25.
D. Dentcheva and A. RuszczyĆski, Optimization under linear stochastic dominance, Comptes Rendus de l'Academie Bulgare des Sciences 56 (2003), No. 6, pp. 6--11.
A. RuszczyĆski, Probabilistic programming with discrete distributions and precedence constrained knapsack polyhedra, Mathematical Programming 93 (2002) 195--215.
W. Ogryczak and A. RuszczyĆski, Dual stochastic dominance and related mean--risk models, SIAM Journal on Optimization 13 (2002) 60--78.
P. Beraldi and A. RuszczyĆski, A branch and bound method for stochastic integer problems under probabilistic constraints, Optimization Methods and Software 17 (2002) 359 - 382.
W. Ogryczak and A. RuszczyĆski, Dual stochastic dominance and quantile risk measures, International Transactions in Operations Research 9 (2002) 1--20.
P. Beraldi and A. RuszczyĆski, The probabilistic set covering problem, Operations Research 50 (2002) 956--967
D. Dentcheva, A. PrĂ©kopa and A. RuszczyĆski, Bounds for stochastic integer programming with probabilistic constraints, Discrete Applied Mathematics 124 (2002) 55--65.
A. Kryazhimskii and A. RuszczyĆski, Constraint aggregation in infinite-dimensional spaces and applications, Mathematics of Operations Research 26 (2001) 769--795.
D. Dentcheva, A. PrĂ©kopa and A. RuszczyĆski, On convex probabilistic programming with discrete distributions, Nonlinear Analysis 47 (2001) 1997--2009
W. Ogryczak and A. RuszczyĆski, On consistency of stochastic dominance and mean--semi\-deviation models, Mathematical Programming 89 (2001), 217-232
D. Dentcheva, A. PrĂ©kopa and A. RuszczyĆski, Concavity and efficient points of discrete distributions in probabilistic programming, Mathematical Programming 89 (2000) 55--77.
A.RuszczyĆski, Dynamics aggregation in stochastic control problems, Journal of Optimization Theory and Applications 105(3) (2000) 639--658.
M.C. Ferris and A. RuszczyĆski, Robust path choice and vehicle guidance in networks with failures, Networks 35 (2000) 181--194.
A.RuszczyĆski, Some advances in decomposition methods for stochastic linear programming, Annals of Operations Research 85 (1999) 153--172
W. Ogryczak and A. RuszczyĆski, From stochastic dominance to mean--risk models: Semideviations as risk measures, European Journal of Operational Research 116 (1999) 33--50 [published on-line as an Interim Report 97-027 of the International Institute of Applied Systems Analysis, Laxenburg, 1997]
K.C. Kiwiel, C.H. Rosa and A. RuszczyĆski, Proximal decomposition via alternating linearization, SIAM Journal on Optimization 9 (1999) 668--689.
V.I Norkin, G.Ch. Pflug and A. RuszczyĆski, A stochastic branch and bound method for stochastic global optimization, Mathematical Programming 83 (1998) 425--450.
V.I. Norkin, Yu.M. Ermoliev and A. RuszczyĆski, On optimal allocation of indivisibles under uncertainty, Operations Research 46 (1998) 381--395.
G. Pflug, A. RuszczyĆski 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. Pflug, A. RuszczyĆski and R. Schultz, On the Glivenko--Cantelli problem in stochastic programming: linear nd convex recourse, Mathematics of Operations Research 23 (1997) 204--220.
A. RuszczyĆski, A. \'Swi\cetanowski, Accelerating the regularized decomposition method for two stage stochastic linear problems, European Journal of Operational Research 101 (1997) 328--342.
A. RuszczyĆski, Decomposition methods in stochastic programming, Mathematical Programming 79 (1997) 333--353.
Yu. Ermoliev, A. Kryazhimskii and A. RuszczyĆski, A constraint aggregation principle in convex optimization, Mathematical Programming 76 (1997) 353--372.
Yu. Ermoliev and A. RuszczyĆski, Convex optimization by radial search, Journal of Optimization Theory and Applications 91 (1996) 731--738.
C. Rosa and A. RuszczyĆski, On augmented Lagrangian decomposition methods for multistage stochastic programs, Annals of Operations Research 64 (1996) 289--309.
A. Altman, M. Amann, G. Klaassen, A. RuszczyĆski, W. Schöpp, Cost-effective sulphur emission under uncertainty, European Journal of Operational Research 90 (1996) 395--412.
W. Gutjahr, G. Pflug and A. RuszczyĆski, Configurations of series--parallel networks with maximum reliability, Microelectron. Reliab. 36 (1996) 247--253.
A. RuszczyĆski, On convergence of an augmented Lagrangian decomposition method for sparse convex optimization, Mathematics of Operations Research 20 (1995) 634--656.
J.M. Mulvey and A. RuszczyĆski, A new scenario decomposition method for large-scale stochastic optimization, Operations Research 43 (1995) 477--490.
A. RuszczyĆski, 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. RuszczyĆski, 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.
A.J. Berger, J.M. Mulvey and A. RuszczyĆski, An extension of the DQA algorithm to convex stochastic programs, SIAM Journal on Optimization 4 (1994) 735--753.
W.B. Arthur and A. RuszczyĆski, 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. RuszczyĆski, 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. Gondzio and A. RuszczyĆski, 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. RuszczyĆski, A diagonal quadratic approximation method for large scale linear programs, Operations Research Letters 12(1992) 205--215.
B. Arthur and A. RuszczyĆski, Strategic pricing in markets with a conformity effect, Archives of Control Sciences 1(XXXVII) (1992) 7--31.
J.M. Mulvey and A. RuszczyĆski, 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. RuszczyĆski, An augmented Lagrangian decomposition method for block diagonal linear programming problems, Operations Research Letters 8 (1989) 287--294.
A. RuszczyĆski, Regularized decomposition and augmented Lagrangian decomposition for angular linear programming problems, in: Aspiration Based Decision Support Systems, A. Le\-wan\-dow\-ski and A. Wierzbi\-cki (eds.), Lecture Notes in Economics and Mathematical Systems 331\-(1989), Springer-Verlag, Berlin 1989, pp. 80--91.
J Gondzio and A. RuszczyĆski, A sensitivity method for solving multistage linear programming problems, in: Aspiration Based Decision Support Systems, A. Lewandowski and A. Wierzbi\-cki (eds.), Lecture Notes in Economics and Mathematical Systems 331 (1989), Springer-Verlag, Berlin 1989, pp. 68--79.
A. RuszczyĆski, Modern techniques for linear dynamic and stochastic programs, in: Aspiration Based Decision Support Systems, A. Lewandowski and A. Wierzbi\-cki (eds.), Lecture Notes in Economics and Mathematical Systems 331(1989), Sprin\-ger-Verlag, Berlin 1989, pp. 48--67.
A. RuszczyĆski, A regularized decomposition method for minimizing a sum of polyhedral functions, Mathematical Programming 35 (1986) 309--333.
A. RuszczyĆski 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. RuszczyĆski 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. RuszczyĆski, 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. RuszczyĆski and M. Styblinski, Stochastic approximation approach to statistical circuit design, Electronics Letters 19 (1983) 300--302.
A. RuszczyĆski and W. Syski, Stochastic approximation algorithm with gradient averaging for unconstrained problems, IEEE Transactions on Automatic Control AC--28 (1983) 1097--1105.
A. RuszczyĆski, 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. RuszczyĆski, Stochastic feasible direction methods for nonsmooth stochastic optimization problems, Control and Cybernetics 9 (1980) 173-- 187.
A. RuszczyĆski, Feasible direction methods for stochastic programming problems, Mathematical Programming 19 (1980) 220--229.
A. RuszczyĆski and J. Szymanowski, Convergence analysis for two-level algorithms of mathematical programming, Mathematical Programming Study 10 (1979) 158--171.
A. RuszczyĆski, Coordination of nonstationary systems, IEEE Transactions on Automatic Control AC--24 (1979) 51--62.