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Journal Publications

Publications in 2016

Gotoh J. and S. Uryasev. Support Vector Machines Based on Convex Risk Functions and General Norms. Annals of Operations Research. Published Online. September 2016, 1-28 (download PDF file).

Huang W.-Q., Zhuang X.-T., Yao, S. and S. Uryasev. A financial network perspective of financial institutions’ systemic risk contributions. Physica A: Statistical Mechanics and its Applications. Vol. 456, 2016, 183–196. (download PDF file).

Davis J.R. and S. Uryasev. Analysis of Tropical Storm Damage using Buffered Probability of Exceedance. Natural Hazards, 2016. (download PDF file).

Mafusalov A. and S. Uryasev. CVaR (Superquantile) Norm: Stochastic Case. European Journal of Operational Research, 249, 2016, 200–208. (download PDF file).

Publications in 2015

Ergashev, B., Pavlikov, K., Uryasev, S., and E. Sekeris. Estimation of Truncated Data Samples in Operational Risk Modeling. Journal of Risk and Insurance, 83(3), 2016, 613–640. (download PDF file).

Gotoh J. and S. Uryasev. Two Pairs of Families of Polyhedral Norms Versus Lp-Norms: Proximity and Applications in Optimization. Mathematical Programming, 2015, April 08, 1-41. (download PDF file).

Publications in 2014

Tsyurmasto, P.,  Zabarankin, M. and S. Uryasev. Value-at-risk Support Vector Machine: Stability to Outliers. Journal of Combinatorial Optimization, 28(1), 2014, 218–232 (download PDF file).

Pavlikov, K. and S. Uryasev. CVaR Norm and Applications in Optimization. Optimization Letters, 8(7), 2014, 1999–2020. (download PDF file).

Publications in 2013

Veremyev A., Tsyurmasto P., Uryasev S. and R.T. Rockafellar. Calibrating Probability Distributions with Convex-Concave-Convex Functions: Application to CDO Pricing. Computational Management Science, 2013, 1-24. (download PDF file).

Rockafellar R.T. and S. Uryasev. The Fundamental Risk Quadrangle in Risk Management, Optimization, and Statistical Estimation. Surveys in Operations Research and Management Science, 18, 2013. (download PDF file).

Publications in 2012

Chun S.Y., Shapiro A., and S. Uryasev. Conditional Value-at-Risk and Average Value-at-Risk: Estimation and Asymptotics. Operations Research, 60(4), 2012, 739-756. (download PDF file).

Veremyev, A., Tsyurmasto, P., and S. Uryasev. Optimal Structuring of CDO contracts: Optimization Approach. Journal of Credit Risk, 8(4), Winter 2012/13, (133–155). (download PDF file).

Kalinchenko, K., Uryasev, S., and R.T. Rockafellar. Calibrating Risk Preferences with Generalized CAPM Based on Mixed CVaR Deviation. The Journal of Risk (Published Online), 15(1), 2012, 45-70 (download PDF file).

Publications in 2011

Kalinchenko, K., Veremyev, A., Boginski, V., Jeffcoat, D.E. and S. Uryasev. Robust Connectivity Issues in Dynamic Sensor Networks for Area Surveillance under Uncertainty. Pacific Journal of Optimization (Online Journal). 7(2), 2011, 235-248 (Download PDF file or http://www.ybook.co.jp/online2/oppjo/vol7/p235.html).

Krokhmal, P., Zabarankin, M., and S. Uryasev. Modeling and Optimization of Risk. Surveys in Operations Research and Management Science, 16 (2), 2011, 49-66 (download PDF file).

Ait-Sahlia, F. Wang, C-J., Cabrera, V., Uryasev S., and C. Fraisse. Optimal Crop Planting Schedules and Financial Hedging Strategies Under ENSO-based Climate Forecasts. Annals of Operations Research, 2011; published online 2009 (download PDF file).

Ryabchenko, V. and S. Uryasev. Pricing Energy Derivatives by Linear Programming: Tolling Agreement Contracts. Journal of Computational Finance. Vol 14, No. 3, Spring 2011 (download PDF_file).

Publications in 2010

Uryasev, S., Theiler, U. and G. Serraino. Risk Return Optimization with Different Risk Aggregation Strategies. Journal of Risk Finance. Vol. 11, No. 2, 2010, 129-146 (download PDF file).

Publications in 2009

Boyko, N., Turko T., Boginski, V., Jeffcoat D.E., Uryasev, S., Zrazhevsky, G., and P. Pardalos. Robust Multi-Sensor Scheduling for Multi-Site Surveillance. Journal of Combinatorial Optimization. Published online December 2009 (download PDF file).

Sorokin, A., Boyko, N., Boginski, V., Uryasev, S., and P. Pardalos. Mathematical Programming Techniques for Sensor Networks. Algorithms, No. 2, 2009, 565-581 (download PDF file).

Richard L. Francis and Timothy J. Lowe. Tradeoff Analysis of Cost and Aggregation Error for Some Location Models. Studies in Locational Analysis, 17:3-27, 2009.

S. Agrali and J. Geunes. Solving Knapsack Problems with S-Curve Return Functions. European Journal of Operational Research, 193:605-615, 2009.

A.K. Andreas and J.C. Smith. Decomposition Algorithms for the Design of a Non-simultaneous Capacitated Evacuation Tree Network. Networks, 53(2):91-103, 2009.

I.S. Bakal and J. Geunes. Order Timing Strategies in a Single-Supplier, Multi-Retailer System. Accepted for publication in the International Journal of Production Research, 2009.

I.S. Bakal and J. Geunes. Analysis of Order Timing Tradeoffs in Multi-Retailer Supply Systems. International Journal of Production Research, 47(11):2841-2863, 2009.

A. Chinchuluun, E. Rentsen, and P. Pardalos. A Novel Approach for Nonconvex Optimal Control Problems.Optimization, 58(5-6), 2009.

C.W. Commander, A. Arulselvan, L. Elefteriadou, and P. Pardalos. Detecting Critical Nodes in Sparse Graphs. Computers & Operations Research, 36(7):2193-2200, 2009.

T.G. Eschenbach, N. Lewis, and J.C. Hartman. Waiting Cost Models for Real Options. The Engineering Economist. 54(1):1-21, 2009.

Y.J. Fan, W. Chaovalitwongse, C.C. Liu, R.C. Sachdeo, L.D. Iasemidis, and P. Pardalos. Optimisation and Data Mining Techniques for the Screening of Epileptic Patients. Int. J. Bioinformatics Research and Applications, 5(2):187-196, 2009.

J. Geunes, Y. Merzifonluo lu, and H.E. Romeijn. Capacitated Procurement Planning with Price-Sensitive Demand and General Concave Revenue Functions. European Journal of Operational Research, 194(2):390-405, 2009.

M.R. Guarracino, S. Cucinielo, and P. Pardalos. Classification and Characterization of Gene Expression Data with Generalized Eigenvalues. Journal of Optimization Theory and Applications, 141(3):533-545, 2009.

J.C. Hartman and K. Laksana. Designing and Pricing Menus of Extended Warranty Contracts. Naval Research Logistics, 56:199-214, 2009.

D. Henderson and J.C. Smith. An Exact Reformulation-Linearization Technique Algorithm for Solving a Parameter Extraction Problem Arising in Compact Thermal Models. Optimization Methods and Software, 2009.

I.S. Kotsireas, C. Koukouvinos, P. Pardalos, and O.V. Shylo. Periodic Complementary Binary Sequences and Combinatorial Optimization Algorithms. Journal of Combinatorial Optimization, Forthcoming 2009.

P. Krokhmal and P. Pardalos. Random Assignment Problems. European Journal of Operational Research, 194(1):1-17, 2009.

C.C. Liu, W., A. Chaovalitwongse, B. Uthman, and P. Pardalos. Dynamical Feature Extraction from Brain Activity Time Series. In Encyclopedia of Data Warehousing and Mining (2nd Edition, John Wang, Editor) IDEA Group Inc., 2:729-735, 2009.

Y. Lou, Y. Yin, and S. Lawphongpanich. Robust Approach to Discrete Network Designs with Demand Uncertainty. Transportation Research Record, in press, 2009.

Y. Marinakis, A. Migdalas, and P. Pardalos. Multiple Phase Neighborhood Search – GRASP Based on Lagrangean Relaxation, Random Backtracking Lin-Kernighan and Path Relinking for the TSP. Journal of Combinatorial Optimization, 17(2):134-156, 2009.

E.C. Mofya and J.C. Smith. A Dynamic Programming Algorithm for the Generalized Minimum Filter Placement Problem on Tree Structures. INFORMS Journal on Computing, 21(2):322-332, 2009.

S.P. Nair, D.S. Shiau, J.C. Principe, L.D. Iasemidis, P. Pardalos, W.N. Norman, P.R. Carney, K. Kelly, and J.C. Sackellares. An Investigation of EEG Dynamics in an Animal Model of Temporal Lobe Epilepsy Using the Maximum Lyapunov Exponent. Experimental Neurology, 216:115-121, 2009.

P. Pardalos, O. Shylo, and A. Vazakopoulos. Solving Job Scheduling Problems Utilizing the Properties of Backbone and Big Valey. Computational Optimization and Applications, Forthcoming 2009.

T.C. Perry and J.C. Hartman. An Approximate Dynamic Programming Approach to Solving a Dynamic, Stochastic Multiple Knapsack Problem. International Transactions on Operational Research, 16:347–359, 2009.

C. Rainwater, J. Geunes, and H.E. Romeijn. The Generalized Assignment Problem with Flexible Jobs.Discrete Applied Mathematics, 157(1):49-67, 2009.

S. Rebennack, J. Kallrath, and P. Pardalos. Column enumeration based decomposition techniques for a class of non-convex MINLP problems. Journal of Global Optimization, 43(2-3):277-297, 2009.

S. Sabesan, N. Chakravarthy, K. Tsakalis, P. Pardalos, and L. Iasemidis. Measuring Resetting of Brain Dynamics at Epileptic Seizures: Application of Global Optimization and Spatial Synchronization Techniques.Journal of Combinatorial Optimization, 17(1):74-97, 2009.

G. Sahin and R.K. Ahuja. Lower Bounding Techniques for the Degreeconstrained Network Design Problem.Networks, To appear in 2009.

T.C. Sharkey, H.E. Romeijn, and J. Geunes. A Class of Nonlinear Nonseparable Continuous Knapsack and Multiple-Choice Knapsack Problems. Accepted for publication in Mathematical Programming, 2009.

O. eref, R.K. Ahuja, and J.B. Orlin. Incremental Network Optimization: Theory and Algorithms. Operations Research, 2009.

O. Seref, O.E. Kundakcioglu, O.A. Prokopyev, and P. Pardalos. Selective Support Vector Machines. Journal of Combinatorial Optimization, 17(1):3-30, 2009.

J.C. Smith. Organization of the NCAA Baseball Tournament. IMA Journal of Management Mathematics, 20(2):213-232, 2009.

J.C. Smith, D. Henderson, A. Ortega, and J. DeVoe. A Parameter Optimization Heuristic for a Temperature Estimation Model. Optimization and Engineering, 10(1):19-42, 2009.

Z. Song, Y. Yin, and S. Lawphongpanich. Nonnegative Pareto-Improving Tolls with Multiclass Network Equilibria. Transportation Research Record, in press, 2009.

Publications in 2008

R.K. Ahuja and D.S. Hochbaum. Solving Linear Cost Dynamic Lot Sizing Problems in O(n log n) Time.Operations Research, 56:255-261, 2008.

R.K. Ahuja, K.C. Jha, and G. Sahin. New Approaches for Solving the Block-Totrain Assignment Problem.Networks, 51(1):48-62, 2008.

F. AitSahlia, M. Goswami, and S. Guha. American Option Pricing under Stochastic Volatility: An Empirical Evaluation. Computational Management Science, 2008.

F. AitSahlia, M. Goswami, and S. Guha. American Option Pricing under Stochastic Volatility: An Efficient Numerical Approach. Computational Management Science, 2008.

D. Aleman, A. Kumar, R.K. Ahuja, H.E. Romeijn, and J.F. Dempsey. Neighborhood Search Approaches to Beam Orientation Optimization in Intensity Modulated Radiation Therapy Treatment Planning. Journal of Global Optimization, 42(4):587-607, 2008.

A.K. Andreas, J.C. Smith, and S. Küçükyavuz. A Branch-and-Price-and-Cut Algorithm for Solving the Reliable h-paths Problem. Journal of Global Optimization, 42(4):443-466, 2008.

A.K. Andreas and J.C. Smith. Mathematical Programming Algorithms for Two-Path Routing Problems with Reliability Constraints. INFORMS Journal on Computing, 20(4):553-564, 2008.

A. Arulsevan, G. Baourakis, V. Boginski, E. Korchina, and P. Pardalos. Analysis of Food Industry Market Using Network Approaches. British Food Journal, 110(9):916-928, 2008.

I.S. Bakal, J. Geunes, and H.E. Romeijn. Market Selection Decisions for Inventory Models with Price-Sensitive Demand. Journal of Global Optimization 41(4):633-657, 2008.

G. Baourakis, M. Conisescu, G. Van Dijk, C. Zopounidis, and P. Pardalos. A Multicriteria Approach for Rating the Credit Risk of Financial Institutions. Computational Management Science, Forthcoming 2008.

S. Busygin, O. Prokopyev, and P. Pardalos. Biclustering in Data Mining. Computers & Operations Research, 35(9):2964-2987, 2008.

W. Chaovalitwobgse and P. Pardalos. On the Time Series Support Vector Machine Using Dynamic Time Warping Kernel for Brain Activity Classification. Cybernetics and Systems Analysis, 44(1):125-138, 2008.

C.W. Commander and P. Pardalos. A Combinatorial Algorithm for the TDMA Message Scheduling Problem.Computational Optimization and Applications, Forthcoming 2008.

C.W. Commander, P. Pardalos, V. Ryabchenko, O. Shylo, S. Uryasev, and G. Zrazhevsky. Jamming Communication Networks under Complete Uncertainty.Optimization Letters, 2(1):53-70, 2008.

S. Dey and J.-P. P. Richard. Facets of Two-Dimensional Infinite Group Problems. Mathematics of Operations Research, 33(1):140-166, 2008.

M. Garg and J.C. Smith. Models and Algorithms for the Design of Survivable Networks with General Failure Scenarios. Omega, 36(6):1057-1071, 2008.

P. Georgiev, P. Pardalos, and Altannar Chinchuluun. Localization of Minimax Points. Journal of Global Optimization, 40(1-3):489-494, 2008.

F.C. Gomes, C.N. Meneses, P. Pardalos, Gerardo Valdisio R., and Viana. A Parallel Multistart Algorithm for the Closest String Problem. Computers & Operations Research, 35(11):3636-3643, 2008.

Y. Hamdouch and S. Lawphongpanich. Schedule-Based Transit Assignment Model with Travel Strategies and Capacity Constraints. Transportation Research: Part B: Methodological, 42(7-8):663–684, 2008.

K.M. Higgins, S. Lawphongpanich, J.F. Mahoney, and Y. Yin. Evaluating Airline Service Quality Using Data Envelopment Analysis. Transportation Research Record: Journal of the Transportation Research Board, 2052:1-8, 2008.

M.J. Hirsch, P. Pardalos, and M.G.C. Resende. Solving Systems of Nonlinear Equations with Continuous GRASP. Nonlinear Analysis Series B: Real World Applications, Forthcoming 2008.

M. Lawley, V. Parmeshwaran, J.-P. P. Richard, A. Turkcan, A. Dalal and D.Ramcharan. A Time-Space Scheduling Model for Optimizing Recurring Bulk Railcar Deliveries. Transportation Research Part B: Methodological, 42:438-454, 2008.

N. Lewis, T.G. Eschenbach, and J.C. Hartman. Can We Capture the Value of Option Volatility Submitted to The Engineering Economist, 53(3):230-258, 2008.

Y. Li and J.-P. P. Richard. Cook, Kannan and Schrijver’s Example Revisited. Discrete Optimization, 5(4):724-734, 2008.

C. Lim, H. Sherali, and S. Uryasev. Portfolio Optimization by Minimizing Conditional Value-at-Risk via Nondifferentiable Optimization. Computational Optimization and Applications, Published online, 2008.

C. Liu, P. Pardalos, W.A. Chaovalitwongse, D. Shiau, G. Ghacibeh, W. Suharitdamrong, and J.C. Sackellares. Quantitative Complexity Analysis in Multi-Channel Intracranial EEG Recordings Form Epilepsy Brains. Journal of Combinatoria optimization, 15(3):276-286, 2008.

J. Liu, C. Men, V.E. Cabrera, S. Uryasev, and C.W. Fraisse. Optimizing Crop Insurance under Climate Variability. Journal of Applied Meteorology and Climatology, 47(10):2572-2580, 2008.

L. Lopes, M. Aronson, G. Carstensen, and J.C. Smith. Optimization Support for Senior Design Project Assignments, Interfaces, 38(6):448-464, 2008.

C.N. Meneses, P. Pardalos, and M.A. Ragle. Asynchronous Teams for Probe Selection Problems. Discrete Optimization, 5(1):74-87, 2008.

L. A. Miller, Y. Li, J.-P. P. Richard. New Families of Facets of Finite and Infinite Group Problems from Approximate Lifting. Naval Research Logistics, 55:172-191, 2008.

M. Min and P. Pardalos. OMEGa: An Optimistic Most Energy Gain Method for Minimum Energy Multicasting in Wireless Ad Hoc Networks. Journal of Combinatorial Optimization, 16(1):81-95, 2008.

A. Nahapetyan and P. Pardalos. Adaptive Dynamic Cost Updating Procedure for Solving Fixed Charge Network Flow Problems. Computational Optimization and Applications, 39(1):37-50, 2008.

A. Nahapetyan and P. Pardalos. A Bilinear Reduction Based Algorithm for Solving Capacitated Multi-Item Dynamic Pricing Problems. Computers & Operations Research, 35(5):1601-1612, 2008.

S.P. Nair, P.I. Jukkola, M. Quigley, A. Wilberger, D. Shiau, J.C. Sackellares, P. Pardalos, and K.M. Kelly. Absence Seizures as Resetting Mechanisms of Brain Dynamics. Cybernetics and Systems Analysis, 44(5):664 – 672, 2008.

A. Narisetty, J.-P. P. Richard, D. Ramcharan, D. Murphy, G. Minsk, and J. Fuller. An Optimization Model for Empty Freight Car Assignment at Union Pacific Railroad. Interfaces, 38(2):89-102, 2008.

P. Pardalos, O.A. Prokopyev, O.V Shylo, and V.P. Shylo. Global Equilibrium Search Applied to the Unconstrained Binary Quadratic Optimization Problem. Optimization Methods and Software, 23(1):129-140, 2008.

P. L. Rocha, M. Ravetti, G. Robson Mateus, and P. Pardalos. Exact Algorithms for a Scheduling Problem with Unrelated Parallel Machines and Sequence and Machine-Dependent Setup Times. Computers & Operations Research, 35(4):1250-1264, 2008.

R.T. Rockafellar, S. Uryasev, and M. Zabarankin. Risk Tuning With Generalized Linear Regression.Mathematics of Operations Research, 33(3):712-729, 2008.

S. Rebennack, A. Arulselvan, L. Elefteriadou, and P. Pardalos. Complexity Analysis for Maximum Flow Problems with Arc Reversals. Journal of Combinatorial Optimization, Forthcoming 2008.

H.D. Sherali and J.C. Smith. Two-Stage Stochastic Risk Threshold and Hierarchical Multiple Risk Problems: Models and Algorithms. Mathematical Programming, 120(2):403-427, 2008.

C.B. Smith and C. Cardenas-Lailhacar. Lesser Known Energy Sources: A Study of Biogas and Tired-Based Fuel. Cogeneration and Distributed Generation Journal, 23(2):35-72, 2008.

K. Taaffe, J. Geunes, and H.E. Romeijn. Target Market Selection with Demand Uncertainty: The Selective Newsvendor Problem. European Journal of Operational Research, 189(3):987-1003, 2008.

B. Vaidyanathan, R.K. Ahuja. and J.B. Orlin. The Locomotive Routing Problem. Transportation Science, 42(4):492-507, 2008.

D. Vassiloyannis and P. Pardalos. Morphological Variations on Surface Topography of YBa2Cu3O7 Thin Films on SrTiO3, with respect to the Substrate Misorientation Direction. Physica C: Superconductivity, 468(3):147-152, 2008.

P. Xanthopoulos, K.M. Heilman, V. Drago, P. Pardalos, P.S. Foster, and F. Skidmore. An Ambulatory Persistence Power Curve: Motor Planning Affects
Ambulatory Persistence in Parkinson’s Disease. Neuroscience Letters, 448(1):105-109, 2008.

B. Yang and J. Geunes. Independent Inventory Control in Multi-Component Assemble-to-Order Systems.Accepted for publication in International Journal of Operational Research, 2008.

B. Yang and J. Geunes. Predictive-Reactive Scheduling on a Single Resource with Uncertain Future Jobs.European Journal of Operational Research, 189(3):1267-1283, 2008.

J. Yeon, L. Elefteriadou, and S. Lawphongpanich, Travel Time Estimation on a Freeway Using Discrete Time Markov Chains. Transportation Research Part B: Methodological, 42:325–338, 2008.

Y. Yin, S. Lawphongpanich, and Y. Lou. Estimating Investment Requirement for Maintaining and Improving Highway Systems. Transportation Research Part C: Emerging Technologies, 16(2):199–211, 2008.

Y. Yin and S. Lawphongpanich. Alternative Marginal-Cost Pricing for Road Networks. Netnomics, 10(1):77-83, 2008.

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