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Robust Optimization
- Tractable Approximations to Robust Conic Optimization Problems, (with Melvyn Sim), Mathematical Programming, 107(1), 5-36, 2006.
- Robust Discrete Optimization under Ellipsoidal Uncertainty Sets,
(with Melvyn Sim), April 2004.
- Robust Linear Optimization under General Norms, (with Dessi Pachamanova and
Melvyn Sim), Operations Research Letters, 32, 510-516, 2004.
- A Robust Optimization Approach to Inventory Theory, (with Aurelie Thiele), Operations Research, 54, 1, 150-168, 2006.
- The price of Robustness, (with Melvyn Sim), Operations Research, 52, 1, 35-53, 2004.
- Robust Discrete optimization and Network Flows, (with Melvyn Sim),
Mathematical Programming Series B, 98:49-71, 2003.
Moment problems
- Probabilistic Combinatorial Optimization: Moments, Semidefinite Programming and Asymptotic Bounds
(with Karthik Natarajan, Chung Piaw Teo), SIAM Journal of Optimization, 15, 1, 185–209, 2004.
- Optimal mean-variance bounds on the expectation of the
highest order statistics, (with Karthik Natarajan, Chung Piaw Teo), May, 2004.
- Persistence in Discrete Optimization under Data Uncertainty,
(with Karthik Natarajan, Chung Piaw Teo), Mathematical Programming Series B, 108, 251–274, 2006.
- Bounds on Linear PDEs via Semidefinite Optimization,
(with Constantine Caramanis), Mathematical Programming Series A & B, 108, 135-158, 2006.
- Optimal inequalities in probability theory: A convex
optimization approach,
(with Ioana Popescu), SIAM Journal of Optimization, 15, 3, 780-804, 2004.
- Moment problems and semidefinite programming,
(with Ioana Popescu and Jay Sethuraman), in Handbook on Semidefinite Programming: Theory, Algorithms, and Applications,
H. Wolkovitz, ed., 469--509, 2000.
Revenue Management
- A Stochastic Booking-Limit Control Policy for Airline Network
Revenue Management, (with Sanne de Boer), Operations Research, 2004.
- Joint network pricing and resource allocation, (with Sanne de Boer), March, 2004.
- Revenue Management in a Dynamic Network Environment, (with Ioana Popescu),
Transportation Science, 2004.
- Dynamic Pricing; A Learning Approach, (with Georgia Perakis),
April, 2003.
- Restaurant Revenue Management, (with Romy Shioda), Operations Research, 51, 3, 472--486, 2003.
- A Learning Approach to Customized Marketing, (with Adam Mersereau), December, 2003.
- Optimal Bidding in Online Auctions, (with Jeff Hawkins and Georgia Perakis), December, 2002.
Optimization
- An Algorithm For Cardinality Constrained
Quadratic Optimization Problems, (with Romy Shioda), May,
2004.
- Solving convex optimization problems by random walks, (with Santosh Vempala), Journal of the ACM,
2004.
- Classification and Regression via Integer Optimization, (with Romy Shioda), January, 2003.
- An Approximate Dynamic Programming Approach to
Multi-dimensional Knapsack Problems, (with Ramazan Demir), Management Science, 4, 550--565, 2002.
Finance
- An Optimization Approach to Credit Risk, (with Dessi Pachamanova), December, 2002.
- Shortfall as a risk measure: properties and optimization,
(with Geoffrey Lauprete and Alex Samarov),
Journal of Economic Dynamics and Control,
28, 7, 1227-1480, 2004.
- On the relation between option and stock prices: a convex
optimization approach, (with Ioana Popescu), Operations Research,
50, 2, 358--374, 2002.
- Pricing derivative securities in incomplete markets: an $\epsilon$-arbitrage approach, (with
Leonid Kogan and Andrew Lo), Operations Research,
50, 2, 358--374, 2002.
- When is time continuous, (with
Leonid Kogan and Andrew Lo), Journal of Financial Economics, 55, 173-204, 2000.
- Optimal control of execution costs, (with Andrew Lo),
Journal of Financial Markets, 1, 1-50, 1998.
- Optimal control of execution costs for portfolios, (with Paul Hummel and Andrew Lo),
Computing in Science and Engineering, 40-53, 1999.
Stochastic Networks
- From fluid relaxations to practical algorithms for job shop
scheduling: the holding cost objective,
(with David Gamarnik and Jay Sethuraman),
Operations Research, 51, 5, 798--813, 2003.
- From fluid relaxations to practical algorithms for job shop
scheduling: the makespan objective,
(with Jay Sethuraman), Mathematical Programming,
92, 1, 61--102, 2002.
- Performance bounds for multiclass queueing networks
via piecewise linear Liapunov functions,
(with David Gamarnik and John Tsitsiklis),
Annals of Applied Probability, 11, 4, 1384-1428, 2001.
Earlier Papers
- On the exact steady state solution of the $E_k/C_2/s$ queue (with X. Papaconstantinou), European Journal of Operations Research, 37(2),272-287, 1988.
- On the steady-state solution of the $M/C_2(a,b)/s$ queueing system (with X. Papaconstantinou), Transportation Science,125-138, 1988.
- An exact FCFS waiting-time analysis for a general class of $G/G/s$ queueing systems, Queueing Systems Theory and Applications, 3,305-320, 1988.
- On probabilistic traveling salesman facility location problems, Transportation Science, 3, 184-191, 1989.
- Worst case examples for the spacefilling curve heuristic for the Euclidean traveling salesman problem, (with M. Grigni), Operations Research Letters, 8, 241-244, 1989.
- Relations between the pre-arrival and post-departures state probabilities and the FCFS waiting-time distribution for the $E_k/G/s$ queue (with X. Papaconstantinou), Naval Research Logistics Quarterly, 37, 135-149, 1990.
- An analytic approach to a general class of $G/G/s$ queueing systems, Operations Research, 1, 139-155, 1990.
- The probabilistic minimum spanning tree problem, Networks, 20,245-275, 1990.
- A priori optimization, (with P. Jaillet and A. Odoni), Operations Research, vol. 38, 6, 1019-1033, 1990.
- An asymptotic determination of the minimum spanning tree and minimum matching constants in geometrical probability, (with G. van Ryzin), Operations Research Letters, 9, 223-231, 1990.
- Probabilistic analysis of the Held and Karp lower bound for the Euclidean traveling salesman problem, (with M. Goemans), Mathematics of Operations Research, 1, 72-89, 1991.
- Transient and busy period analysis of the $GI/G/1$ queue as a Hilbert factorization problem, (with J. Keilson, D. Nakazato, H. Zhang), Journal of Applied Probability, 28, 873-885, 1991.
- A stochastic and dynamic vehicle routing problem in the Euclidean plane, (with G. van Ryzin), Operations Research, vol. 39, 4, 601-615, 1991.
- The minimum spanning tree constant in geometrical probability and under the independent model; a unified approach,(with F. Avram), Annals of Applied Probability, vol. 2, 1, 113-130, 1992.
- A vehicle routing problem with stochastic demand, Operations Research, 40, 574-585, 1992.
- Transient and busy period analysis for the $GI/G/1$ queue; The method of stages, (with D. Nakazato), Queueing Systems and Applications, 10, 153-184, 1992.
- Deducing queueing from transactional data: the queue inference engine, revisited, (with L. Servi), Operations Research, 40, S217-S228, 1992.
- Simulated annealing, (with J. Tsitsiklis), Statistical Science, Vol.8, No. 1, 10-15, 1993.
- Stochastic and dynamic vehicle routing in the Euclidean Plane: the multiple-server, capacitated vehicle case, (with G. van Ryzin), Operations Research , 41, 60-76, 1993.
- Survivable networks, LP relaxations and the parsimonious property,(with M. Goemans), Mathematical Programming, 60, 145-166, 1993.
- Further results on the probabilistic traveling salesman problem,(with L. Howell), European Journal of Operations Research, Vol. 65, 1, 68-95, 1993.
- On central limit theorems in geometrical probability, (with F. Avram), Annals of Applied Probability, vol. 3, 4, 1033-1046, 1993.
- Stochastic and dynamic vehicle routing with general arrival and demanddistributions, (with G. van Ryzin), Advances in Applied Probability, 25, 4, 947-978, 1993.
- A technique for speeding up the solution of the Lagrangean dual,(with J. Orlin), Mathematical Programming, vol. 63, 1, 23-46, 1994.
- The multi-airport ground-holding problem in air traffic control(with A. Odoni and P. Vranas), Operations Research, 42, 2, 249-261, 1994.
- Optimization of multiclass queueing networks:polyhedral and nonlinear characterizations of achievable performance, (with I. Paschalidis and J. Tsitsiklis), Annals of Applied Probability, 4, 1, 43-75, 1994.
- Dynamic ground-holding policies for a network of airports,(with A. Odoni and P. Vranas), Transportation Science, 28, 4, 275-291, 1994.
- The distributional Little's law and its applications, (with D. Nakazato), Operations Research, 43, 2, 298-310, 1995.
- Optimization of multiclass queueing networks:a linear control approach, (with F. Avram and M. Ricard), Stochastic networks; proceedings of the IMA,(F. Kelly and R. Williams, editors), 199-234, 1995.
- Branching bandits and Klimov's problem: achievable region and side constraints,(with I. Paschalidis and J. Tsitsiklis), IEEE Automatic Control, 40, 12, 2063-2075, 1995.
- Locating discretionary service facilities II: maximizing market size,minimizing inconvenience, (with O. Berman and R. Larson), Operations Research, 43, 4, 623-632, 1995.
- Computational approaches to stochastic vehicle routing problems, (with P. Chervi and M. Peterson), Transportation Science, 29, 4, 342-352, 1995.
- Decomposition algorithms for analyzing transient phenomena in multi-class queueing networks in air transportation,(with A. Odoni and M. Peterson), Operations Research, 43, 6, 995-1011, 1995.
- The achievable region method in the optimal control of queueing systems; formulations, bounds and policies, Queueing Systems and Applications, 21, 3-4,337-389, 1995.
- Models and algorithms for transient queueing congestion at a hub airport, (with A. Odoni and M. Peterson), Management Science, 41, 1279-1295, 1995.
- A new generation of vehicle routing research, (with D. Simchi-Levi), Operations Research, 286-304, 1996.
- Conservation laws, extended polymatroids and multi-armed bandit problems; a unified polyhedral approach, (with Jose Ni\~no-Mora), Mathematics of Operations Research, 21, 2, 257-306, 1996.
- A unified method to analyze overtake free systems, (with G. Mourtzinou), Advances in Applied Probability,28, 588-625, 1996.
- Stability conditions for multiclass fluid networks, (with D. Gamarnik and J. Tsitsiklis), IEEE Automatic Control, 41, 1618-1631, 1996.
- Multiclass queueing systems in heavy traffic: an asymptotic approach based on distributional and conservation laws,(with G. Mourtzinou), Operations Research, 45, 3, 470-487, 1997.
- On the worst case complexity of potential reduction algorithms for linear programming, (with X. Luo), Mathematical Programming. 77, 321-333, 1997.
- Transient distributional laws and their applications,(with G. Mourtzinou), Queueing Systems and their Applications, 25, 115-155, 1997.
- The parsimonious property of cut covering problems and its applications,(with C. Teo), Operations Research Letters, 21, 123-132, 1997.
- From valid inequalities to heuristics: a unified view of primal-dual approximation algorithms in covering problems, (with C. Teo), Operations Research, 46, 4, 503-514, 1998.
- The air traffic flow management problem with enroute capacities, (with S. Stock-Paterson), Operations Research, 46, 3, 406-422, 1998.
- A new algorithm for state-contrained separated continuous linear programs (with X. Luo), SIAM Journal on Control and Optimization,37, 1, 177-210, 1998.
- Rounding algorithms for covering problems, (with R. Vohra), Mathematical Programming, 80, 63-89, 1998.
- On the large deviation behavior in acyclic networks of G/G/1 queues, (with I. Paschalidis and J. Tsitsiklis), Annals of Applied Probability, 8, 4, 1027-1069, 1998.
- Asymptotic buffer overflow probabilities in multiclass multiplexers, (with J. Paschalidis and J. Tsitsiklis), IEEE Automatic Control, 43, 3, 315-335, 1998.
- Optimal control of execution costs, (with A. Lo), Journal of Financial Markets, 1, 1-50, 1998.
- Semidefinite relaxations, multivariate normal distributions, and order statistics,(with Y. Ye),Handbook of Combinatorial Optimization (Vol. 3),D.-Z. Du and P.M. Pardalos (Eds.) pp. 1-19,luwer Academic Publishers, 1998.
- On dependent randomized rounding algorithms,(with C. Teo and R. Vohra), Operations Research Letters, 24, 3, 105-114, 1999.
- Decomposition results for general polling systems and their applications, (with G. Mourtzinou), Queueing Systems and their Applications, 31, 295-316, 1999.
- Bounds and policies for loss networks,(with T. Chryssikou), Operations Research, 47, 379-394, 1999.
- Optimization of multiclass queueing networks with changeover times via the achievable region approach: Part I, the single-station case,(with J. Ni\~no-Mora), Mathematics of Operations Research, 24, 2, 306-329, 1999.
- Optimization of multiclass queueing networks with changeover times via the achievable region approach: Part II, the multi-station case,(with J. Ni\~no-Mora), Mathematics of Operations Research, 24, 2, 331-361, 1999.
- Analysis of LP relaxations for multiway and multicut problems,(with C. Teo and R. Vohra), Networks, 102-113, 1999.
- Portfolio construction through mixed integer programming,(with C. Darnell and R. Soucy), Interfaces, 29, 49-66, 1999.
- Estimation of time-varying parameters in statistical models: an optimization approach, (with D. Gamarnik and J. Tsitsiklis), Machine Learning, 35, 225-245, 1999.
- Large deviation analysis of the generalized processor sharing policy, (with J. Paschalidis and J. Tsitsiklis), Queueing Systems and their Applications, 32, 319-349, 1999.
- Asymptotically optimal algorithms for job shop scheduling and packet routing, (with D. Gamarnik), Journal of Algorithms, 33, 296-318, 1999.
- Restless bandits, linear programming relaxations and a primal-dual heuristic, (with J. Ni\~no-Mora), Operations Research, 48, 80-90, 2000.
- A new algebraic geometry algorithm for integer programming, (with G. Perakis and S. Tayur), Management Science, 46, 999-1008, 2000.
- The traffic flow management rerouting problem in air traffic control: a dynamic network flow approach,(with S. Stock-Paterson), Transportation Science, 34, 239-255, 2000.
- Probabilistic service level guarantees in make-to-stock manufacturing system, (with I. Paschalidis), Operations Research, 49, 1, 119-133, 2001.
- Improved randomized approximation algorithms for lot sizing problems,(with C. Teo), Operations Research, 49, 4, 599-608, 2001.
- Approximate Dynamic Programming Algorithms for Facility Location Problems, (with C. Teo and R. Vohra), submitted to INFORMS Journal of Computing
- A Linear Optimization Approach to the Lov\'asz Local Lemma,(with E. Perevalov), submitted to Mathematical Programming
- An Approximate Dynamic Programming Approach to Binary Integer Programming, (with R. Demir), submitted to Management Science
- Constructing cutting plane algorithms for integer programming: a geometric approach, (with R. Weismantel), submitted to Mathematical Programming
- A duality theory for 0/1 integer programming, (with R. Weismantel),submitted to Mathematics of Operations Research
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