Professor Berç Rustem

Department of Computing
Imperial College
180 Queen's Gate
LONDON SW7 2AZ
UK

 
 

tel:
fax:
e-mail:

+44 (0)20 7594 8345
+44 (0)20 7581 8024
br@doc.ic.ac.uk


 

Professor of Computational Methods in Operations Research

COG:
Computational Optimisation Group 
QUADS:
Quantitative Analysis & Decision Science 
AESOP:
Analysis, Engineering, Simulation & Optimization of Performance

APMOD 2014: Robust Optimisation and its Guarantees

Society for Computational Economics (President 2001-2003)

Computational Economics - Special Issue

Computational Management Science - Special Issue

Lecture Notes (in PDF):

Operations Research: 343
1. Linear Programming
2. Integer Programming (IP SLIDES1, IP SLIDES2) Example
3. Games Duality

Tutorials: LP,

 

Game Theory

Integer Programming

1.      Questions (answers)

1.                            Questions (answers)

2.      Questions (answers)

 

3.      Questions (answers)

2.                            Questions (answers)

Computing for Optimal Decisions: 477
1. Introduction
2. Primal Dual Interior Point Algorithms for LP

3. Quadratic Programming Algorithms & Portfolio Optimisation

4. SQP and IP Algorithms for NLP
5. Algorithms for Games; Equilibria & Nonlinear Systems of Equations
6. Nonlinear Programming Algorithms for Convex Constaints

 

Tutorial

Questions (answers)

Questions (answers)

Questions (answers)

Questions (answers)

Questions (answers)

Questions (answers)

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Questions (answers)

 

Inaugural Lecture: Optimisation and Optimism

Research Interests

 

optimality, sensitivity, robustness

 

multiple optima

saddlepoint

optimality

  • Algorithms and applications of linear, nonlinear & integer programming
  • Algorithms for games & min-max
  • Optimization of stochastic systems
  • Decision making & engineering design under uncertainty
  • Applications to defence, engineering, economics and finance
  • Multi-objective optimisation
  • Robust design & risk management
  • Numerical methods & algorithms for computer aided design

 

uncertainty & risk






monkey

riskreturn

scenariotree

Selected (with a ‘forgetting factor’) Recent Books & Papers

Journals & Book Series

  1. Automatica (2003-15)
  2. Computational Management Science (2002-12)
  3. Journal of Economic Dynamics & Control (1987-)
  4. Computational Economics (1988- )
  5. Journal of Global Optimization (2003- )
  6. Optimization Letters (2003- )
  7. Proceedings of the Royal Society A (2008-14)
  8. Adv. in Computational Economics (1989 - )
  9. Adv. in Computational Management Science (2002 -)

Colleagues & Research Students