Publications





Journal Papers

Paula Rocha and Daniel Kuhn. A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs. Journal of Optimization Theory and Applications 158(2), 576-589 (2013)

Wolfram Wiesemann, Daniel Kuhn, and Berç Rustem. Robust Markov Decision Processes. Mathematics of Operations Research 38(1), 153–183 (2013)

Steve Zymler, Daniel Kuhn, and Berç Rustem. Worst-Case Value-at-Risk of Non-Linear Portfolios. Management Science 59(1), 172-188 (2013)

Steve Zymler, Daniel Kuhn, and Berç Rustem. Distributionally Robust Joint Chance Constraints with Second-Order Moment Information. Mathematical Programming 137(1-2), 167-198 (2013)

Dimitra Bampou and Daniel Kuhn. Polynomial Approximations for Continuous Linear Programs. SIAM Journal on Optimization 22(2), 628-648 (2012)

Paula Rocha and Daniel Kuhn. Multistage Stochastic Portfolio Optimization in Deregulated Electricity Markets Using Linear Decision Rules. European Journal of Operational Research 216(2), 397-408 (2012)

Simon A. Spacey, Wolfram Wiesemann, Daniel Kuhn, and Wayne Luk. Robust Software Partitioning with Multiple Instantiation. INFORMS Journal on Computing 24(3), 500-515 (2012)

Phebe Vayanos, Daniel Kuhn, and Berç Rustem. A Constraint Sampling Approach for Multistage Robust Optimization. Automatica 48(3), 459-471 (2012)

Wolfram Wiesemann, Daniel Kuhn, and Berç Rustem. Multi-Resource Allocation in Stochastic Project Scheduling. Annals of Operations Research 193(1), 193-220 (2012)

Wolfram Wiesemann, Daniel Kuhn, and Berç Rustem. Robust Resource Allocations in Temporal Networks. Mathematical Programming 135(1-2), 437-471 (2012)

Michael Hadjiyiannis, Paul Goulart, and Daniel Kuhn. An Efficient Method to Estimate the Suboptimality of Affine Controllers. IEEE Transactions on Automatic Control 56(12), 2841-2853 (2011)

Daniel Kuhn, Wolfram Wiesemann, and Angelos Georghiou. Primal and Dual Linear Decision Rules in Stochastic and Robust Optimization. Mathematical Programming 130(1), 177-209 (2011)

Steve Zymler, Berç Rustem, and Daniel Kuhn. Robust Portfolio Optimization with Derivative Insurance Guarantees. European Journal of Operational Research 210(2), 410-424 (2011)

Daniel Kuhn and David G. Luenberger. Analysis of the Rebalancing Frequency in Log-Optimal Portfolio Selection. Quantitative Finance 10(2), 221-234 (2010)

Wolfram Wiesemann, Daniel Kuhn, and Berç Rustem. Maximizing the Net Present Value of a Project under Uncertainty. European Journal of Operational Research 202(2), 356-367 (2010)

Gido Haarbrücker and Daniel Kuhn. Valuation of Electricity Swing Options by Multistage Stochastic Programming. Automatica 45(4), 889-899 (2009)

Daniel Kuhn. An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time. Mathematics of Operations Research 34(2), 428-444 (2009)

Daniel Kuhn. Convergent Bounds for Stochastic Programs with Expected Value Constraints. Journal of Optimization Theory and Applications 141(3), 597-618 (2009)

Daniel Kuhn, Panos Parpas, Berç Rustem, and Raquel Fonseca. Dynamic Mean-Variance Portfolio Analysis under Model Risk. Journal of Computational Finance 12(4), 91-115 (2009)

Daniel Kuhn. Aggregation and Discretization in Multistage Stochastic Programming. Mathematical Programming A 113(1), 61-94 (2008)

Daniel Kuhn, Panos Parpas, and Berç Rustem. Bound-Based Decision Rules in Multistage Stochastic Programming. Kybernetika 44(2), 34-150 (2008)

Daniel Kuhn, Nikolai M. Chtchelkatchev, Gordey B. Lesovik, and Gianni Blatter. Supercurrents through Gated Superconductor-Normal-Metal-Superconductor Contacts: The Josephson Transistor. Physical Review B 63(5), 0545200 (2001)



Submitted Papers

Bart P.G. Van Parys, Daniel Kuhn, Paul J. Goulart and Manfred Morari. Distributionally Robust Control of Constrained Stochastic Systems. Available on Optimization Online, submitted for publication (2013)

Eli Gutin, Daniel Kuhn, and Wolfram Wiesemann. Interdiction Games on Markovian PERT Networks. Available on Optimization Online, submitted for publication (2013)

Wolfram Wiesemann, Daniel Kuhn, and Melvyn Sim. Distributionally Robust Convex Optimization. Available on Optimization Online, submitted for publication (2013)

Grani A. Hanasusanto, Daniel Kuhn, Stein W. Wallace, and Steve Zymler. Distributionally Robust Multi-Item Newsvondor Problems with Multi-Modal Demand Distributions. Available on Optimization Online, submitted for publication (2012)

Angelos Georghiou, Wolfram Wiesemann, and Daniel Kuhn. The Decision Rule Approach to Optimization under Uncertainty: Methodology and Applications in Operations Management. Available on Optimization Online, submitted for publication (2011)

Angelos Georghiou, Wolfram Wiesemann, and Daniel Kuhn. Generalized Decision Rule Approximations for Stochastic Programming via Liftings. Available on Optimization Online, submitted for publication (2010)



Conference Papers

Christos Gavriel, Grani A. Hanasusanto, and Daniel Kuhn. Risk-Averse Shortest Path Problems. IEEE Conference on Decision and Control, Maui, Hawaii, December 2012

Dimitra Bampou and Daniel Kuhn. Scenario-Free Stochastic Programming with Polynomial Decision Rules. IEEE Conference on Decision and Control and European Control Conference, Orlando, USA, December 2011

Phebe Vayanos, Daniel Kuhn, and Berç Rustem. Decision Rules for Information Discovery in Multistage Stochastic Programming. IEEE Conference on Decision and Control and European Control Conference, Orlando, USA, December 2011

Michael Hadjiyiannis, Paul Goulart, and Daniel Kuhn. A Scenario Approach for Measuring the Suboptimality of Linear Decision Rules in Two-Stage Robust Optimization. IEEE Conference on Decision and Control and European Control Conference, Orlando, USA, December 2011

Phebe Vayanos, Wolfram Wiesemann, and Daniel Kuhn. Hedging Electricity Swing Options in Incomplete Markets. 18th IFAC World Congress, Milan, Italy, August 2011

Fook Wai Kong, Daniel Kuhn, and Berç Rustem. Welfare-Maximizing Correlated Equilibria with an Application to Wireless Communication. 18th IFAC World Congress, Milan, Italy, August 2011

Evangelia Kalyvianaki, Wolfram Wiesemann, Quang Hieu Vu, Daniel Kuhn, and Peter Pietzuch. SQPR: Stream Query Planning with Reuse. IEEE International Conference on Data Engineering (ICDE), Hannover, Germany, April 2011

Raquel Fonseca, Daniel Kuhn, and Berç Rustem. Linearly Adjustable International Portfolios. ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics, Rhodes, Greece, September 2010

Michael Hadjiyiannis, Paul Goulart, and Daniel Kuhn. An Efficient Method to Estimate the Suboptimality of Affine Controllers. UKACC International Conference on Control, Coventry, UK, September 2010

Fook Wai Kong, Daniel Kuhn, and Berç Rustem. A Cutting-Plane Method for Mixed-Logical Semidefinite Programs with an Application to Multi-Vehicle Robust Path Planning. IEEE Conference on Decision and Control, Atlanta, USA, December 2010

Simon A. Spacey, Wayne Luk, Paul H.J. Kelly, and Daniel Kuhn. Rapid Design Space Visualisation through Hardware/Software Partitioning. IEEE Southern Programmable Logic Conference, São Carlos, Brazil, April 2009

Wolfram Wiesemann, Ronald Hochreiter, and Daniel Kuhn. A Stochastic Programming Approach for QoS-Aware Service Composition. IEEE International Symposium on Cluster Computing and the Grid (CCGrid), Lyon, France, May 2008

Daniel Kuhn. Numerical Methods to Increase the Value Added. Energy Talks Ossiach '05, Ossiach, Austria, April 2005

Karl Frauendorfer, Jens Güssow, and Daniel Kuhn. Energy Business and Finance Policy: Parallels in Methodology and Duties. 4th International Energy Symposium, Salzburg - Fuschl, Austria, September 2003

Karl Frauendorfer, Jens Güssow, Gido Haarbrücker, Daniel Kuhn, Georg Ostermaier. Umsetzung stochastischer Optimierungsmethoden in der Energiewirtschaft. In: VDI-Berichte Nr. 1647: IT-Lösungen für die Energiewirtschaft in liberalisierten Märkten, Tagung Schliersee 15./16. Mai 2002. Hrsg.: VDI-Gesellschaft Energietechnik. Düsseldorf, VDI Verlag, 2002 (in German)



Book Chapters

Karl Frauendorfer, Daniel Kuhn, and Michael Schürle. Barycentric Bounds in Stochastic Programming: Theory and Application. In Stochastic Programming: The State of the Art, In Honor of George B. Dantzig (Gerd Infanger, ed.), Springer, New York, 67-96 (2011)

Daniel Kuhn, Panos Parpas, and Berç Rustem. Threshold Accepting Approach to Improve Bound-Based Approximations for Portfolio Optimization. In Computational Methods in Financial Engineering (E. Kontoghiorghes, B. Rustem, and P. Winker, eds.), Springer Verlag, Berlin, 3-26 (2008)

Daniel Kuhn, Panos Parpas, and Berç Rustem. Stochastic Optimization of Investment Planning Problems in the Electric Power Industry. In Process Systems Engineering: Volume 5: Energy Systems Engineering, (M. Georgiadis, E. Kikkinides, and E. Pistikopoulos, eds.), Wiley-VCH, Weinheim, 215-230 (2008)



Editorial

Daniel Kuhn. Guest Editorial: Special Issue on Computational Finance. Computational Management Science 8(1-2), 1-2 (2011)

Ronald Hochreiter and Daniel Kuhn. Guest Editorial: Special Issue on Optimal Decision Making under Uncertainty. Computational Management Science 9(1), 1-2 (2012)


Other

Karl Frauendorfer, Gido Haarbrücker, Daniel Kuhn, and Klaus Kiske. Swing-Optionen im Elekrizitätsmarkt — Bewertung und optimale Ausübung komplexer Energiederivate. emw Zeitschrift für Energie, Markt, Wettbewerb (5), 2005 (in German)

Karl Frauendorfer, Jens Güssow, Gido Haarbrücker, and Daniel Kuhn. Stochastische Optimierung im Energiehandel: Entscheidungsunterstützung und Bewertung für das Portfoliomanagement. emw Zeitschrift für Energie, Markt, Wettbewerb (1), 2005 (in German)
 
Gido Haarbrücker and Daniel Kuhn. BIT@EPI.VPP: A Software Tool for the Valuation and Optimal Exercise of Swing Options. Software documtentation, Institute for Operations Research and Computational Finance, University of St. Gallen (2003)

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