Publications

2011

  • 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 alpha-points and alpha-speeds. 10th Workshop on Models and Algorithms for Planning and Scheduling Problems. MAPSP 2011. [BibTeX]

2010

2009

2008

2007

2006

2005 and before

  • Growth optimal investment in horse race markets with costs. IEEE Trans. Info. Theory, 46(7), pp. 2675-1683, 2000. [BibTeX]

Cuts for mixed 0-1 conic programming
Çezik, M.T. and Iyengar, G.
Math. Program., 2005, Vol. 104 (1, Ser. A), pp. 179-202
[BibTeX] [DOI]

@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}
}

Fast First-Order Methods for Stable Principal Component Pursuit
Aybat, N.S. and Goldfarb, G. Iyengar, G.
Under review in SIAM J. Optim. 2011
[BibTeX]

@unpublished{aybatGI11:NSA,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 SIAM J. Optim.}
}

A first-order penalty method for compressed sensing
Aybat, N.S. and Iyengar, G.
SIAM J. Optim., 2011, Vol. 21 (1), pp. 287-313
[BibTeX]

@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}
}

A first-order augmented Lagrangian method for compressed sensing
Aybat, N.S. and Iyengar, G.
Under review in SIAM J. Optim., 2010
[BibTeX]

@unpublished{aybatI10:FAL,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 SIAM J. Optim.}
}

Unified Approach for Minimizing Composite Norms.
Aybat, N.S. and Iyengar, G.
Under review in Math. Prog. Ser. A, 2010
[BibTeX]

@unpublished{aybatI10:FALC,
  author = {Aybat, N. S. and Iyengar, G.},
  title = {Unified Approach for Minimizing Composite Norms.},
  year = {2010},
  note = {Under review in Math. Prog. Ser. A}
}

Approximating fractional packings and coverings in O(1/ iterations
Bienstock, D. and Iyengar, G.
SIAM J. Comput., 2006, Vol. 35 (4), pp. 825-854 (electronic)
[BibTeX] [DOI]

@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}
}

Solving fractional packing problems in O^1/ iterations
Bienstock, D. and Iyengar, G.
ACMIn Proceedings of the 36th Annual ACM Symposium on Theory of Computing, 2004, pp. 146-155 (electronic)
[BibTeX] [DOI]

@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}
}

An Axiomatic Approach To Systemic Risk
Chen, C., Iyengar, G. and Moallemi, C.C.
Under review in Management Science
[BibTeX]

@unpublished{chenIM11:systemic,
  author = {Chen, C. and  Iyengar, G. and Moallemi, C. C.},
  title = {An Axiomatic Approach To Systemic Risk},
  note = {Under review in Management Science}
}

Robust portfolio management
Erdo?an, E., Goldfarb, D. and Iyengar, G.
Computational Finance, 2008, Vol. 11 (4), pp. 71-98
[BibTeX]

@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}
}

On two-stage convex chance constrained problems
Erdo?an, E. and Iyengar, G.
Math. Methods Oper. Res., 2007, Vol. 65 (1), pp. 115-140
[BibTeX] [DOI]

@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}
}

An active set method for single-cone second-order cone programs
Erdo?an, E. and Iyengar, G.
SIAM J. Optim., 2006, Vol. 17 (2), pp. 459-484 (electronic)
[BibTeX] [DOI]

@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}
}

Ambiguous chance constrained problems and robust optimization
Erdogan, E. and Iyengar, G.
Math. Program., 2006, Vol. 107 (1-2, Ser. B), pp. 37-61
[BibTeX] [DOI]

@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}
}

Robust portfolio selection problems
Goldfarb, D. and Iyengar, G.
Math. Oper. Res., 2003, Vol. 28 (1), pp. 1-38
[BibTeX] [DOI]

@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}
}

Robust convex quadratically constrained programs
Goldfarb, D. and Iyengar, G.
Math. Program., 2003, Vol. 97 (3, Ser. B), pp. 495-515
[BibTeX] [DOI]

@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}
}

Universal investment in markets with transaction costs
Iyengar, G.
Math. Finance, 2005, Vol. 15 (2), pp. 359-371
[BibTeX] [DOI]

@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}
}

Cutting planes for mixed 0-1 semidefinite programs
Iyengar, G. and Çezik, M.T.
SpringerIn Integer programming and combinatorial optimization (Utrecht, 2001), 2001, Vol. 2081, pp. 251-263
[BibTeX] [DOI]

@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}
}

Energy aware scheduling: minimizing total energy cost and completion time by alpha-points and alpha-speeds
Iyengar, G., Carrasco, R. and Stein, C.
In 10th Workshop on Models and Algorithms for Planning and Scheduling Problems (MAPSP), 2011
[BibTeX]

@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}
}

Inverse conic programming with applications
Iyengar, G. and Kang, W.
Oper. Res. Lett., 2005, Vol. 33 (3), pp. 319-330
[BibTeX] [DOI]

@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}
}

Parametric network flows and adword auctions
Iyengar, G. and Kumar, A.
OPTIMA, 2010, Vol. 82, pp. 8-9
[BibTeX]

@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}
}

Optimal procurement mechanisms for divisible goods with capacitated suppliers
Iyengar, G. and Kumar, A.
Rev. Econ. Des., 2008, Vol. 12 (2), pp. 129-154
[BibTeX] [DOI]

@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}
}

An equilibrium model for matching impatient demand with patient supply over time
Iyengar, G. and Kumar, A.
In Proceedings of the 8th annual ACM Conference on Electronic Commerce (EC07), 2007
[BibTeX]

@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}
}

Characterizing optimal adword auctions.
Iyengar, G. and Kumar, A.
In Proceedings of Second Workshop on Sponsored Search, 2006
[BibTeX]

@inproceedings{iyengarK06:adwords,
  author = {Iyengar, G. and Kumar, A.},
  title = {Characterizing optimal adword auctions.},
  booktitle = {Proceedings of Second Workshop on Sponsored Search},
  year = {2006}
}

A behavioral finance-based tick-by-tick model for price and volume
Iyengar, G. and Ma, A. K-C.
J. Comput. Finance, 2010, Vol. 14 (1), pp. 57-80
[BibTeX]

@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}
}

Robust pension fund management
Iyengar, G. and Ma, A. K-C.
Journal of Asset Management 11 pp. 163-177, 2010.
[BibTeX]

@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}
}

Cash Flow Matching: A Risk Management Approach
Iyengar, G. and Ma, A. K.-C.
North American Actuarial Journal, 2009, Vol. 13 (3), pp. 370-378
[BibTeX]

@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}
}

Feasible and accurate algorithms for covering semidef- inite programs
Iyengar, G., Phillips, D. and Stein, C.
In 12th Scandinavian Symposium and Workshops on Algorithms and Data Structures (SWAT), 2010
[BibTeX]

@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}
}

Approximating semidefinite packing programs
Iyengar, G., Phillips, D.J. and Stein, C.
SIAM J. Optim., 2011, Vol. 21 (1), pp. 231-268
[BibTeX] [DOI]

@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}
}

Approximation algorithms for semidefinite packing problems with applications to MAXCUT and graph coloring
Iyengar, G., Phillips, D.J. and Stein, C.
SpringerIn Integer programming and combinatorial optimization, 2005, Vol. 3509, pp. 152-166
[BibTeX] [DOI]

@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}
}

Exponential penalty function control of loss networks
Iyengar, G. and Sigman, K.
Ann. Appl. Probab., 2004, Vol. 14 (4), pp. 1698-1740
[BibTeX] [DOI]

@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}
}

Robust dynamic programming
Iyengar, G.N.
Math. Oper. Res., 2005, Vol. 30 (2), pp. 257-280
[BibTeX] [DOI]

@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}
}

Growth optimal investment in horse race markets with costs
Iyengar, G.N. and Cover, T.M.
IEEE Trans. Inform. Theory, 2000, Vol. 46 (7), pp. 2675-2683
[BibTeX] [DOI]

@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}
}

Extremal inequality in stable networks
Kets, W., Iyengar, G., Sethi, R. and Bowles, S.
Games and Economic Behavior, 2011, Vol. 73, pp. 215-226
[BibTeX]

@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}
}