Berç Rustem

Publication Activity (10 Years)

Years Active: 1978-2022
Publications (10 Years): 5

Top Topics

Portfolio Optimization

Markov Decision Process

Top Venues

Eur. J. Oper. Res.

Ann. Oper. Res.

Publications

Berç Rustem, Panos Parpas
In Memoriam: Nicos Christofides (1942-2019). Oper. Res. Forum 3 (1) (2022)
Rosella Giacometti, Berç Rustem
14th International Conference on Computational Management Science. Comput. Manag. Sci. 16 (1-2) (2019)
Michalis Kapsos, Nicos Christofides, Berç Rustem
Robust risk budgeting. Ann. Oper. Res. 266 (1-2) (2018)
Panos Parpas, Berç Rustem, Wolfram Wiesemann
Guest Editorial. Optim. Methods Softw. 32 (4) (2017)
Duy V. N. Luong, Panos Parpas, Daniel Rueckert, Berç Rustem
A Weighted Mirror Descent Algorithm for Nonsmooth Convex Optimization Problem. J. Optim. Theory Appl. 170 (3) (2016)
Michalis Kapsos, Nicos Christofides, Berç Rustem
Worst-case robust Omega ratio. Eur. J. Oper. Res. 234 (2) (2014)
Iakovos Kakouris, Berç Rustem
Robust portfolio optimization with copulas. Eur. J. Oper. Res. 235 (1) (2014)
Wolfram Wiesemann, Angelos Tsoukalas, Polyxeni-Margarita Kleniati, Berç Rustem
Pessimistic Bilevel Optimization. SIAM J. Optim. 23 (1) (2013)
Wolfram Wiesemann, Daniel Kuhn, Berç Rustem
Robust Markov Decision Processes. Math. Oper. Res. 38 (1) (2013)
Steve Zymler, Daniel Kuhn, Berç Rustem
Distributionally robust joint chance constraints with second-order moment information. Math. Program. 137 (1-2) (2013)
Fook Wai Kong, Panos Parpas, Berç Rustem
Sum of Non-Concave Utilities Maximization for MIMO Interference Systems. IEEE Trans. Wirel. Commun. 12 (4) (2013)
Fook Wai Kong, Berç Rustem
Welfare-maximizing correlated equilibria using Kantorovich polynomials with sparsity. J. Glob. Optim. 57 (1) (2013)
Steve Zymler, Daniel Kuhn, Berç Rustem
Worst-Case Value at Risk of Nonlinear Portfolios. Manag. Sci. 59 (1) (2013)
Wolfram Wiesemann, Daniel Kuhn, Berç Rustem
Robust resource allocations in temporal networks. Math. Program. 135 (1-2) (2012)
Wolfram Wiesemann, Daniel Kuhn, Berç Rustem
Multi-resource allocation in stochastic project scheduling. Ann. Oper. Res. 193 (1) (2012)
Raquel J. Fonseca, Berç Rustem
International portfolio management with affine policies. Eur. J. Oper. Res. 223 (1) (2012)
Raquel J. Fonseca, Berç Rustem
Robust hedging strategies. Comput. Oper. Res. 39 (11) (2012)
Phebe Vayanos, Daniel Kuhn, Berç Rustem
A constraint sampling approach for multi-stage robust optimization. Autom. 48 (3) (2012)
Duy V. N. Luong, Panos Parpas, Daniel Rueckert, Berç Rustem
Solving MRF Minimization by Mirror Descent. ISVC (1) (2012)
Fook Wai Kong, Polyxeni-Margarita Kleniati, Berç Rustem
Computation of Correlated Equilibrium with Global-Optimal Expected Social Welfare. J. Optim. Theory Appl. 153 (1) (2012)
Raquel J. Fonseca, Wolfram Wiesemann, Berç Rustem
Robust international portfolio management. Comput. Manag. Sci. 9 (1) (2012)
Kai Ye, Panos Parpas, Berç Rustem
Robust portfolio optimization: a conic programming approach. Comput. Optim. Appl. 52 (2) (2012)
Nikolaos Papadakos, George Tzallas-Regas, Berç Rustem, Joanne Thoms
Risky traveling salesman problem. Eur. J. Oper. Res. 212 (1) (2011)
Duy V. N. Luong, Daniel Rueckert, Berç Rustem
Incorporating hard constraints into non-rigid registration via nonlinear programming. Medical Imaging: Image Processing (2011)
Angelos Tsoukalas, Berç Rustem
A feasible point adaptation of the Blankenship and Falk algorithm for semi-infinite programming. Optim. Lett. 5 (4) (2011)
Steve Zymler, Berç Rustem, Daniel Kuhn
Robust portfolio optimization with derivative insurance guarantees. Eur. J. Oper. Res. 210 (2) (2011)
Phebe Vayanos, Daniel Kuhn, Berç Rustem
Decision rules for information discovery in multi-stage stochastic programming. CDC/ECC (2011)
George Tzallas-Regas, Berç Rustem
Switching Stepsize Strategies for Sequential Quadratic Programming. J. Optim. Theory Appl. 149 (2) (2011)
Wolfram Wiesemann, Daniel Kuhn, Berç Rustem
Maximizing the net present value of a project under uncertainty. Eur. J. Oper. Res. 202 (2) (2010)
Fook Wai Kong, Daniel Kuhn, Berç Rustem
A cutting-plane method for Mixed-Logical Semidefinite Programs with an application to multi-vehicle robust path planning. CDC (2010)
Polyxeni-Margarita Kleniati, Panos Parpas, Berç Rustem
Partitioning procedure for polynomial optimization. J. Glob. Optim. 48 (4) (2010)
Panos Parpas, Berç Rustem, Efstratios N. Pistikopoulos
Global optimization of robust chance constrained problems. J. Glob. Optim. 43 (2-3) (2009)
Angelos Tsoukalas, Berç Rustem, Efstratios N. Pistikopoulos
A global optimization algorithm for generalized semi-infinite, continuous minimax with coupled constraints and bi-level problems. J. Glob. Optim. 44 (2) (2009)
Panos Parpas, Berç Rustem, V. Wieland, Stanislav Zakovic
Mean and variance optimization of non-linear systems and worst-case analysis. Comput. Optim. Appl. 43 (2) (2009)
Nuno P. Faísca, Pedro M. Saraiva, Berç Rustem, Efstratios N. Pistikopoulos
A multi-parametric programming approach for multilevel hierarchical and decentralised optimisation problems. Comput. Manag. Sci. 6 (4) (2009)
Panos Parpas, Berç Rustem
Convergence analysis of a global optimization algorithm using stochastic differential equations. J. Glob. Optim. 45 (1) (2009)
Angelos Tsoukalas, Panos Parpas, Berç Rustem
A smoothing algorithm for finite min-max-min problems. Optim. Lett. 3 (1) (2009)
Stratos N. Pistikopoulos, Berç Rustem
Global optimization and its applications. J. Glob. Optim. 45 (1) (2009)
Nuno P. Faísca, Vassileios D. Kosmidis, Berç Rustem, Efstratios N. Pistikopoulos
Global optimization of multi-parametric MILP problems. J. Glob. Optim. 45 (1) (2009)
Maria A. Osorio, Nalan Gülpinar, Berç Rustem
A mixed integer programming model for multistage mean-variance post-tax optimization. Eur. J. Oper. Res. 185 (2) (2008)
Berç Rustem, Stanislav Zakovic, Panos Parpas
An interior point algorithm for continuous minimax: implementation and computation. Optim. Methods Softw. 23 (6) (2008)
Nuno P. Faísca, Konstantinos I. Kouramas, Pedro M. Saraiva, Berç Rustem, Efstratios N. Pistikopoulos
A multi-parametric programming approach for constrained dynamic programming problems. Optim. Lett. 2 (2) (2008)
Maria A. Osorio, Nalan Gülpinar, Berç Rustem
A general framework for multistage mean-variance post-tax optimization. Ann. Oper. Res. 157 (1) (2008)
Daniel Kuhn, Panos Parpas, Berç Rustem
Bound-based decision rules in multistage stochastic programming. Kybernetika 44 (2) (2008)
Nalan Gülpinar, Berç Rustem
Robust optimal decisions with imprecise forecasts. Comput. Stat. Data Anal. 51 (7) (2007)
Nalan Gülpinar, Berç Rustem
Worst-case robust decisions for multi-period mean-variance portfolio optimization. Eur. J. Oper. Res. 183 (3) (2007)
Nuno P. Faísca, Vivek Dua, Berç Rustem, Pedro M. Saraiva, Efstratios N. Pistikopoulos
Parametric global optimisation for bilevel programming. J. Glob. Optim. 38 (4) (2007)
Panos Parpas, Berç Rustem
Computational Assessment of Nested Benders and Augmented Lagrangian Decomposition for Mean-Variance Multistage Stochastic Problems. INFORMS J. Comput. 19 (2) (2007)
Nalan Gülpinar, Uli Harder, Peter G. Harrison, Tony Field, Berç Rustem, Louis-François Pau
Mean-variance performance optimization of response time in a tandem router network with batch arrivals. Clust. Comput. 10 (2) (2007)
Panos Parpas, Berç Rustem, Efstratios N. Pistikopoulos
Linearly Constrained Global Optimization and Stochastic Differential Equations. J. Glob. Optim. 36 (2) (2006)
Berç Rustem
Call for papers for an Automatica Special issue on stochastic modeling, control, and robust optimization at the crossroads of engineering, environmental economics, and finance. Autom. 42 (11) (2006)
Nalan Gülpinar, Peter G. Harrison, Berç Rustem, Louis-François Pau
Performance Optimization of Mean Response Time in a Tandem Router Network with Batch Arrivals. NOMS (2006)
Nalan Gülpinar, Berç Rustem
Worst-case Optimal Robust Decisions for Multi-period Mean-Variance Portfolio Optimization. IMECS (2006)
Nalan Gülpinar, Peter G. Harrison, Berç Rustem, Louis-François Pau
Performance Optimization of a Tandem Router Network Using a Fluid Model. IMECS (2006)
Nalan Gülpinar, Peter G. Harrison, Berç Rustem
Worst-Case Analysis of Router Networks with Rival Queueing Models. ISCIS (2006)
Panos Parpas, Berç Rustem
Global Optimization of the Scenario Generation and Portfolio Selection Problems. ICCSA (3) (2006)
Berç Rustem
Book review. Comput. Manag. Sci. 2 (4) (2005)
Nalan Gülpinar, Peter G. Harrison, Berç Rustem, Louis-François Pau
Optimization of a Tandem M/GI/1 Router Network with Batch Arrivals. IPDPS (2005)
Maria A. Osorio, Nalan Gülpinar, Berç Rustem, Reuben Settergren
Post-tax optimization with stochastic programming. Eur. J. Oper. Res. 157 (1) (2004)
Berç Rustem
Call for papers for an Automatica special issue on optimal control applications to management sciences. Autom. 40 (11) (2004)
Nalan Gülpinar, Peter G. Harrison, Berç Rustem, Louis-François Pau
An Optimisation Model for a Two-Node Router Network. MASCOTS (2004)
Stanislav Zakovic, Berç Rustem, S. P. Asprey
A parallel algorithm for semi-infinite programming. Comput. Stat. Data Anal. 44 (1-2) (2003)
Stanislav Zakovic, Berç Rustem
Semi-Infinite Programming and Applications to Minimax Problems. Ann. Oper. Res. 124 (1-4) (2003)
Stanislav Zakovic, Costas C. Pantelides, Berç Rustem
An Interior Point Algorithm for Computing Saddle Points of Constrained Continuous Minimax. Ann. Oper. Res. 99 (1-4) (2000)
John Darlington, Constantinos C. Pantelides, Berç Rustem, B. A. Tanyi
Decreasing the sensitivity of open-loop optimal solutions in decision making under uncertainty. Eur. J. Oper. Res. 121 (2) (2000)
Erricos John Kontoghiorghes, Anna Nagurney, Berç Rustem
Parallel computing in economics, finance and decision-making. Parallel Comput. 26 (5) (2000)
John Darlington, Constantinos C. Pantelides, Berç Rustem, B. A. Tanyi
An algorithm for constrained nonlinear optimization under uncertainty. Autom. 35 (2) (1999)
Berç Rustem, Quoc Nguyen
An Algorithm for the Inequality-Constrained Discrete Min-Max Problem. SIAM J. Optim. 8 (1) (1998)
B. A. Tanyi, Berç Rustem, John Darlington
Parallelization of a Nonlinear Robust Optimization Algorithm. PARCO (1997)
Berç Rustem
Interactive decision making: Equivalence of modified formulations. Ann. Oper. Res. 51 (1) (1994)
Robin Becker, Berç Rustem
Algorithms for solving nonlinear dynamic decision models. Ann. Oper. Res. 44 (2) (1993)
Berç Rustem
A constrained min-max algorithm for rival models of the same economic system. Math. Program. 53 (1992)
Berç Rustem
The diagonalizability of quadratic functions and the arbitrariness of shadow prices. Autom. 27 (3) (1991)
Elias Karakitsos, Berç Rustem
Optimal fixed rules and simple feedback laws in the design of economic policy. Autom. 21 (2) (1985)
Berç Rustem, Kumaraswamy Velupillai, John Hugh Westcott
Respecifying the weighting matrix of a quadratic objective function. Autom. 14 (6) (1978)