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Authors
Prof Berc Rustem
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66 publications for this author.
Books
- Algorithms for worst-case design and applications to risk management
- Berc Rustem, M Howe
- pp.1–389
- Princeton University Press
- December, 2002
- Computational methods in decision-making, economics and finance
- E Kontoghiorghes, Berc Rustem, Stavros Siokos
- Computational methods in decision-making, economics and finance
- Kluwer Academic Publishers
- 2002
- Algorithms for nonlinear programming and multiple-objective decisions
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- Berc Rustem
- pp.1–304
- John Wiley & Sons
- 1998
- Computational approaches to economic problems
- Berc Rustem, HM Amman, A. Whinston
- Volume 6, pp.1–372
- Kluwer Academic Publishers
- 1997
Book Chapters
- Global optimization of the scenario generation and portfolio selection problems
- Panayiotis Parpas, Berc Rustem
- Computational Science and Its Applications
- Volume 3982, pp.908–917
- Lecture Notes in Computer Science, Springer-Verlag
- May, 2006
- Continuous min-max approach for single period portfolio selection problem
- Berc Rustem, Nalan Gulpinar
- Numerical methods in finance
- Volume 9, pp.241–258
- Springer
- June, 2005
- Multistage stochastic programming in computational finance
- Nalan Gulpinar, Berc Rustem, R Settergren
- Computational methods in decision-making, economics and finance
- pp.35–47
- Kluwer Academic Publishers
- 2002
- Scenario specification for robust portfolio analysis
- Berc Rustem, R Settergren
- Computational methods in decision-making, economics and finance
- pp.77–88
- Kluwer Academic Publishers
- 2002
- Building and solving multi-criteria models involving logical conditions
- RLV Pinto, Berc Rustem
- Advances in Computational Economics
- Kluwer
- 1996
- Convergent stepsizes for constrained min-max algorithms
- Berc Rustem
- Advances in dynamic games and applications (Geneva, 1992)
- Volume 1, pp.168–194
- BIrkhauser Boston
- 1994
- Methods for optimal economic policy design
- Berc Rustem
- Volume 36, pp.17–74
- Academic Press
- 1990
Journal Articles
- Parametric global optimisation for bilevel programming
- Berc Rustem, V. Dua, P.M. Saraiva, E.N. Pistikopoulos
- Journal of Global Optimization
- Springer-Verlag
- 2007
- Mean-variance performance optimization of response time in a tandem router network with batch arrivals
- Nalan Gulpinar, Uli Harder, Peter G. Harrison, A. J. Field, Berc Rustem, Louis-François Pau
- Cluster Computing
- Volume 10, Issue 2, pp.203–216
- Springer Verlag
- June, 2007
- Worst-case Optimal Robust Decisions for Multi-period Portfolio Optimization
- Berc Rustem, Nalan Gulpinar
- European Journal of Operational Research
- Elsevier Science Bv
- 2007
- Decomposition of Multistage Stochastic Quadratic Problems In Finanical Engineering
- Panayiotis Parpas, Berc Rustem
- INFORMS Journal on Computing
- 2006
- Linearly constrained global optimization and stochastic differential equations
- Panayiotis Parpas, Berc Rustem
- Journal of Global Optimization
- Springer-Verlag
- 2006
- Globally convergent interior-point algorithm for nonlinear programming
- I Akrotirianakis, Berc Rustem
- Journal of Optimization Theory and Applications
- Volume 125, Issue 3
- 2005
- Post-tax optimization with stochastic programming
- MA Osorio, Nalan Gulpinar, Berc Rustem, R Settergren
- European Journal of Operational Research
- Volume 157, Issue 1
- 2004
- Simulation and optimization approaches to scenario tree generation
- Nalan Gulpinar, Berc Rustem, R Settergren
- Journal of Economic Dynamics and Control
- Volume 28, Issue 7
- 2004
- Tax impact on multi-stage mean-variance portfolio allocation
- MA Osorio, Nalan Gulpinar, Berc Rustem
- International Transactions in Operational Research
- Volume 11, Issue 5, pp.535–554
- 2004
- A parallel algorithm for semi-infinite programming
- Stanislav Zakovic, Berc Rustem, SP Asprey
- Computational Statistics & Data Analysis
- Volume 44, Issues 1–2
- 2003
- Semi-infinite programming and applications to minimax problems
- Stanislav Zakovic, Berc Rustem
- Annals of Operations Research
- Volume 124, Issues 1–4
- 2003
- An interior point algorithm for computing saddle points of constrained continuous minimax
- Berc Rustem, Stanislav Zakovic, CC Pantelides
- Annals of Operations Research
- Volume 99, pp.59–77
- Springer-Verlag
- 2001
- An outer approximation based branch and cut algorithm for convex 0-1 MINLP problems
- I Akrotirianakis, Berc Rustem, Istvan Maros
- Optimization Methods & Software
- Volume 16, Issues 1–4
- 2001
- A primal-dual interior point algorithm with an exact and differentiable merit function for nonlinear programming
- I Akrotirianakis, Berc Rustem
- Optimization Methods and Software
- pp.1–36
- 2000
- Robust min-max portfolio strategies for rival forecast and risk scenarios
- Berc Rustem, Robin Becker, Wolfgang Marty
- Journal of Economic Dynamics and Control
- pp.1591–1621
- 2000
- An efficient approximate algorithm for optimal decisions under uncertainty
- John Darlington, CC Pantelides, Berc Rustem, BA Tanyi
- European Journal of Operations Research
- Volume 121
- 2000
- Special issue: Parallel Computing in Economics, Finance and Decision Making
- E Kontoghiorghes, A Nagurney, Berc Rustem
- Parallel Computing
- 2000
- An algorithm for constrained nonlinear optimization under uncertainty
- John Darlington, CC Pantelides, Berc Rustem, BA Tanyi
- Automatica. A Journal of IFAC, the International Federation ofAutomatic Control
- pp.217–228
- Pergamon Press
- 1999
- An algorithm for the inequality-constrained discrete min-maxproblem
- Berc Rustem, Q Nguyen
- SIAM Journal on Optimization
- pp.265–283
- SIAM
- October, 1998
- An algorithm for the inequality constrained discrete min-max problem
- Berc Rustem, Q Nguyen
- SIAM J Optimization
- Volume 8
- SIAM
- 1998
- Solving a mixed-integer multiobjective bond portfolio model involving logical conditions
- RLV Pinto, Berc Rustem
- Annals of Operations Research
- Volume 81, pp.497–513
- 1998
- A robust hedging algorithm
- M Howe, Berc Rustem
- Journal of Economic Dynamics and Control
- Volume 21, Issue 6, pp.1065–1092
- Elsevier Science Bv
- 1997
- Computing optimal multi-currency mean-variance portfolios
- Berc Rustem
- Journal of Economic Dynamics & Control
- Volume 19, Issue 7, pp.901–908
- Elsevier Science Bv
- 1995
- The two-step and three-step Q-superlinear convergence of successive quadratic programming algorithms
- Berc Rustem
- Journal of Optimization Theory and Applications
- Volume 83
- 1995
- Two-step and three-step Q-superlinear convergence of {SQP} methods
- Berc Rustem
- Journal of Optimization Theory and Applications
- Volume 83, Issue 3, pp.613–619
- 1994
- Interactive decision making: Equivalence of modified formulations
- Berc Rustem
- Annals of Operations Research
- Volume 51, pp.3–13
- 1994
- Minimax hedging strategy
- M Howe, Berc Rustem, M Selby
- Computational Economics
- Volume 7
- 1994
- Stochastic and robust control of nonlinear economic systems
- Berc Rustem
- European Journal of Operations Research
- Volume 73
- 1994
- Algorithms for solving nonlinear dynamic decision models
- Robin Becker, Berc Rustem
- Annals of Operations Research
- Volume 44, Issue 4, pp.117–142
- 1993
- Equality and inequality constrained optimization algorithms with convergent stepsizes
- Berc Rustem
- Journal of Optimization Theory and Applications
- Volume 76, Issue 3, pp.429–453
- 1993
- A constrained min-max algorithm for rival models of the same economic system
- Berc Rustem
- Mathematical Programming
- Volume 53, Issue 3, pp.279–295
- 1992
- The diagonalizability of quadratic functions and the arbitrariness of shadow prices
- Berc Rustem
- Automatica. A Journal of IFAC, the International Federation ofAutomatic Control
- Volume 27, Issue 3, pp.573–578
- Pergamon Press
- 1991
- Rationality, computability, and complexity
- Berc Rustem, Kumaraswamy Velupillai
- Journal of Economic Dynamics and Control
- Volume 14, Issue 2, pp.419–432
- Elsevier Science Bv
- 1990
- A superlinearly convergent constrained min-max algorithm for rival models of the same system
- Berc Rustem
- Computers and Mathematics with Applications
- Volume 17, Issue 9, pp.1305–1316
- 1989
- Objective functions and the complexity of policy design
- Berc Rustem, Kumaraswamy Velupillai
- Journal of Economic Dynamics and Control
- Volume 11, Issue 2, pp.185–192
- Elsevier Science Bv
- 1987
Conference and Workshop Papers
- Worst-case Analysis of Router Networks with Rival Queueing Models
- Nalan Gulpinar, Peter G. Harrison, Berc Rustem
- 21st International Symposium on Computer and Information Sciences (ISCIS 2006), Istanbul, Turkey
- Volume 4263, pp.897–907
- Lecture Notes in Computer Science, Springer-Verlag
- November, 2006
- Performance Optimization of a Tandem Router Network Using a Fluid Model
- Nalan Gulpinar, Peter G. Harrison, Berc Rustem, Louis-François Pau
- International MultiConference of Engineers and Computer Scientists 2006, (IMECS'06), June 20-22, 2006, Hong Kong
- p.986
- Lecture Notes in Engineering and Computer Science
- June, 2006
- Performance Optimization of Mean Response Time in a Tandem Router Network with Batch Arrivals
- Nalan Gulpinar, Peter G. Harrison, Berc Rustem, Louis-François Pau
- 10th IEEE/IFIP Network Operations and Management Symposium, 2006 (NOMS 2006)
- April, 2006
- Optimization of a Tandem M/GI/1 Router Network with Batch Arrivals
- Nalan Gulpinar, Peter G. Harrison, Berc Rustem, Louis-François Pau
- PMEO-PDS 2005, 4th International Workshop on Performance Modelling, Evaluation, and Optimization of Parallel and Distributed Systems
- p.270
- IEEE Computer Society Press
- April, 2005
- An optimisation model for a two-node router network
- Nalan Gulpinar, Peter G. Harrison, Berc Rustem, Louis-François Pau
- 12th International Symposium on Modeling, Analysis, and Simulation of Computer and Telecommunications Systems (MASCOTS 2004), Volendam, Netherlands
- pp.147–156
- IEEE Computer Soc
- October, 2004
- Multistage stochastic mean-variance portfolio analysis with transaction costs
- Nalan Gulpinar, Berc Rustem, R Settergren
- 8th international conference on computational economics; computing in economics and finance; innovations in financial and economic networks, France, 2002
- Edward Elgar
- 2002
- Post tax optimal investments
- MA Osorio, R Settergren, Berc Rustem, Nalan Gulpinar
- International conference on financial engineering, e-commerce and supply chain, Athens, Greece, 2001
- Kluwer Academic Publ
- 2002
- An approach to continuous minimax, the basic algorithm
- Berc Rustem, M Howe
- Computation in Economics, Finance and Engineering-Economic Systems
- 1998
- Learning in Multiple objective decision making
- Berc Rustem
- Apprentisage, des Principe Naturels aux Modeles Artificiels, Paris
- pp.205–218
- 1998
- Parallelisation of a nonlinear robust optimization algorithm
- BA Tanyi, Berc Rustem, John Darlington
- Parallel Computing: Fundamentals, Applications and New Directions
- Elsevier Science Bv
- 1998
- Robust optimisation of nonlinear systems under parametric uncertainty
- BA Tanyi, John Darlington, CC Pantelides, Berc Rustem
- Proceedings of Operations Research
- pp.43–54
- Springer
- 1996
- Robust optimization of nonlinear systems under parametric uncertainty
- BA Tanyi, John Darlington, CC Pantelides, Berc Rustem
- Proceedings of Operations Research
- Springer Verlag
- 1996
- A discrete min-max algorithm: risk management with rival scenarios
- Berc Rustem
- Modelling and Control of National and Regional Economies
- Pergamon Press
- 1995
- A Discrete min-max algorithm for inequality constraints
- Berc Rustem
- Operations Research '93
- 1994
- Robust optimal policy methods for nonlinear models
- Berc Rustem
- 28th IEEE Conference on Decision and Control
- Volume 3, pp.2050–2055
- IEEE
- 1989
Journal Special Issues Edited
- Special Issue on Mathematical programming
- Michael Ferris, Ken Judd, Berc Rustem
- Journal of Economic Dynamics and Control
- pp.1227–1480
- Elsevier Science Bv
- 2004
- In honour of David Kendrick
- Berc Rustem, HM Amman
- Journal of Economic Dynamics and Control
- Elsevier Science Bv
- September, 2002
Technical Reports
- Threshold accepting approach to improve bound-based approximations for portfolio optimization
- Daniel Kuhn, Panayiotis Parpas, Berc Rustem
- July, 2007
- An Outer Approximation Based Branch And Cut Algorithm For Convex 0-1 Minlp Problems
- I Akrotirianakis, Berc Rustem, Istvan Maros
- Departmental Technical Reports
- Volume 6
- 2000
Book Review
- Foreword - The work of David Kendrick
- HM Amman, Berc Rustem
- Journal of Economic Dynamics and Control
- Volume 26, Issues 9–10
- 2002
BibTeX file for these publications
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