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#### Parallel image restoration using surrogate constraint methods

(Academic Press, 2007)

When formulated as a system of linear inequalities, the image restoration problem yields huge, unstructured, sparse matrices even for images of small size. To solve the image restoration problem, we use the surrogate ...

#### Sharpe-ratio pricing and hedging of contingent claims in incomplete markets by convex programming

(Elsevier, 2008-08)

We analyze the problem of pricing and hedging contingent claims in a financial market described by a multi-period, discrete-time, finite-state
scenario tree using an arbitrage-adjusted Sharpe-ratio criterion. We show that ...

#### On closed-form solutions of a resource allocation problem in parallel funding of R & D projects

(Elsevier, 2000)

In order to reduce the risk of complete failure, research managers often adopt a parallel strategy by simultaneously funding several R&D activities and several research teams within each activity. The parallel strategy ...

#### Pricing American contingent claims by stochastic linear programming

(Taylor & Francis, 2009)

We consider pricing of American contingent claims (ACC) as well as their special cases, in a multi-period, discrete time, discrete state space setting. Until now, determining the buyer's price for ACCs required solving an ...

#### Measures of model uncertainty and calibrated option bounds

(Taylor & Francis, 2009)

Recently, Cont introduced a quantitative framework for measuring model uncertainty in the context of derivative pricing [Model uncertainty and its impact on the pricing of derivative instruments, Math. Finance, 16(3) (2006), ...

#### Optimal oblivious routing under linear and ellipsoidal uncertainty

(Springer, 2008)

In telecommunication networks, a common measure is the maximum congestion (i.e., utilization) on edge capacity. As traffic demands are often known with a degree of uncertainty, network management techniques must take into ...

#### An improved probability bound for the Approximate S-Lemma

(Elsevier, 2007)

The purpose of this note is to give a probability bound on symmetric matrices to improve an error bound in the Approximate S-Lemma used in establishing levels of conservatism results for approximate robust counterparts.

#### An exact algorithm for the capacitated vertex p-center problem

(Elsevier, 2006)

We develop a simple and practical exact algorithm for the problem of locating p facilities and assigning clients to them within capacity restrictions in order to minimize the maximum distance between a client and the ...

#### Restricted robust uniform matroid maximization under interval uncertainty

(Springer, 2007)

For the problem of selecting p items with interval objective function coefficients so as to maximize total profit, we introduce the r-restricted robust deviation criterion and seek solutions that minimize the r-restricted ...