Research

Analytics and operations research

General Talks

  • On the Interplay of Optimization and Probability in Decision-Making [PDF]

Preprints 

  • Worst-Case Expected Shortfall with Univariate and Bivariate Marginals (with Anulekha Dhara and Bikramjit Das) (Revised Version) [PDF]
  • Exploiting Partial Correlations in Distributionally Robust
    Optimization (with Divya Padmanabhan and Karthyek Murthy) [PDF]
  • On the Heavy-Tail Behavior of the Distributionally Robust Newsvendor (with Bikramjit Das and Anulekha Dhara) [PDF]
  • Distributionally Robust Linear and Discrete Optimization with Marginals (with Louis Chen, Will Ma, David Simchi-Levi and Zhenzhen Yan) [PDF]
  • “Marginal Estimation+Price Optimization” with Robust Choice Models (with Zhenzhen Yan, Cong Cheng and Teo Chung-Piaw) – New Version [PDF]
  • Tracking-Error Models for Multiple Benchmarks: Theory and Empirical Performance (with Xu Yunchao, Zheng Zhichao and Teo Chung-Piaw) (Revised Version) [PDF]

Software 

Accepted & Published Papers

2019

  • Distributionally Robust Markovian Traffic Equilibrium (with Ugur Arikan and Selin Damla Ahipasaoglu) To appear in Transportation Science [PDF] 
  • Distributionally Robust Project Crashing with Partial or No Correlation Information (with Selin Damla Ahipasaoglu and Shi Dongjian) To appear in Networks [PDF]
  • A Convex Optimization Approach for Computing Correlated Choice Probabilities with Many Alternatives (with Selin Damla Ahipasaoglu and Li Xiaobo), IEEE Transactions on Automatic Control, 64 (1), (2019): 190-205 [PREZI Presentation] [FinalCode] [PDF]

2018

  • Allocating Students to Multidisciplinary Capstone Projects Using Discrete Optimization (with Thomas Magnanti), Interfaces (Now INFORMS Journal on Applied Analytics), 48 (3) (2018): 204-216 [PDF]
  • Bounds on Random Binary Quadratic Programs (with Shi Dongjian and Toh Kim Chuan) SIAM Journal on Optimization, 28 (1) (2018): 671–692 [PDF]
  • Asymmetry and Ambiguity in Newsvendor Models (with Melvyn Sim and Joline Uichanco) Management Science, 64 (7) (2018): 3146-3167 [PDF]

2017

  • On the Polynomial Solvability of Distributionally Robust k-Sum Optimization (with Anulekha Dhara) Optimization Methods and Software, 32 (4) (2017): 738-753, [PDF]
  • On Reduced Semidefinite Programs for Second Order Moment Bounds with Applications (with Teo Chung-Piaw) Mathematical Programming, 161 (2017): 487-518 [PDF] [Supplemental Material]

2016

  • Least Squares Approximation to the Distribution of Project Completion Times with Gaussian Uncertainty (with Zhichao Zheng and Teo Chung-Piaw), Operations Research, 64 (6) (2016): 1406-1421 [PDF]
  • On the Flexibility of using Marginal Distribution Choice Models in Traffic Equilibrium (with Selin Damla Ahipasaoglu and Ugur Arikan) Transportation Research Part B, 91 (2016): 130-158 [PDF]

2015

  • Robustness to Dependency in Portfolio Optimization Using Overlapping Marginals (with Xuan Vinh Doan and Li Xiaobo) Operations Research 63, no. 6 (2015):1468-1488. [PDF]
  • Beyond Normality: A Cross Moment-Stochastic User Equilibrium Model (with Selin Damla Ahipasaoglu, Rudabeh Meskarian and Thomas Magnanti) Transportation Research Part B, Special Issue on Optimization of Urban Transportation Service Networks 81, no. 2 (2015): 333–354 [PDF] [PREZI Presentation] [MATLAB codes]

2014

  • On Theoretical and Empirical Aspects of Marginal Distribution Choice Models (with Vinit Kumar Mishra, Dhanesh Padmanabhan, Teo Chung-Piaw and Li Xiaobo). Management Science, Special Issue on Business Analytics 60 no. 6, (2014): 1511-1531 [PDF] [PREZI Presentation]
  • A Probabilistic Model for Minmax Regret in Combinatorial Optimization (with Shi Dongjian and Toh Kim Chuan). Operations Research 62, no. 1 (2014): 160-181 [PDF]
  • Distributionally Robust Mixed Integer Linear Programs: Persistency Models with Applications (with Li Xiaobo, Zheng Zhichao and Teo Chung-Piaw) Invited Review. in European Journal of Operational Research 233, no. 3, (2014): 459-473 [PDF] [Prezi Presentation]

2013

  • New Analytical Bounds on the Average Undershoot in an Infinite Horizon (s,S) Inventory System (with Chiu Chun-Hung and Zachary Leung) Operations Research Letters 41, no. 1 (2013): 67-73 [PDF]
  • From Boxes to Bees: Active Learning in Freshmen Calculus (with F.S. Tsai, S. D. Ahipasaoglu, C. Yuen, H. Lee, N.-M. Cheung, J. Ruths, S. Huang, and T. L. Magnanti) IEEE Annual Global Engineering Education Conference (EDUCON) , 2013.

2012

  • Choice Prediction with Semidefinite Optimization when the Utilities are Correlated (with Vinit Kumar Mishra, Tao Hua and Teo Chung-Piaw) IEEE Transactions on Automatic Control, 57, no. 10 (2012): 2450-2463 [PDF]
  • On the Complexity of Non-Overlapping Multivariate Marginal Bounds for Probabilistic Combinatorial Optimization (with Xuan Vinh Doan) Operations Research, 60, no. 1 (2012): 138-149 [PDF]

2011

  • Mixed Zero-One Linear Programs under Objective Uncertainty: A Completely Positive Representation (with Zheng Zhichao and Teo Chung-Piaw) Operations Research, 59, no. 3 (2011): 713-728 [PDF] [Additional Material]
  • Beyond Risk: Ambiguity in Supply Chains (Invited Chapter) (with Melvyn Sim and Teo Chung-Piaw) Handbook of Integrated Risk Management in Global Supply Chains, edited by P .Kouvelis, O. Boyabatli, L. Dong, and R. Li, John Wiley & Sons Inc. (2011): 103-124

2010

  • Tractable Robust Expected Utility and Risk Models for Portfolio Optimization (with Melvyn Sim and Joline Uichanco) Mathematical Finance, 20, no. 4 (2010): 695-731 [PDF]
  • Models for Minimax Stochastic Linear Optimization Problems with Risk Aversion (with Dimitris Bertsimas, Xuan Vinh Doan and Chung-Piaw Teo) Mathematics of Operations Research, 35, no. 3 (2010): 580-602 [PDF]

2009

  • Constructing Risk Measures from Uncertainty Sets (with Melvyn Sim and Dessislava Pachamanova) Operations Research, 57, no. 5 (2009): 1129-1141 [PDF] [Additional Material]
  • Persistency Model and Its Applications in Choice Modeling (with Song Miao and Teo Chung-Piaw) Management Science, 55, no. 3 (2009): 453-469 [PDF]

2008

  • Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization (with Melvyn Sim and Dessislava Pachamanova) Management Science, 54, no. 3 (2008): pp. 573-585 [PDF]

2007

  • A Semidefinite Approach to the Steady-State Analysis of Queueing Systems (with Dimitris Bertsimas) Queueing Systems, 56, no. 1 (2007): 27-39 [PDF]
  • A Mean-Variance Bound For A Three-Piece Linear Function (with Zhou Linyi) Probability in Engineering and Informational Sciences, 21, no. 4 (2007): 611-621 [PDF]
  • Use of Games and Projects in Teaching Applied Mathematics Courses. Experiments in Pedagogy: Selected Papers from Professional Development Programme (Teaching), Volume Two, Centre for Development of Teaching and Learning (2007)

2006

  • Persistence in Discrete Optimization under Data Uncertainty (with Dimitris Bertsimas and Teo Chung-Piaw) Mathematical Programming Series B, Issue on Optimization under Uncertainty, 108, no. 2-3 (2006): 251-274 [PDF]
  • Tight Bounds on Expected Order Statistics (with Dimitris Bertsimas and Teo Chung-Piaw) Probability in Engineering and Informational Sciences, 20, no. 4 (2006): 667-686 [PDF]

2004-05

  • Probabilistic Combinatorial Optimization: Moments, Semidefinite Programming & Asymptotic Bounds (with Dimitris Bertsimas and Teo Chung-Piaw) SIAM Journal on Optimization, 15, no. 1 (2004): 185-209 [PDF]
  • Dispatching Automated Guided Vehicles in a Container Terminal (with Cheng Yong Leong, Sen Hock Chan, Teo Chung-Piaw and Tan Kok Choon) Supply Chain Optimization, J. Geunes, P.M. Pardalos eds., 98 (2005): pp. 355-390. Kluwer Academic Publishers [PDF]
  • Probabilistic Combinatorial Optimization: A Convex Programming Approach. PhD Thesis 2004. [Available on request]