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Andrzej Ruszczynski
Information about the author Andrzej Ruszczynski will soon be added to the site.
Found
11 papers
in total
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Two-stage portfolio optimization with higher-order conditional measures of risk
2015
We describe a study of application of novel risk modeling and optimization techniques...
Scenario decomposition of risk‐averse multistage stochastic programming problems
2012
For a risk‐averse multistage stochastic optimization problem with a finite...
Tractable Almost Stochastic Dominance
2012
LL‐Almost Stochastic Dominance (LL‐ASD) is a relaxation of the...
A multi‐product risk‐averse newsvendor with exponential utility function
2011
We consider a multi‐product newsvendor using an exponential utility function....
Kusuoka representation of higher order dual risk measures
2010
We derive representations of higher order dual measures of risk in ℒ p spaces as...
Measuring risk for income streams
2005
A measure of risk is introduced for a sequence of random incomes adapted to some...
On convergence of an augmented Lagrangian decomposition method for sparse convex-optimization
1995
A decomposition method for large-scale convex optimization problems with block-angular...
On augmented Lagrangian decomposition methods for multistage stochastic programs
1996
A general decomposition framework for large convex optimization problems based on...
Parallel decomposition of multistage stochastic programming problems
1993
A new decomposition method for multistage stochastic linear programming problems is...
A diagonal quadratic approximation method for large scale linear programs
1992
An augmented Lagrangian method is proposed for handling the common rows in large scale...
An augmented Lagrangian decomposition method for block diagonal linear programming problems
1989
A new decomposition method for large linear programming problems of angular structure...
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