## Publications## 2011An Axiomatic Approach to Systemic Risk Under review in *Management Science*`[BibTeX]`
Fast First-Order Methods for Stable Principal Component Pursuit. Under review in *SIAM J. Optimization*`[BibTeX]`
Energy aware scheduling: minimizing total energy cost and completion time by -points and -speeds. 10th Workshop on Models and Algorithms for Planning and Scheduling Problems. MAPSP 2011. `[BibTeX]`
## 2010Approximating semidefinite packing problems *SIAM J. Optim.***21**(1) pp.231-268, 2011.`[BibTeX]`
Unified Approach for Minimizing Composite Norms *Mathematical Programming, Ser. A*`[BibTeX]`
## 2009A first-order penalty method for compressed sensing *SIAM J. Optim.***21**(1), pp. 287-313. 2011.`[BibTeX]`
Fast gradient descent method for mean-CVaR optimization Under review in *OR Letters*
## 2008Inequality and Network Structure Forthcoming in *Games and Economic Behavior*2011.`[BibTeX]`
A behavioral finance based tick-by-tick model for price and volume *Journal of Computational Finance***14**(1), 2010.`[BibTeX]`
Cash Flow management: a risk management approach *North American Actuarial Journal***13**(3), 370-378, 2009.`[BibTeX]`
## 2007Characterizing optimal adword auctions Under review in *Operations Research*
An equilibrium model for matching impatient demand with patient supply over time Proceedings of EC 2007. `[BibTeX]`
## 2006Optimal Procurement Auctions for Divisible Goods with Capacitated Suppliers *Review of Economic Design***12**(2), pp. 129-154.`[BibTeX]`
Faster approximation for packing and covering problems *SICOMP***35**(4) pp. 825-854, 2006.`[BibTeX]`
Robust pension fund management *Journal of Asset Management***11**pp. 163-177, 2010.`[BibTeX]`
## 2005 and beforeUniversal investment in markets with transaction costs *Math. Finance***15**(2), pp. 359-371, 2005`[BibTeX]`
Managing correlated callable products on a network Under review in *Operations Research*
On two-stage convex chance constrained problems *Math. Methods of Oper. Res.***65**, pp. 115-140, 2007.`[BibTeX]`
Approximation algorithms for semidefinite packing problems with applications to MAXCUT and graph coloring *IPCO XI*(2005)`[BibTeX]`
Concurrent flows in time *STOC*2004`[BibTeX]`
Robust portfolio management *Computational Finance*,**11**(4), pp. 71-98, 2008.`[BibTeX]`
An active set method for single-cone second-order cone programs *SIOPT***17**(2), pp. 459-484, 2006.`[BibTeX]`
Ambiguous chance constrained problems and robust optimization *Math. Prog.*, Ser. B**107**(1-2), pp. 37-61, 2006.`[BibTeX]`
Exponential penalty function based control policies for loss queues *Ann. Appl. Prob.***14**(4), pp.1698-1740, 2004.`[BibTeX]`
Robust portfolio selection problems Math. Oper. Res. **28**(1), pp.1-37, 2003.`[BibTeX]`
Inverse conic optimization *Oper. Res. Letters*,**33**(3), pp.319-330, 2005.`[BibTeX]`
Robust dynamic programming *Math. Oper. Res.***30**(2), pp.1-21, 2005.`[BibTeX]`
Robust quadratically constrained programs *Math. Programming, Ser. B*,**97**(3), pp.495-515, 2003`[BibTeX]`
Semidefinite relaxations for the traveling salesman problem CORC Technical Report TR-2001-01
Cutting planes for mixed 0-1 semidefinite programming *Math. Programming*,**104**, pp. 179-202, 2005`[BibTeX]`
Convex quadratic cuts for mixed 0-1 quadratic programming CORC Technical Report TR-2001-02
Growth optimal investment in horse race markets with costs. *IEEE Trans. Info. Theory*,**46**(7), pp. 2675-1683, 2000.`[BibTeX]`
A new method of channel shortening with applications to discrete multi-tone (DMT) systems, Part I : Theory Proceeding of IEEE International Conference on Communication (ICC) 1998
A new method of channel shortening with applications to discrete multi-tone (DMT) systems, Part II: Training Technical Report
@article{cezikI05:cuts, author = {Çezik, M. T. and Iyengar, G.}, title = {Cuts for mixed 0-1 conic programming}, journal = {Math. Program.}, year = {2005}, volume = {104}, number = {1, Ser. A}, pages = {179--202}, url = {http://dx.doi.org/10.1007/s10107-005-0578-3}, doi = {http://dx.doi.org/10.1007/s10107-005-0578-3} }
@unpublished{aybatGI11:NSA, author = {Aybat, N. S. and Goldfarb, G. Iyengar, G.}, title = {Fast First-Order Methods for Stable Principal Component Pursuit}, year = {2011}, note = {Under review in
@article{aybatI11:SPA, author = {Aybat, N. S. and Iyengar, G.}, title = {A first-order penalty method for compressed sensing}, journal = {SIAM J. Optim.}, year = {2011}, volume = {21}, number = {1}, pages = {287-313} }
@unpublished{aybatI10:FAL, author = {Aybat, N. S. and Iyengar, G.}, title = {A first-order augmented Lagrangian method for compressed sensing}, year = {2010}, note = {Under review in
@unpublished{aybatI10:FALC, author = {Aybat, N. S. and Iyengar, G.}, title = {Unified Approach for Minimizing Composite Norms.}, year = {2010}, note = {Under review in
@article{bienstockI06:packing, author = {Bienstock, D. and Iyengar, G.}, title = {Approximating fractional packings and coverings in $O(1/$ iterations}, journal = {SIAM J. Comput.}, year = {2006}, volume = {35}, number = {4}, pages = {825--854 (electronic)}, url = {http://dx.doi.org/10.1137/S0097539705447293}, doi = {http://dx.doi.org/10.1137/S0097539705447293} }
@inproceedings{bienstockI04:packing, author = {Bienstock, D. and Iyengar, G.}, title = {Solving fractional packing problems in $O^ast(1/$ iterations}, booktitle = {Proceedings of the 36th Annual ACM Symposium on Theory of Computing}, publisher = {ACM}, year = {2004}, pages = {146--155 (electronic)}, url = {http://dx.doi.org/10.1145/1007352.1007382}, doi = {http://dx.doi.org/10.1145/1007352.1007382} }
@unpublished{chenIM11:systemic, author = {Chen, C. and Iyengar, G. and Moallemi, C. C.}, title = {An Axiomatic Approach To Systemic Risk}, note = {Under review in
@article{erdoganGI08:port, author = {Erdoğan, E. and Goldfarb, D. and Iyengar, G.}, title = {Robust portfolio management}, journal = {Computational Finance}, year = {2008}, volume = {11}, number = {4}, pages = {71-98} }
@article{erdoganI07:two-stage, author = {Erdoğan, E. and Iyengar, G.}, title = {On two-stage convex chance constrained problems}, journal = {Math. Methods Oper. Res.}, year = {2007}, volume = {65}, number = {1}, pages = {115--140}, url = {http://dx.doi.org/10.1007/s00186-006-0104-2}, doi = {http://dx.doi.org/10.1007/s00186-006-0104-2} }
@article{erdoganI06:active, author = {Erdoğan, E. and Iyengar, G.}, title = {An active set method for single-cone second-order cone programs}, journal = {SIAM J. Optim.}, year = {2006}, volume = {17}, number = {2}, pages = {459--484 (electronic)}, url = {http://dx.doi.org/10.1137/040612592}, doi = {http://dx.doi.org/10.1137/040612592} }
@article{erdoganI06:ambiguous, author = {Erdoğan, E. and Iyengar, G.}, title = {Ambiguous chance constrained problems and robust optimization}, journal = {Math. Program.}, year = {2006}, volume = {107}, number = {1-2, Ser. B}, pages = {37--61}, url = {http://dx.doi.org/10.1007/s10107-005-0678-0}, doi = {http://dx.doi.org/10.1007/s10107-005-0678-0} }
@article{goldfarb03:robport, author = {Goldfarb, D. and Iyengar, G.}, title = {Robust portfolio selection problems}, journal = {Math. Oper. Res.}, year = {2003}, volume = {28}, number = {1}, pages = {1--38}, url = {http://dx.doi.org/10.1287/moor.28.1.1.14260}, doi = {http://dx.doi.org/10.1287/moor.28.1.1.14260} }
@article{goldfarb03:robquad, author = {Goldfarb, D. and Iyengar, G.}, title = {Robust convex quadratically constrained programs}, journal = {Math. Program.}, year = {2003}, volume = {97}, number = {3, Ser. B}, pages = {495--515}, note = {New trends in optimization and computational algorithms (NTOC 2001) (Kyoto)}, url = {http://dx.doi.org/10.1007/s10107-003-0425-3}, doi = {http://dx.doi.org/10.1007/s10107-003-0425-3} }
@article{iyengar05:trans, author = {Iyengar, G.}, title = {Universal investment in markets with transaction costs}, journal = {Math. Finance}, year = {2005}, volume = {15}, number = {2}, pages = {359--371}, url = {http://dx.doi.org/10.1111/j.0960-1627.2005.00223.x}, doi = {http://dx.doi.org/10.1111/j.0960-1627.2005.00223.x} }
@incollection{cezikI01:cuts, author = {Iyengar, G. and Çezik, M. T.}, title = {Cutting planes for mixed 0-1 semidefinite programs}, booktitle = {Integer programming and combinatorial optimization (Utrecht, 2001)}, publisher = {Springer}, year = {2001}, volume = {2081}, pages = {251--263}, url = {http://dx.doi.org/10.1007/3-540-45535-3_20}, doi = {http://dx.doi.org/10.1007/3-540-45535-3_20} }
@inproceedings{iyengarCS11:energy, author = {Iyengar, G. and Carrasco, R. and Stein, C.}, title = {Energy aware scheduling: minimizing total energy cost and completion time by $-points and $-speeds}, booktitle = {10th Workshop on Models and Algorithms for Planning and Scheduling Problems (MAPSP)}, year = {2011} }
@article{iyengarW05:inverse, author = {Iyengar, G. and Kang, W.}, title = {Inverse conic programming with applications}, journal = {Oper. Res. Lett.}, year = {2005}, volume = {33}, number = {3}, pages = {319--330}, url = {http://dx.doi.org/10.1016/j.orl.2004.04.007}, doi = {http://dx.doi.org/10.1016/j.orl.2004.04.007} }
@article{iyengarK10:optima, author = {Iyengar, G. and Kumar, A.}, title = {Parametric network flows and adword auctions}, journal = {OPTIMA}, year = {2010}, volume = {82}, pages = {8-9} }
@article{iyengarK08:procurement, author = {Iyengar, G. and Kumar, A.}, title = {Optimal procurement mechanisms for divisible goods with capacitated suppliers}, journal = {Rev. Econ. Des.}, year = {2008}, volume = {12}, number = {2}, pages = {129--154}, url = {http://dx.doi.org/10.1007/s10058-008-0046-7}, doi = {http://dx.doi.org/10.1007/s10058-008-0046-7} }
@inproceedings{iyengarK07:queue, author = {Iyengar, G. and Kumar, A.}, title = {An equilibrium model for matching impatient demand with patient supply over time}, booktitle = {Proceedings of the 8th annual ACM Conference on Electronic Commerce (EC07)}, year = {2007} }
@inproceedings{iyengarK06:adwords, author = {Iyengar, G. and Kumar, A.}, title = {Characterizing optimal adword auctions.}, booktitle = {Proceedings of Second Workshop on Sponsored Search}, year = {2006} }
@article{iyengarM10:tick, author = {Iyengar, G. and Ma, A. K-C.}, title = {A behavioral finance-based tick-by-tick model for price and volume}, journal = {J. Comput. Finance}, year = {2010}, volume = {14}, number = {1}, pages = {57--80} }
@article{iyengarM10:robpension, author = {Iyengar, G. and Ma, A. K-C.}, title = {Robust pension fund management}, journal = {J. Asset Mgmt.}, year = {2010}, volume = {11}, pages = {163-177} }
@article{iyengarM09:naaj, author = {Iyengar, G. and Ma, A. K-C.}, title = {Cash Flow Matching: A Risk Management Approach}, journal = {North American Actuarial Journal}, year = {2009}, volume = {13}, number = {3}, pages = {370-378} }
@inproceedings{iyengarPS10:covering, author = {Iyengar, G. and Phillips, D. and Stein, C.}, title = {Feasible and accurate algorithms for covering semidef- inite programs}, booktitle = {12th Scandinavian Symposium and Workshops on Algorithms and Data Structures (SWAT)}, year = {2010} }
@article{IyengarPS11:packing, author = {Iyengar, G. and Phillips, D. J. and Stein, C.}, title = {Approximating semidefinite packing programs}, journal = {SIAM J. Optim.}, year = {2011}, volume = {21}, number = {1}, pages = {231--268}, url = {http://dx.doi.org/10.1137/090762671}, doi = {http://dx.doi.org/10.1137/090762671} }
@incollection{iyengarPS05:packing, author = {Iyengar, G. and Phillips, D. J. and Stein, C.}, title = {Approximation algorithms for semidefinite packing problems with applications to MAXCUT and graph coloring}, booktitle = {Integer programming and combinatorial optimization}, publisher = {Springer}, year = {2005}, volume = {3509}, pages = {152--166}, url = {http://dx.doi.org/10.1007/11496915_12}, doi = {http://dx.doi.org/10.1007/11496915_12} }
@article{iyengarS04:queue, author = {Iyengar, G. and Sigman, K.}, title = {Exponential penalty function control of loss networks}, journal = {Ann. Appl. Probab.}, year = {2004}, volume = {14}, number = {4}, pages = {1698--1740}, url = {http://dx.doi.org/10.1214/105051604000000936}, doi = {http://dx.doi.org/10.1214/105051604000000936} }
@article{iyengar05:robdyn, author = {Iyengar, G. N.}, title = {Robust dynamic programming}, journal = {Math. Oper. Res.}, year = {2005}, volume = {30}, number = {2}, pages = {257--280}, url = {http://dx.doi.org/10.1287/moor.1040.0129}, doi = {http://dx.doi.org/10.1287/moor.1040.0129} }
@article{iyengarC00:growth, author = {Iyengar, G. N. and Cover, T. M.}, title = {Growth optimal investment in horse race markets with costs}, journal = {IEEE Trans. Inform. Theory}, year = {2000}, volume = {46}, number = {7}, pages = {2675--2683}, url = {http://dx.doi.org/10.1109/18.887881}, doi = {http://dx.doi.org/10.1109/18.887881} }
@article{ketsI11:extreme, author = {Kets, W. and Iyengar, G. and Sethi, R. and Bowles, S.}, title = {Extremal inequality in stable networks}, journal = {Games and Economic Behavior}, year = {2011}, volume = {73}, pages = {215--226} } |