Roger J-B Wets

Roger Jean-Baptiste Robert Wets (February 1937 – April 1, 2025) was a Belgian stochastic programming and a leader in variational analysis who published as Roger J-B Wets. His research, expositions, graduate students, and his collaboration with R. Tyrrell Rockafellar have had a profound influence on optimization theory, computations, and applications.

Schooling and positions Roger Wets attended high school in Belgium, after which he worked for his family while earning his Licence in applied economics from Université de Bruxelles (Brussels, Belgium) in 1961. He was encouraged by Jacques H. Drèze to study optimization with George Dantzig at the program in operations research at the University of California, Berkeley. Dantzig and mathematician–statistician David Blackwell jointly supervised Wets's dissertation. In 1965 Wets befriended R. Tyrrell Rockafellar, whom Wets introduced to stochastic optimization, starting a collaboration of many decades.

Wets helped to lead a project on decision-making under uncertainty at the International Institute for Applied Systems Analysis (pictured). He worked at Boeing Scientific Research Labs, 1964–1970 and was Ford Professor at the University of Chicago, 1970–1972 before being appointed Professor at the Mathematics Department of the University of Kentucky and then University Research Professor (1977–78). In 1994, the Dantzig Prize was awarded to Wets and also to the French pioneer in nonsmooth computational-optimization, Claude Lemaréchal.

With Rockafellar, Wets proposed, studied, and implemented the progressive-hedging algorithm for stochastic programming. Besides his theoretical and computational contributions, Wets has worked with applications on lake ecology (IIASA), finance (Frank Russel investment system), and developmental economics (World Bank). He also consulted with the development of professional stochastic-optimization software (IBM).