Optimization under Uncertainty - Robust Optimization
 

Software:

• ROME: Robust Optimization Made Easy
  Co-developed with Joel Goh. ROME is an algebraic modeling language written and run in the MATLAB, designed primarily for modeling and solving Robust Optimization problems.

Theory:

• "Distributionally Robust Optimization and its Tractable Approximations", with Joel Goh, accepted in Operations Research, Oct 2009
• "Robust Optimization Made Easy With ROME", with Joel Goh, submitted, 2009
• "From CVaR to Uncertainty Set: Implications in Joint Chance Constrained Optimization", with Wenqing Chen, Jie Sun and Chung-Piaw Teo, accepted in Operations Research, 2009
• "A Linear-Decision Based Approximation Approach to Stochastic Programming", (previously "A tractable approximation of stochastic programming via robust optimization".) with Xin Chen, Peng Sun and Jiawei Zhang, Operations Research, 2008, 56(2), 344-357
• "A Robust Optimization Perspective on Stochastic Programming", with Xin Chen and Peng Sun, Operations Research, 2007, 55(6), 1058-107
• "Robust Discrete Optimization and Downside Risk Measures", With Dimitris Bertsimas, NUS Working Paper, 2005
• "Tractable Approximations to Robust Conic Optimization Problems", with Dimitris Bertsimas, Mathematical Programming, 2006, 107(1), 5 - 36  
• "Robust Discrete Optimization and Network Flows", with Dimitris Bertsimas, Mathematical Programming, 2003, 98, 49-71
• "Robust Linear Optimization under General Norms", with Dimitris Bertsimas and Dessislava Pachamanova, Operations Research Letters, 2004, 32, 510-516
• "Price of Robustness", with Dimitris Bertsimas, Operations Research, 2004, 52(1), 35-53
• "Robust Optimization", PhD Thesis, Operations Research Center, MIT, June 2004

Applications in Operations Management:

• "Robust Warehouse Management", with Marcus Ang and Yun-Fong Lim, submitted to Management Science, Nov 2008.
• "Asymmetry and Ambiguity in Newsvendor Models", with Karthik Natarajan and Joline Uichanco, submitted to Operations Research, July 2008.
• "Robust Approximation to Multi-Period Inventory Management" , with Chuen-Teck  (previously  as "Robust Inventory Management Using Tractable Replenishment Policies"), accepted in Operations Research, Jan 2009.
• "A Robust Optimization Framework for Analyzing Distribution Systems with Transshipment", with Macus Ang, Mabel Chou and Rick So, submitted, June 2008

Applications in Project Management:

• "Robust Optimization Strategies for Total Cost Control in Project Management", Joel Goh and Nick Hall, submitted, March 2010.

Applications in Finance:

• "Portfolio Value-at-Risk Optimization for Asymmetrically Distributed Asset Returns", with Joel Goh, Kian-Guan Lim and Weina Zhang. Submitted 2009.
• "Tractable Robust Expected Utility and Risk Models for Portfolio Optimization", with Karthik Natarajan and Joline Uichanco, accepted in Mathematical Finance, Dec 2008.
• "Incorporating Asymmetric Distributional Information in Robust Value-at-Risk Optimization", (previously "A Tractable Parametric Approach to Value-at-Risk Optimization"), with Karthik Natarajan and Dessislava Pachamanova, Management Science, March 2008, 54(3), 573-585.
  Matlab code for calculating directional deviations.
  Small Cap Return Data.

Applications in Engineering:

• "Convergence properties of constrained linear system under MPC control law using affine disturbance feedback", with Chen Wang and Chong-Jin Ong, Automatica, July 2009, 45(7), 1715-1720.
• "Model Predictive Control Using Segregated Disturbance Feedback", with Chen Wang and Chong-Jin Ong, onally accepted in IEEE Transactions on Automatic Control, April 2009.
• "Constrained linear system with disturbances: stability under disturbance feedback", with Chen Wang and Chong-Jin Ong, Automatica, October 2008, 44(10), 2583-2587.

Decisions under Uncertainty - Risk and Satisficing Measures

Theory

• "Dual representation of choice and aspirational preferences" with David Brown and Enrico De Giorgi, 2010. The previous title comes by "A Satisficing Alternative to Prospect Theory".
• "Satisficing Measures for Analysis of Risky Positions", with David Brown,  Management Science, 2009, 55(1), 71-84.
• "Goal Driven Optimization", with Wenqing Chen, Operations Research, 2009, 57(2), 342-357.
• "Constructing Risk Measures from Uncertainty Sets", with Karthik Natarajan and Dessislava Pachamanova, Operations Research, 2009, 57(5), 1129-1147.

Applications in Operations Management

• "Risk Aversion in Inventory Management", with Xin Chen, Peng Sun and David Simchi-Levi, Operations Research, 2007, 55(5), 828-842.

Applications in Project Management

• "A Satisficing Model for Project Selection", with Nick Hall, Zhuoyu Long and Jin Qi. Submitted. Dec 2009.

Applications in Finance

• "Skewness-Aware Asset Allocation: New Theoretical Observations and Empirical Evidence", with Chee-Kiat Low  and Dessislava Pachamanova, accepted in Mathematical Finance, March 2010.

 

Miscellaneous

• "Vehicle Routing Problem with time-Windows and a Limited Number of Vehicles", with Hoong-Chuin Lau and Kwong-Meng Teo, European Journal of Operational Research, 2003 148:3, 559-569
• "Optimising Train Movements through Coast Control using Genetic Algorithms", with C.S. Chang, IEE Proceedings-Electric Power Applications, Jan 1997, 144(1), 65-73.