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

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Professor of Computational Methods in Operations Research

QUADS: Quantitative Analysis & Decision Science
AESOP: Analysis, Engineering, Simulation & Optimization of Performance

Society for Computational Economics (President 2001-2003)

Computational Economics - Special Issue

DTI PROPOSAL on HOUSEHOLD EMISSIONS

HPC for Robust Decisions, Risk Management in Engineering & Computational Finance:

• Component Software Architecture
• Real Options Utility Based Computations for Investment Project Decision making with Risk
• References

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

Selected Recent Books & Papers

• Algorithms for worst-case design and applications to risk management (contents)
• Algorithms for nonlinear programming and multiple objective decisions
• Computing optimal multi-currency mean-variance portfolios (not so recent but still topical) (TR/JEDC)
• Robust min-max bond portfolio strategies for rival forecast and risk scenarios
• Post-tax optimization with stochastic programming
• A globally convergent interior-point algorithm for general nonlinear programming problems
• An interior point algorithm for computing saddle points of constrained continuous minimax (TR/AOR)
• Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty
• Semi-infinite programming and applications to minimax problems (TR/AOR)
• A mixed integer programming model for multistage mean-variance post-tax optimization (TR/EJOR)
• Simulation and optimization approaches to scenario tree generation
• Multistage stochastic mean-variance portfolio analysis with transaction costs
• An algorithm for the global optimization of a class of continuous minimax problems (TR/JOTA)
• Mean and variance optimization of non-linear systems and worst-case analysis (TR/COA)
• Global optimization of robust chance constrained problems (TR/JOGO)
• Convergence of an interior point algorithm for continuous minimax (TR/JOTA)
• An interior point algorithm for continuous minimax: implementation and computation (TR/OMS)
• Computational assessment of nested Benders and augmented Lagrangian decomposition for mean-variance multistage stochastic problems (TR/Informs)
• Linearly constrained global optimization and stochastic differential equations (TR/JOGO)
• Global optimization of process conditions in batch thermal sterilization of food (TR/Food)
• Robust optimal decisions with imprecise forecasts (TR/CSDA)
• Worst-case robust decisions for multi-period mean-variance portfolio optimization (TR/EJOR)
• A global optimization algorithm for generalized semi-infinite,  minimax with coupled constraints and bi-level problems (TR/JOGO)
• Stochastic optimization and worst-case analysis in monetary policy design (TR/CE)
• Dynamic mean-variance portfolio analysis under model risk (TR/CF)
• An interior-point algorithm for nonlinear minimax problems (TR/JOTA)
• Global optimisation of pessimistic bi-level problems (TR/Fields)
• Switching stepsize strategies for SQP (TR/JOTA)
• Robust portfolio optimization with derivative insurance guarantees (TR/EJOR)
• A feasible point adaptation of the Blankenship and Falk algorithm for semi-infinite programming (TR/OL)

Journals & Book Series

1. Automatica
2. Computational Management Science
3. Journal of Economic Dynamics & Control
4. Computational Economics
5. Journal of Global Optimization
6. Optimization Letters
7. Proceedings of the Royal Society A
8. Advances in Computational Economics
9. Advances in Computational Management Science

Colleagues & Research Students in Related Research Areas

• Dr Chan Ahn
• Dr Ioannis Akrotirianakis
• Kian Ping Chan
• Professor Nicos Christiofides
• Raquel Fonseca
• Dr Nalan Gülpınar
• Professor Peter Harrison
• Dr Melendres Howe
• Mihailis Kapsos
• Polykseni - Magarita Kleniati
• 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
• Angelos Tsoukalas
• Dr George Tzallas-Regas
• Phebe Vayanos
• Wolfram Wiesemann
• Kai Ye
• Dr Stan Zakovic
• Steve Zymler