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 b.rustem@imperial.ac.uk

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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 (2006) – BR Special Issue

Computational Management Science (2014) – BR 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)

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Inaugural Lecture: Optimisation and Optimism

Research Interests

optimality, sensitivity, robustness

• 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

Recent Journal Special Issues:

· Computational Management Science V.6 N.1-2, 2019

· Optimization Methods & Software V.32, N.4-6, 2017

Books & Recent Papers

Books:

• Projection Methods in Constrained Optimisation and Applications to Optimal Policy Decisions, Lecture Notes in Control and Information Sciences 31, (Springer, 1981)
• Algorithms for nonlinear programming and multiple objective decisions (J Wiley, 1998)
• Algorithms for Worst-Case Design & Applications to Risk Management (Princeton University Press, 2003)

Recent Papers - Selected with a ‘forgetting factor’:

• A weighted Mirror Descent algorithm for nonsmooth convex optimization problem (JOTA 2016)
• Worst-case robust Omega ratio (EJOR, 2014)
• Robust portfolio optimization with copulas (EJOR, 2014)
• Optimizing the Omega ratio using linear programming (J Comp Fin, 2014)
• Distributionally robust joint chance constraints with second-order moment information (Math Prog, 2013)
• Pessimistic Bilevel Optimization (SIOPT, 2013)
• Welfare-maximizing correlated equilibria using Kantorovich polynomials with sparsity (JOGO, 2013)
• Robust Markov Decision Processes (Math OR, 2013)
• Sum of Non-Concave Utilities Maximization for MIMO Interference Systems (IEEE TWC, 2013)
• Worst-Case Value at Risk of Nonlinear Portfolios (Man Sci, 2013)
• International portfolio management with affine policies (EJOR, 2012)
• Robust international portfolio management (CMS, 2012)
• Robust hedging strategies (Comp & OR, 2012)
• Computation of Correlated Equilibrium with Global-Optimal Expected Social Welfare (JOTA, 2012)
• A constraint sampling approach for multi-stage robust optimization (Automatica, 2012)
• Multi-resource allocation in stochastic project scheduling (AOR, 2012)
• Robust resource allocations in temporal networks (Math Prog, 2012)
• Robust portfolio optimization: a conic programming approach (COAP, 2012)
• Robust optimization of currency portfolios (Comp Fin, 2011)
• Risky traveling salesman problem (EJOR, 2011)
• A feasible point adaptation of the Blankenship and Falk algorithm for semi-infinite programming (OL, 2011)
• Switching Stepsize Strategies for Sequential Quadratic Programming (JOTA, 2011)
• Robust portfolio optimization with derivative insurance guarantees (EJOR, 2011)
• Partitioning procedure for polynomial optimization (JOGO, 2010)
• An Interior-Point Algorithm for Nonlinear Minimax Problems (JOTA, 2010)
• Maximizing the net present value of a project under uncertainty (EJOR, 2010)
• Global optimization of multi-parametric MILP problems (JOGO, 2009)
• A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems (CMS, 2009)
• Dynamic mean-variance portfolio analysis under model risk (Comp Fin, 2009)
• An Algorithm for the Global Optimization of a Class of Continuous Minimax Problems (JOTA, 2009)
• Convergence analysis of a global optimization algorithm using stochastic differential equations (JOGO, 2009)
• Global optimization of robust chance constrained problems (JOGO, 2009)
• Mean and variance optimization of non-linear systems and worst-case analysis (COAP, 2009)
• A smoothing algorithm for finite min-max-min problems (OL, 2009)
• A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems (JOGO, 2009)
• An algorithm for the global optimization of a class of continuous minimax problems (JOTA, 2009)
• Global Optimisation of Pessimistic Bi-Level Problems (AMS, 2009)
• A multi-parametric programming approach for constrained dynamic programming problems (OL, 2008)
• Bound-based decision rules in multistage stochastic programming (Kybernetika, 2008)
• Global optimization of process conditions in batch thermal sterilization of food (J Food Eng, 2008)
• A mixed integer programming model for multistage mean-variance post-tax optimization (EJOR, 2008)
• A pricing mechanism for resource management in grid computing (Comp Econ, 2008)
• An interior point algorithm for continuous minimax: implementation and computation (OMS, 2008)
• Convergence of an interior point algorithm for continuous minimax (JOTA, 2008)
• Parametric global optimisation for bilevel programming (JOGO, 2008)
• Robust optimal decisions with imprecise forecasts (CSDA, 2007)
• Worst-case robust decisions for multi-period mean-variance portfolio optimization (EJOR, 2007)
• Computational assessment of nested benders and augmented Lagrangian decomposition for mean-variance multistage stochastic problems (INFORMS J Comp, 2007)
• Stochastic optimization and worst-case analysis in monetary policy design (Comp Econ, 2007)
• Linearly constrained global optimization and stochastic differential equations (JOGO, 2006)
• Globally convergent interior-point algorithm for nonlinear programming (JOTA, 2005)
• Simulation and optimization approaches to scenario tree generation (JEDC, 2004)
• Semi-infinite programming and applications to minimax problems (AOR, 2003)
• Robust min-max portfolio strategies for rival forecast and risk scenarios (JEDC, 2000)
• Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty (EJOR, 2000)
• An interior point algorithm for computing saddle points of constrained continuous minimax (AOR, 2000)
• An algorithm for constrained nonlinear optimization under uncertainty (Automatica, 1999)
• An algorithm for the inequality-constrained discrete min-max problem (SIOPT, 1998)
• Computing optimal multi-currency mean-variance portfolios (not so recent but still topical) (JEDC, 1995)

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 (2003-17 )
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

• Dr Chan Ahn
• Dr Ioannis Akrotirianakis
• Dr Kian Ping Chan
• Professor Nicos Christiofides
• Dr Raquel Fonseca
• Dr Nalan Gülpınar
• Professor Peter Harrison
• Dr Melendres Howe
• Dr Mihalis Kapsos
• Dr Polykseni - Magarita Kleniati
• Professor William Knottenbelt
• Dr Fook Kong
• Dr Daniel Kuhn
• Dr Rodrigo Lamas
• Professor Istvan Maros
• Dr Tetsuya Noguchi
• Dr Enitan Obasanjo
• Dr Nikos Papadakos
• Dr Panos Parpas
• Professor Louis-F Pau
• Professor Stratos Pistikopoulos
• Dr Angelos Tsoukalas
• Dr George Tzallas-Regas
• Dr Phebe Vayanos
• Dr Wolfram Wiesemann
• Dr Kai Ye
• Dr Stan Zakovic
• Dr Steve Zymler
• Dr Duy Luong