We investigate risk-averse stochastic optimization problems with a risk-shaping constraint in the form of a stochastic-order relation. Both univariate and multivariate orders are considered. We extend ...

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 ...

Course in stochastic optimization with an emphasis on formulating, solving, and approximating optimization models under uncertainty. Topics include: Models and applications: extensions of the linear ...