Andrzej Ruszczynski

Professor Ruszczynski’s interests are in the theory, numerical methods and applications of stochastic optimization. He is author of "Nonlinear Optimization", "Lectures on Stochastic programming", and numerous publications in operations research and applied mathematics journals such as Mathematical Programming, SIAM Journal on Optimization, Mathematics of Operations Research, and Operations Research. He is the winner of the 2018 Dantzig Prize of the Society of Industrial and Applied Mathematics and the Mathematical Optimization Society.

Academic degrees

Ph.D., Warsaw University of Technology; Control Engineering

Related News

Professor Andrzej Ruszczyński's new title recognizes his expertise

Prize highlights professor's influence in field of risk optimization

Publications

Publications with PhD Students and Alumni

J. Fan, A. Ruszczyński, Risk measurement and risk-averse control of partially observable discrete-time Markov systems, Mathematical Methods of Operations Research (2018), 1--24

Y. Du, A. Ruszczyński, Rate of convergence of the bundle method, Journal of Optimization Theory and Applications 173 (2017), 908--922

Y. Du, X. Lin, A. Ruszczyński, Selective Linearization Method for Multiblbock Convex Optimization, SIAM Journal on Optimization 27 (2017), 1102—1117.

S. Gulten, A. Ruszczyński, Two-stage portfolio optimization with higher-order conditional measures of risk, Annals of Operations Research, 229 (1) (2015), 409–427.

T. Asamov, A. Ruszczyński, Time-consistent approximations of risk-averse multistage stochastic optimization problems, Mathematical Programming, 153 (2), 2015, 459--493.

Ő. Çavuş, A. Ruszczyński, Computational Methods for Risk-Averse Undiscounted Transient Markov Models, Operations Research, 62 (2) (2014), 401–417.

Ő. Çavuş, A. Ruszczyński, Risk-averse control of undiscounted transient Markov models, SIAM Journal on Control and Optimization 52(6), 2014, 3935–3966.

X. Lin, M. Pham, A. Ruszczyński, Alternating linearization for structured regularization problems, Journal of Machine Learning Research, 15 (2014), 3447−3481.

R. Collado, D. Papp, A. Ruszczyński, Scenario decomposition of risk-averse multistage stochastic programming problems, Annals of Operations Research 200 (2012), No. 1, 147--170.

S. Choi, A. Ruszczyński, 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. Ruszczyński, A Multi-Product Risk-Averse Newsvendor with Exponential Utility Function , European Journal of Operational Research 214 (2011), No. 1, 78--84.

N. Miller, A. Ruszczyński, Risk-Averse Two-Stage Stochastic Linear Programming: Modeling and Decomposition , Operations Research 59 (2011) 125-132.

N. Miller, A. Ruszczyński, Risk-adjusted probability measures in portfolio optimization with coherent measures of risk , European Journal of Operational Research 191 (2008), No. 1, 193--206.

S. Choi, A. Ruszczyński, A risk-averse newsvendor with law invariant coherent measures of risk , Operations Research Letters 36 (2008), No. 1, 77--82.

N. Noyan, A. Ruszczyński, Valid inequalities and restrictions for stochastic programming problems with first order stochastic dominance constraints, Mathematical Programming 115 (2008) 249--275.

M. Lejeune, A. Ruszczyński, An efficient trajectory method for probabilistic production-inventory-distribution problems, Operations Research 55 (2007) 378--394.

Dissertations Supervised

Name: Yang, Shangzhe
Graduation Date: 2024/May

Name: Lin, Zhengqi
Graduation Date: 2024/May

Name: Zhu, Landi
Graduation Date: 2023/October

Name: Kose, Umit
Graduation Date: 2020/May

Name: Yan, Ruofan
Graduation Date: 2018/May
Thesis Title: Risk Filtering and Risk-Averse Control of Partially Observable Markov Jump Processes.

Name: Fan, Jingnan
Graduation Date: 2018/May
Thesis Title: Process-Based Risk Measures and Risk-Averse Control of Observable and Partially Observable Discrete-Time Systems.

Name: McGinity, Curtis
Graduation Date: 2017/May
Thesis Title: Optimal Learning with Dynamic Risk in Sequential Optimization.

Name: Yao, Jianing
Graduation Date: 2017/May
Thesis Title: Risk-Averse Optimal Control of Diffusion Processes.

Name: Du, Yu
Graduation Date: 2017/May
Thesis Title: Selective Linearization for Multi-Block Convex Optimization.

Name: Gulten, Sitki
Graduation Date: 2014/October
Thesis Title: Two-Stage Portfolio Optimization with Higher-Order Conditional Measures of Risk.

Name: Pham, Minh
Graduation Date: 2013/May
Thesis Title: Alternating Linearization for Structured Regularization Problems.

Name: Çavuş, Őzlem
Graduation Date: 2012/May
Thesis Title: Risk-Averse Control of Undiscounted Transient Markov Models.

Name: Collado, Ricardo
Graduation Date: 2010/May
Thesis Title: Scenario Decomposition of Risk-Averse Stochastic Optimization Problems.

Name: Miller, Naomi
Graduation Date: 2009/May
Thesis Title: Portfolio Optimization with Coherent Risk Measures.

Name: Choi, Sungyong
Graduation Date: 2009/October
Thesis Title: Risk-Averse Newsvendor Models.

Name: Noyan, Nilay
Graduation Date: 2006/May
Thesis Title: Optimization with first order stochastic dominance constraints.

Name: Lejeune, Miguel
Graduation Date: 2004/May
Thesis Title: A Methodology for Probabilistic Inventory-Production-Distribution Problems.

Awards & Honors

2018 Dantzig Prize of the Society of Industrial and Applied Mathematics and the Mathematical Optimization Society