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Publications


Stochastic Programming

  1. Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics. INFORMS Journal on Computing. 34 (2), 729-751, 2022. With N. Noyan, G. Rudolf.
  2. Data-Driven Project Portfolio Selection: Decision-Dependent Stochastic Programming Formulations with Reliability and Time to Market Requirements. Computers & Operations Research. Accepted. With J. Kettunen.
  3. Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure. Quantitative Finance. Accepted. With R. Ji, Z. Fan.
  4. Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric. Journal of Global Optimization 79, 779-811, 2021. With R. Ji.
  5. A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs. INFORMS Journal on Computing 33 (3), 1015–1036, 2021. With R. Karimi, J. Cheng.
  6. Data-Driven Optimization of Reward-Risk Ratio Measures. INFORMS Journal on Computing 33 (3), 1120–1137, 2021. With R. Ji.
  7. Waterfall and Agile Product Development Approaches: Disjunctive Stochastic Programming Formulations. Operations Research 68 (5), 1356-1363, 2020. With J. Kettunen.
  8. Relaxations for Probabilistically Constrained Stochastic Programming Problems: Review and Extensions. Annals of Operations Research. Accepted, 2021. With A. Prekopa.
  9. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66 (8), 3735-3753, 2020. With S. Chun.
  10. Optimal Power Flow (OPF) Models with Probabilistic Guarantees: A Boolean Approach. IEEE Power and Energy Society Letters 35 (6), 4932-4935, 2020. With P. Dehghanian.
  11. Distributionally Robust Optimization AUC Support Vector Machine Models. Operations Research Letters 48 (4): 460-466, 2020. With W. Ma.
  12. ] Regularized Deterministic and Stochastic Dual Dynamic Programming and Application to Portfolio Selection with Direct Transaction and Market Impact Costs. Optimization and Engineering 21, 1133-1165, 2020. With V. Guigues, W. Tekaya.
  13. A Mixed-Integer Distributionally Robust Chance-Constrained Model for Optimal Topology Control in Power Grids with Uncertain Renewables. Proceedings of the 13th IEEE Power and Energy Society (PES) PowerTech Conference. Milano, Italy, 2019. With M. Nazemi, P. Dehghanian.
  14. Note on a Chance-Constrained Programming Framework to Handle Uncertainties in Radiation Therapy Treatment Planning. European Journal of Operational Research 75 (20), 793-794, 2019. With J. Custodio, A. Zavaleta.
  15. A Fractional Stochastic Integer Programming Problem for Reliability-to-Stability Ratio in Forest Harvesting. Computational Management Science 15 (3), 583-597, 2018. With J. Kettunen.
  16. Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  17. Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization. European Journal of Operational Research 252(2), 522–539, 2016. With S. Shen.
  18. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  19. Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  20. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications 161 (1), 308-329, 2014. With T. Filomena.
  21. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal on Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  22. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  23. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012.
  24. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  25. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  26. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  27. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan.
  28. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal.
  29. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  30. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  31. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.

 

Financial Risk & Optimization

  1. Distributionally Robust Portfolio Optimization with Linearized STARR Performance Measure. Quantitative Finance. Accepted. With R. Ji, Z. Fan.
  2. Data-Driven Optimization of Reward-Risk Ratio Measures. INFORMS Journal on Computing 33 (3), 1120–1137, 2021. With R. Ji.
  3. Liquidity-constrained Index Tracking Optimization Models. Annals of Operations Research, Accepted. 2021. With E.B.F. Vieira, T.P. Filomema, L.R. Sant'Anna.
  4. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66 (8), 3735-3753, 2020. With S. Chun.
  5. ] Regularized Deterministic and Stochastic Dual Dynamic Programming and Application to Portfolio Selection with Direct Transaction and Market Impact Costs. Optimization and Engineering 21, 1133-1165, 2020. With V. Guigues, W. Tekaya.
  6. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66 (8), 3735-3753, 2020. With S. Chun.
  7. Risk-Budgeting Multi-Portfolio Optimization with Portfolio and Marginal Risk Constraints. Annals of Operations Research 262 (2), 547-578, 2018. With R. Ji.
  8. Portfolio Optimization Using Mean-Gini Criteria: Some Extensions and Comparisons. Annals of Operations Research 248 (1–2), 305–343, 2017. With R. Ji, S. Prasad.
  9. Multistage Stochastic Asset-Liability Management Model with Integrated Chance Constraint - Application to Brazilian Market. Accepted in Optimization and Engineering. 2016. With A. Delgado de Oliveira, T. Filomena, M. Scherer Perlin, G. Ribeiro de Macedo.
  10. Stochastic Optimization Investment Models with Portfolio and Marginal Risk Constraints. Advances and Trends in Optimization with Engineering Applications. SIAM. Editors: S. Ahmed, M. Anjos, T. Terlaky. Accepted.
  11. Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization. European Journal of Operational Research 252 (2), 522–539, 2016. With S. Shen.
  12. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications 161 (1), 308-329. 2014. With T. Filomena.
  13. Portfolio Optimization with Combinatorial and Downside Return Constraints. Springer Proceedings in Mathematics and Statistics: Proceedings Volume of the MOPTA 2012 Conference 62, 31-50, 2013.
  14. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal on Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  15. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  16. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  17. A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012. With P.L. Hammer, A. Kogan.
  18. Desempenho do Modelo Estocástico de Média-Variância Para o Mercado Brasileiro de Ações. Produto & Produção 13 (3), 63-74, 2012. With H.H. Hoeltgebaum, T. Filomena, D. Borenstein, F.A. Ziegelmann.
  19. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011.
  20. Reverse Engineering Country Risk Ratings: Statistical and Combinatorial Non-Recursive Models. Annals of Operations Research 188, 185-213, 2011. With P.L. Hammer, A. Kogan.
  21. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  22. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan.
  23. Combinatorial Methods for Constructing Credit Risk Ratings. 2010. In: Handbook of Quantitative Finance and Risk Management. Eds: C.-F. Lee, A.C. Lee, J. Lee. Springer, 639-664. With A. Kogan. Also appeared in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee.. Springer, 2013.

 

Operations, Supply Chain & Disaster Management

  1. Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics. INFORMS Journal on Computing. 34 (2), 729-751, 2022. With N. Noyan, G. Rudolf.
  2. Data-Driven Project Portfolio Selection: Decision-Dependent Stochastic Programming Formulations with Reliability and Time to Market Requirements. Computers & Operations Research. Accepted. With J. Kettunen.
  3. Mobility-As-A-Service for Resilience Delivery in Power Distribution Systems. Production and Operations Management 30 (8), 2492-2521, 2021. With D. Anokhin, P. Dehghanian, J. Su.
  4. Electric Power Grids Under High-Absenteeism Pandemics: History, Context, Response, and Opportunities. IEEE Access 8, 215727-215747, 2020. With B. Wortmuth, S. Wang, P. Dehghanian, M. Barati, A. Estebsari, T.P. Filomena, M. Heidari Kapourchali.
  5. Spatiotemporal Data Set of Out-of-Hospital Cardiac Arrests. INFORMS Journal on Computing 34 (1), 4-10, 2022. With J. Custodio.
  6. Waterfall and Agile Product Development Approaches: Disjunctive Stochastic Programming Formulations. Operations Research 68 (5), 1356-1363, 2020. With J. Kettunen.
  7. Planning Online Advertising Using Gini Indices. Operations Research 67 (5), 1222-1245. With J. Turner.
  8. Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Management Science 64 (12), 5481-5496, 2018. With F. Margot.
  9. Note on a Chance-Constrained Programming Framework to Handle Uncertainties in Radiation Therapy Treatment Planning. European Journal of Operational Research 75 (20), 793-794, 2019. With J. Custodio, A. Zavaleta.
  10. Resource Deployment and Donation Allocation for Epidemic Outbreaks. Annals of Operations Research. Accepted, 2019. With A. Anparasan.
  11. Stochastic Mixed-Integer Nonlinear Programming Model for Drone-Based Healthcare Delivery. Winter Simulation Conference Proceedings. Eds: N. Mustafee, K.-H.G. Bae, S. Lazarova-Molnar, M. Rabe, C. Szabo, P. Haas, Y.-J. S
  12. Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management. Accepted, 2017. With J. Kettunen.
  13. Data Laboratory for Supply Chain Response Models During Epidemic Outbreaks. Annals of Operations Research 270, 53-64, 2018. With A. Anparasan.
  14. A Fractional Stochastic Integer Programming Problem for Reliability-to-Stability Ratio in Forest Harvesting. Computational Management Science 15 (3), 583-597, 2018. With J. Kettunen.
  15. Analyzing the Response to Epidemics: Concept of Evidence-Based Haddon Matrix. Journal of Humanitarian Logistics and Supply Chain Management 7 (3), 266-283, 2017. With A. Anparasan.
  16. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  17. Public Facility Location Using Dispersion, Population, and Equity Criteria. European Journal of Operational Research 234 (3), 819-829, 2014. With R. Batta, S. Prasad.
  18. How Supply Chain Competency Affects FDI Decisions: Some Insights. International Journal of Production Economics 147, 239-251, 2014. With P. Bagchi, A. Alam.
  19. Effectiveness-Equity Models for Facility Location Problems on Tree Networks. Networks 62 (4), 243-254, 2013. With S. Prasad.
  20. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  21. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  22. Integer Programming Solution Approach for Inventory-Production-Distribution Problems with Direct Shipments. International Transactions in Operational Research 15, 259-281, 2008. With F. Margot.
  23. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.
  24. A Variable Neighborhood Decomposition Search Methodology for Supply Chain Management Planning Problems. European Journal of Operational Research 175 (2), 959-976, 2006.
  25. On Characterizing the 4 C's in Supply Chain Management. Journal of Operations Management 23 (1), 81-100, 2005. With N. Yakova.
  26. Awareness of Distributed Denial of Service Attacks’ Dangers: Role of Internet Pricing Mechanisms. NETNOMICS: Economic Research and Electronic Networking 4 (2), 145-162, 2002.
  27. A Methodology for Probabilistic Inventory-Production-Distribution Problems. UMI Dissertation 3131759. ProQuest. Ann Arbor, MI, 2004.
  28. Probabilistic Models and Solution Methods for Cycle Stockout Service Levels. Proceedings of International Conference on Information Systems, Logistics and Supply Chain. Lyon, France, May 2006.
  29. An Integration-Based Taxonomy of Supply Chain Configurations. Proceedings of the Academy of International Business Annual Meeting, Monterey, CA, 2003. With N. Yakova.

 

Business Analytics

Prescriptive -> Stochastic Optimization, Data-Driven Optimization, Simulation

  1. Distributionally Robust Optimization under Decision-Dependent Ambiguity Set with Applications to Machine Scheduling and Humanitarian Logistics. INFORMS Journal on Computing. 34 (2), 729-751, 2022. With N. Noyan, G. Rudolf.
  2. Data-Driven Project Portfolio Selection: Decision-Dependent Stochastic Programming Formulations with Reliability and Time to Market Requirements. Computers & Operations Research. Accepted. With J. Kettunen.
  3. Mobility-As-A-Service for Resilience Delivery in Power Distribution Systems. Production and Operations Management 30 (8), 2492-2521, 2021. With D. Anokhin, P. Dehghanian, J. Su.
  4. Spatiotemporal Data Set of Out-of-Hospital Cardiac Arrests. INFORMS Journal on Computing 34 (1), 4-10, 2022. With J. Custodio.
  5. Data-Driven Distributionally Robust Chance-Constrained Optimization with Wasserstein Metric. Journal of Global Optimization 79, 779-811, 2021. With R. Ji.
  6. A Framework for Solving Chance-Constrained Linear Matrix Inequality Programs. INFORMS Journal on Computing 33 (3), 1015–1036, 2021. With R. Karimi, J. Cheng.
  7. Data-Driven Optimization of Reward-Risk Ratio Measures. INFORMS Journal on Computing 33 (3), 1120–1137, 2021. With R. Ji.
  8. Waterfall and Agile Product Development Approaches: Disjunctive Stochastic Programming Formulations. Operations Research 68 (5), 1356-1363, 2020. With J. Kettunen.
  9. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. Management Science 66 (8), 3735-3753, 2020. With S. Chun.
  10. Planning Online Advertising Using Gini Indices. Operations Research 67 (5), 1222-1245. With J. Turner.
  11. Aeromedical Battlefield Evacuation under Endogenous Uncertainty in Casualty Delivery Times. Management Science 64 (12), 5481-5496, 2018. With F. Margot.
  12. Note on a Chance-Constrained Programming Framework to Handle Uncertainties in Radiation Therapy Treatment Planning. European Journal of Operational Research 75 (20), 793-794, 2019. With J. Custodio, A. Zavaleta.
  13. Stochastic Mixed-Integer Nonlinear Programming Model for Drone-Based Healthcare Delivery. Winter Simulation Conference Proceedings. Eds: N. Mustafee, K.-H.G. Bae, S. Lazarova-Molnar, M. Rabe, C. Szabo, P. Haas, Y.-J. S
  14. A Fractional Stochastic Integer Programming Problem for Reliability-to-Stability Ratio in Forest Harvesting. Computational Management Science 15 (3), 583-597, 2018. With J. Kettunen.
  15. Managing Reliability and Stability Risks in Forest Harvesting. Manufacturing & Service Operations Management 19 (4), 620-638, 2017. With J. Kettunen.
  16. Solving Chance Constrained Problems with Random Technology Matrix and Stochastic Quadratic Inequalities. Operations Research 64 (4), 939-957, 2016. With F. Margot.
  17. Multi-Objective Probabilistically Constrained Programs with Variable Risk: Models for Multi-Portfolio Financial Optimization. European Journal of Operational Research 252 (2), 522–539, 2016. With S. Shen.
  18. Threshold Boolean Form for Joint Probabilistic Constraints with Random Technology Matrix. Mathematical Programming 147 (1-2), 391-427, 2014. With A. Kogan.
  19. Stochastic Network Design for Disaster Preparedness. IIE Transactions 47 (4), 329-357, 2015. With X. Hong, N. Noyan.
  20. Warm-Start Heuristic for Stochastic Portfolio Optimization with Fixed and Proportional Transaction Costs. Journal of Optimization Theory and Applications 161 (1), 308-329, 2014. With T. Filomena.
  21. Construction of Risk-Averse Enhanced Index Funds. INFORMS Journal on Computing 25 (4), 701-719, 2013. With G. Samatli-Paç.
  22. Probabilistic Modeling of Multiperiod Service Levels. European Journal of Operational Research 230, 299-312, 2013.
  23. Pattern-Based Modeling and Solution of Probabilistically Constrained Optimization Problems. Operations Research 60 (6), 1356-1372, 2012.
  24. Pattern Definition of the p-Efficiency Concept. Annals of Operations Research 200 (1), 23-36, 2012.
  25. Game Theoretical Approach for Reliable Enhanced Indexation. Decision Analysis 9 (2), 146-155, 2012.
  26. Stochastic Portfolio Optimization with Proportional Transaction Costs: Convex Reformulations and Computational Experiments. Operations Research Letters 40 (1), 207-212, 2012. With T. Filomena.
  27. A VaR Black-Litterman Model for the Construction of Absolute Return Fund-of-Funds. Quantitative Finance 11 (10), 1489-1501, 2011.
  28. Optimization for Simulation: LAD Accelerator. Annals of Operations Research 188, 285-305, 2011. With F. Margot.
  29. Mathematical Programming Generation of p-Efficient Points. European Journal of Operational Research 207 (2), 590-600, 2010. With N. Noyan.
  30. MIP Reformulations of the Probabilistic Set Covering Problem. Mathematical Programming 121 (1), 1-31, 2010. With A. Saxena, V. Goyal.
  31. An Exact Solution Approach for Integer Constrained Portfolio Optimization Problems under Stochastic Constraints. Operations Research 57 (3), 650-670, 2009. With P. Bonami.
  32. Preprocessing Techniques and Column Generation Algorithms for Stochastically Efficient Demand Trajectories. Journal of the Operational Research Society 59, 1239-1252, 2008.
  33. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With N. Yakova.
  34. An Efficient Trajectory Method for Probabilistic Inventory-Production-Distribution Problems. Operations Research 55 (2), 378-394, 2007. With A. Ruszczyński.

 

Predictive - > Data Mining, Logical Analysis of Data

  1. Distributionally Robust Optimization AUC Support Vector Machine Models. Operations Research Letters 48 (4): 460-466, 2020. With W. Ma.
  2. Recent Advances in the Theory and Practice of Logical Analysis of Data. European Journal of Operational Research (Invited Review) 275 (1), 1-15. With V. Lozin, I. Lozina, A. Ragab, S. Yacout.
  3. A Logical Analysis of Banks’ Financial Strength Ratings. Expert Systems with Applications 39 (9), 7808-7821, 2012. With P.L. Hammer, A. Kogan.
  4. Reverse Engineering Country Risk Ratings: Statistical and Combinatorial Non-Recursive Models. Annals of Operations Research 188, 185-213, 2011. With P.L. Hammer, A. Kogan.
  5. Modeling Country Risk Ratings Using Partial Orders. European Journal of Operational Research 175 (2), 836-859, 2006. With P.L. Hammer, A. Kogan.
  6. Measuring the Impact of Data Mining on Churn Management. Internet Research: Electronic Networking Applications and Policy 11 (5), 375-387, 2001.
  7. Combinatorial Methods for Constructing Credit Risk Ratings. 2010. In: Handbook of Quantitative Finance and Risk Management. Eds: C.-F. Lee, A.C. Lee, J. Lee. Springer, 639-664. With A. Kogan. Also appeared in: Handbook of Financial Econometrics and Statistics. Eds: C.-F. Lee, J. Lee. and John Lee. Springer, 2013.

 

Descriptive - > Design of Experiments

  1. Spatiotemporal Data Set for Out-of-Hospital Cardiac Arrests. INFORMS Journal on Computing. Accepted, 2020. With J. Custodio.
  2. Data Laboratory for Supply Chain Response Models During Epidemic Outbreaks. Annals of Operations Research 270, 53-64, 2018. With A. Anparasan.
  3. A Coordinate-Columnwise Exchange Algorithm for the Construction of Supersaturated, Saturated and Non-Saturated Designs. American Journal of Mathematical and Management Sciences 23 (1-2), 109-142, 2003.
  4. Heuristic Optimization of Experimental Designs. European Journal of Operational Research 147 (3), 484-498, 2003.
  5. A Coordinate-Columnwise Exchange Algorithm for the Construction of Supersaturated, Saturated and Non-Saturated Designs. 2004. In: Modern Mathematical, Management, and Statistical Sciences II: Advances in Theory & Application. Eds: E.J. Dudewicz, B.L. Golden, Z. Govindarajulu. American Sciences Press. Columbus, OH, 2004.
  6. Optimization of Experimental Designs. 15th International Workshop on Statistical Modeling, Proceedings in Statistical Modeling, 356-359. Bilbao, Spain, 2000.

 

Sports

  1. Showcase Scheduling at Fred Astaire Dance Studio. Interfaces 38 (3), 176-186, 2008. With N. Yakova.