Papers
 


Robust Optimization
  1. Tractable Approximations to Robust Conic Optimization Problems, (with Melvyn Sim), Mathematical Programming, 107(1), 5-36, 2006.
  2. Robust Discrete Optimization under Ellipsoidal Uncertainty Sets, (with Melvyn Sim), April 2004.
  3. Robust Linear Optimization under General Norms, (with Dessi Pachamanova and
    Melvyn Sim), Operations Research Letters, 32, 510-516, 2004.
  4. A Robust Optimization Approach to Inventory Theory, (with Aurelie Thiele), Operations Research, 54, 1, 150-168, 2006.
  5. The price of Robustness, (with Melvyn Sim), Operations Research, 52, 1, 35-53, 2004.
  6. Robust Discrete optimization and Network Flows, (with Melvyn Sim),
    Mathematical Programming Series B, 98:49-71, 2003.
Moment problems
  1. Probabilistic Combinatorial Optimization: Moments, Semidefinite Programming and Asymptotic Bounds (with Karthik Natarajan, Chung Piaw Teo), SIAM Journal of Optimization, 15, 1, 185–209, 2004.
  2. Optimal mean-variance bounds on the expectation of the highest order statistics, (with Karthik Natarajan, Chung Piaw Teo), May, 2004.
  3. Persistence in Discrete Optimization under Data Uncertainty, (with Karthik Natarajan, Chung Piaw Teo), Mathematical Programming Series B, 108, 251–274, 2006.
  4. Bounds on Linear PDEs via Semidefinite Optimization, (with Constantine Caramanis), Mathematical Programming Series A & B, 108, 135-158, 2006.
  5. Optimal inequalities in probability theory: A convex optimization approach, (with Ioana Popescu), SIAM Journal of Optimization, 15, 3, 780-804, 2004.
  6. 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
  1. A Stochastic Booking-Limit Control Policy for Airline Network Revenue Management, (with Sanne de Boer), Operations Research, 2004.
  2. Joint network pricing and resource allocation, (with Sanne de Boer), March, 2004.
  3. Revenue Management in a Dynamic Network Environment, (with Ioana Popescu), Transportation Science, 2004.
  4. Dynamic Pricing; A Learning Approach, (with Georgia Perakis), April, 2003.
  5. Restaurant Revenue Management, (with Romy Shioda), Operations Research, 51, 3, 472--486, 2003.
  6. A Learning Approach to Customized Marketing, (with Adam Mersereau), December, 2003.
  7. Optimal Bidding in Online Auctions, (with Jeff Hawkins and Georgia Perakis), December, 2002.
Optimization
  1. An Algorithm For Cardinality Constrained Quadratic Optimization Problems, (with Romy Shioda), May, 2004.
  2. Solving convex optimization problems by random walks, (with Santosh Vempala), Journal of the ACM, 2004.
  3. Classification and Regression via Integer Optimization, (with Romy Shioda), January, 2003.
  4. An Approximate Dynamic Programming Approach to Multi-dimensional Knapsack Problems, (with Ramazan Demir), Management Science, 4, 550--565, 2002.
Finance
  1. An Optimization Approach to Credit Risk, (with Dessi Pachamanova), December, 2002.
  2. 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.
  3. On the relation between option and stock prices: a convex optimization approach, (with Ioana Popescu), Operations Research, 50, 2, 358--374, 2002.
  4. Pricing derivative securities in incomplete markets: an $\epsilon$-arbitrage approach, (with Leonid Kogan and Andrew Lo), Operations Research, 50, 2, 358--374, 2002.
  5. When is time continuous, (with Leonid Kogan and Andrew Lo), Journal of Financial Economics, 55, 173-204, 2000.
  6. Optimal control of execution costs, (with Andrew Lo), Journal of Financial Markets, 1, 1-50, 1998.
  7. Optimal control of execution costs for portfolios, (with Paul Hummel and Andrew Lo), Computing in Science and Engineering, 40-53, 1999.
Stochastic Networks
  1. 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.
  2. From fluid relaxations to practical algorithms for job shop scheduling: the makespan objective, (with Jay Sethuraman), Mathematical Programming, 92, 1, 61--102, 2002.
  3. 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
  1. 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.
  2. On the steady-state solution of the $M/C_2(a,b)/s$ queueing system (with X. Papaconstantinou), Transportation Science,125-138, 1988.
  3. 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.
  4. On probabilistic traveling salesman facility location problems, Transportation Science, 3, 184-191, 1989.
  5. Worst case examples for the spacefilling curve heuristic for the Euclidean traveling salesman problem, (with M. Grigni), Operations Research Letters, 8, 241-244, 1989.
  6. 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.
  7. An analytic approach to a general class of $G/G/s$ queueing systems, Operations Research, 1, 139-155, 1990.
  8. The probabilistic minimum spanning tree problem, Networks, 20,245-275, 1990.
  9. A priori optimization, (with P. Jaillet and A. Odoni), Operations Research, vol. 38, 6, 1019-1033, 1990.
  10. 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.
  11. 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.
  12. 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.
  13. A stochastic and dynamic vehicle routing problem in the Euclidean plane, (with G. van Ryzin), Operations Research, vol. 39, 4, 601-615, 1991.
  14. 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.
  15. A vehicle routing problem with stochastic demand, Operations Research, 40, 574-585, 1992.
  16. 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.
  17. Deducing queueing from transactional data: the queue inference engine, revisited, (with L. Servi), Operations Research, 40, S217-S228, 1992.
  18. Simulated annealing, (with J. Tsitsiklis), Statistical Science, Vol.8, No. 1, 10-15, 1993.
  19. 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.
  20. Survivable networks, LP relaxations and the parsimonious property,(with M. Goemans), Mathematical Programming, 60, 145-166, 1993.
  21. Further results on the probabilistic traveling salesman problem,(with L. Howell), European Journal of Operations Research, Vol. 65, 1, 68-95, 1993.
  22. On central limit theorems in geometrical probability, (with F. Avram), Annals of Applied Probability, vol. 3, 4, 1033-1046, 1993.
  23. Stochastic and dynamic vehicle routing with general arrival and demanddistributions, (with G. van Ryzin), Advances in Applied Probability, 25, 4, 947-978, 1993.
  24. A technique for speeding up the solution of the Lagrangean dual,(with J. Orlin), Mathematical Programming, vol. 63, 1, 23-46, 1994.
  25. The multi-airport ground-holding problem in air traffic control(with A. Odoni and P. Vranas), Operations Research, 42, 2, 249-261, 1994.
  26. 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.
  27. Dynamic ground-holding policies for a network of airports,(with A. Odoni and P. Vranas), Transportation Science, 28, 4, 275-291, 1994.
  28. The distributional Little's law and its applications, (with D. Nakazato), Operations Research, 43, 2, 298-310, 1995.
  29. 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.
  30. 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.
  31. Locating discretionary service facilities II: maximizing market size,minimizing inconvenience, (with O. Berman and R. Larson), Operations Research, 43, 4, 623-632, 1995.
  32. Computational approaches to stochastic vehicle routing problems, (with P. Chervi and M. Peterson), Transportation Science, 29, 4, 342-352, 1995.
  33. 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.
  34. 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.
  35. Models and algorithms for transient queueing congestion at a hub airport, (with A. Odoni and M. Peterson), Management Science, 41, 1279-1295, 1995.
  36. A new generation of vehicle routing research, (with D. Simchi-Levi), Operations Research, 286-304, 1996.
  37. 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.
  38. A unified method to analyze overtake free systems, (with G. Mourtzinou), Advances in Applied Probability,28, 588-625, 1996.
  39. Stability conditions for multiclass fluid networks, (with D. Gamarnik and J. Tsitsiklis), IEEE Automatic Control, 41, 1618-1631, 1996.
  40. 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.
  41. On the worst case complexity of potential reduction algorithms for linear programming, (with X. Luo), Mathematical Programming. 77, 321-333, 1997.
  42. Transient distributional laws and their applications,(with G. Mourtzinou), Queueing Systems and their Applications, 25, 115-155, 1997.
  43. The parsimonious property of cut covering problems and its applications,(with C. Teo), Operations Research Letters, 21, 123-132, 1997.
  44. 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.
  45. The air traffic flow management problem with enroute capacities, (with S. Stock-Paterson), Operations Research, 46, 3, 406-422, 1998.
  46. A new algorithm for state-contrained separated continuous linear programs (with X. Luo), SIAM Journal on Control and Optimization,37, 1, 177-210, 1998.
  47. Rounding algorithms for covering problems, (with R. Vohra), Mathematical Programming, 80, 63-89, 1998.
  48. 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.
  49. Asymptotic buffer overflow probabilities in multiclass multiplexers, (with J. Paschalidis and J. Tsitsiklis), IEEE Automatic Control, 43, 3, 315-335, 1998.
  50. Optimal control of execution costs, (with A. Lo), Journal of Financial Markets, 1, 1-50, 1998.
  51. 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.
  52. On dependent randomized rounding algorithms,(with C. Teo and R. Vohra), Operations Research Letters, 24, 3, 105-114, 1999.
  53. Decomposition results for general polling systems and their applications, (with G. Mourtzinou), Queueing Systems and their Applications, 31, 295-316, 1999.
  54. Bounds and policies for loss networks,(with T. Chryssikou), Operations Research, 47, 379-394, 1999.
  55. 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.
  56. 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.
  57. Analysis of LP relaxations for multiway and multicut problems,(with C. Teo and R. Vohra), Networks, 102-113, 1999.
  58. Portfolio construction through mixed integer programming,(with C. Darnell and R. Soucy), Interfaces, 29, 49-66, 1999.
  59. Estimation of time-varying parameters in statistical models: an optimization approach, (with D. Gamarnik and J. Tsitsiklis), Machine Learning, 35, 225-245, 1999.
  60. Large deviation analysis of the generalized processor sharing policy, (with J. Paschalidis and J. Tsitsiklis), Queueing Systems and their Applications, 32, 319-349, 1999.
  61. Asymptotically optimal algorithms for job shop scheduling and packet routing, (with D. Gamarnik), Journal of Algorithms, 33, 296-318, 1999.
  62. Restless bandits, linear programming relaxations and a primal-dual heuristic, (with J. Ni\~no-Mora), Operations Research, 48, 80-90, 2000.
  63. A new algebraic geometry algorithm for integer programming, (with G. Perakis and S. Tayur), Management Science, 46, 999-1008, 2000.
  64. 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.
  65. Probabilistic service level guarantees in make-to-stock manufacturing system, (with I. Paschalidis), Operations Research, 49, 1, 119-133, 2001.
  66. Improved randomized approximation algorithms for lot sizing problems,(with C. Teo), Operations Research, 49, 4, 599-608, 2001.
  67. Approximate Dynamic Programming Algorithms for Facility Location Problems, (with C. Teo and R. Vohra), submitted to INFORMS Journal of Computing
  68. A Linear Optimization Approach to the Lov\'asz Local Lemma,(with E. Perevalov), submitted to Mathematical Programming
  69. An Approximate Dynamic Programming Approach to Binary Integer Programming, (with R. Demir), submitted to Management Science
  70. Constructing cutting plane algorithms for integer programming: a geometric approach, (with R. Weismantel), submitted to Mathematical Programming
  71. A duality theory for 0/1 integer programming, (with R. Weismantel),submitted to Mathematics of Operations Research