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.
(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). ==See also==