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Post-decision states and separable approximations are powerful tools of approximate dynamic programming

Ruszczyński, Andrzej P. - In: INFORMS journal on computing : JOC 22 (2010) 1, pp. 20-22

Persistent link: https://www.econbiz.de/10003962621

On optimal allocation of indivisibles under uncertainty

Norkin, Vladimir I.; Ermolʹev, Jurij M.; Ruszczyński, … - 1994

Persistent link: https://www.econbiz.de/10000914904

On the Glivenko-Cantelli problem in stochastic programming : mixed-integer linear recourse

Pflug, Georg - In: Mathematical methods of operations research 47 (1998) 1, pp. 39-49

Persistent link: https://www.econbiz.de/10001243718

Frontiers of stochastically nondominated portfolios

Ruszczyński, Andrzej P.; Vanderbei, Robert J. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 4, pp. 1287-1297

Persistent link: https://www.econbiz.de/10001792669

A multi-product risk-averse newsvendor with exponential utility function

Choi, Sungyong; Ruszczyński, Andrzej P. - In: European journal of operational research : EJOR 214 (2011) 1, pp. 78-84

Persistent link: https://www.econbiz.de/10009238174

The languages of stochastic optimization

Powell, Warren B. - In: INFORMS journal on computing : JOC 22 (2010) 1, pp. 23-25

Persistent link: https://www.econbiz.de/10003962626

Two-stage portfolio optimization with higher-order conditional measures of risk

Gülten, Sıtkı; Ruszczyński, Andrzej P. - 2015

Persistent link: https://www.econbiz.de/10011284408

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268

Persistent link: https://www.econbiz.de/10014423851

A Multi-Product Risk-Averse Newsvendor with Exponential Utility Function

Choi, Sungyong; Ruszczyński, Andrzej P. - 2011

We consider a multi-product newsvendor using an exponential utility function. We first establish a few basic properties for the newsvendor regarding the convexity of the model and monotonicity of the impact of risk aversion on the solution. When the product demands are independent and the ratio...

Persistent link: https://www.econbiz.de/10014043605

Bounds on risk-averse mixed-integer multi-stage stochastic programming problems with mean-CVaR

Mahmutoğulları, Ali İrfan; Çavuş, Özlem; Aktürk, … - In: European journal of operational research : EJOR 266 (2018) 2, pp. 595-608

Persistent link: https://www.econbiz.de/10011811837