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Authors

Prof Berc Rustem

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 [PDF]
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 [PDF]
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, Pau
Cluster Computing
Volume 10, Issue 2, pp.203–216
Springer Verlag
June, 2007
Worst-case Optimal Robust Decisions for Multi-period Portfolio Optimization [PDF]
Berc Rustem, Nalan Gulpinar
European Journal of Operational Research
Elsevier Science Bv
2007
Decomposition of Multistage Stochastic Quadratic Problems In Finanical Engineering [PDF]
Panayiotis Parpas, Berc Rustem
INFORMS Journal on Computing
2006
Linearly constrained global optimization and stochastic differential equations [PDF]
Panayiotis Parpas, Berc Rustem
Journal of Global Optimization
Springer-Verlag
2006
Globally convergent interior-point algorithm for nonlinear programming [PDF]
I Akrotirianakis, Berc Rustem
Journal of Optimization Theory and Applications
Volume 125, Issue 3
2005
Post-tax optimization with stochastic programming [PDF]
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 [PDF]
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 [PDF]
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 [PDF]
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 [PDF]
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, 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, 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, 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 [PDF]
Nalan Gulpinar, Peter G. Harrison, Berc Rustem, 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 [PDF]
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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