Publications
2009
Approximating semidefinite packing problems Under review in SIOPT
A first-order penalty method for compressed sensing Under review in SIOPT
Fast gradient descent method for mean-CVaR optimization Under review in OR Letters
2008
Inequality and Network Structure Under review in Journal of Economic Theory
A behavioral finance based tick-by-tick model for price and volume Under review in Computational Finance
Cash Flow management: a risk management approach Under review in North American Actuarial Journal
2007
Characterizing optimal adword auctions Under review in Operations Research
An equilibrium model for matching impatient demand with patient supply over time Proceedings of EC 2007
2006
Optimal Procurement Auctions for Divisible Goods with Capacitated Suppliers Review of Economic Design 12(2), pp. 129-154
Faster approximation for packing and covering problems SICOMP 35(4) pp. 825-854, 2006.
Robust pension fund management Under review in Operations Research
2005
Universal investment in markets with transaction costs Math. Finance 15(2), pp. 359-371, 2005
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.
Approximation algorithms for semidefinite packing problems with applications to MAXCUT and graph coloring IPCO XI (2005)
2004
Concurrent flows in
time STOC 2004
Robust portfolio management Computational Finance, 11(4), pp. 71-98, 2008
An active set method for single-cone second-order cone programs SIOPT 17(2), pp. 459-484, 2006.
Ambiguous chance constrained problems and robust optimization Math. Prog., Ser. B 107(1-2), pp. 37-61, 2006.
2003
Exponential penalty function based control policies for loss queues Ann. Appl. Prob. 14(4), pp.1698-1740, 2004.
Robust portfolio selection problems Math. Oper. Res. 28(1), pp.1-37, 2003.
Inverse conic optimization Oper. Res. Letters, 33(3), pp.319-330, 2005.
2002
Robust dynamic programming Math. Oper. Res. 30(2), pp.1-21, 2005.
Robust quadratically constrained programs Math. Programming, Ser. B, 97(3), pp.495-515, 2003
2001 and before
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
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
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