Ruszczyski Andrzej

Andrzej Ruszczyski

Information about the author Andrzej Ruszczyski will soon be added to the site.
Found 20 papers in total
A Multiproduct Risk‐Averse Newsvendor with Law‐Invariant Coherent Measures of Risk
A Multiproduct Risk‐Averse Newsvendor with Law‐Invariant Coherent Measures of Risk
2011
We consider a multiproduct risk‐averse newsvendor under the...
Risk‐Averse Two‐Stage Stochastic Linear Programming: Modeling and Decomposition
Risk‐Averse Two‐Stage Stochastic Linear Programming: Modeling and Decomposition
2011
We formulate a risk‐averse two‐stage stochastic linear programming...
Conditional risk mappings
Conditional risk mappings
2006
We introduce an axiomatic definition of a conditional convex risk mapping and we...
Optimization of convex risk functions
Optimization of convex risk functions
2006
We consider optimization problems involving convex risk functions. By employing...
A risk-averse newsvendor with law invariant coherent measures of risk
A risk-averse newsvendor with law invariant coherent measures of risk
2008
For general law invariant coherent measures of risk, we derive an equivalent...
Relaxations of linear programming problems with first order stochastic dominance constraints
Relaxations of linear programming problems with first order stochastic dominance constraints
2006
Linear stochastic programming problems with first order stochastic dominance (FSD)...
Learning algorithms for separable approximations of discrete stochastic optimization problems
Learning algorithms for separable approximations of discrete stochastic optimization problems
2004
We propose the use of sequences of separable, piecewise linear approximations for...
Dual stochastic dominance and quantile risk measures
Dual stochastic dominance and quantile risk measures
2002
Following the seminal work by Markowitz, the portfolio selection problem is usually...
The probabilistic set-covering problem
The probabilistic set-covering problem
2002
In a probabilistic set-covering problem the right-hand side is a random binary vector...
A branch and bound method for stochastic integer problems under probabilistic constraints
A branch and bound method for stochastic integer problems under probabilistic constraints
2002
Stochastic integer programming problems under probabilistic constraints are...
Robust path choice in networks with failures
Robust path choice in networks with failures
2000
The problem of adaptive routing in a network with failures is considered. The network...
From stochastic dominance to mean-risk models: Semideviations as risk measures
From stochastic dominance to mean-risk models: Semideviations as risk measures
1999
Two methods are frequently used for modeling the choice among uncertain outcomes:...
A branch and bound method for stochastic global optimization
A branch and bound method for stochastic global optimization
1998
A stochastic branch and bound method for solving stochastic global optimization...
Some advances in decomposition methods for stochastic linear programming
Some advances in decomposition methods for stochastic linear programming
1999
Stochastic programming problems have very large dimension and characteristic...
On optimal allocation of indivisibles under uncertainty
On optimal allocation of indivisibles under uncertainty
1998
The optimal allocation of indivisible resources is formalized as a stochastic...
Accelerating the regularized decomposition method for two stage stochastic linear problems
Accelerating the regularized decomposition method for two stage stochastic linear problems
1997
Practical improvements of the regularized decomposition algorithm for two stage...
Decomposition methods in stochastic programming
Decomposition methods in stochastic programming
1997
Stochastic programming problems have very large dimension and characteristic...
Cost-effective sulphur emission reduction under uncertainty
Cost-effective sulphur emission reduction under uncertainty
1996
The problem of reducing SO 2 emissions in Europe is considered. The costs of reduction...
A new scenario decomposition method for large-scale stochastic optimization
A new scenario decomposition method for large-scale stochastic optimization
1995
A novel parallel decomposition algorithm is developed for large, multistage stochastic...
Constraint aggregation principle in convex optimization
Constraint aggregation principle in convex optimization
1997
A general constraint aggregation technique is proposed for convex optimization...
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