Research Project

MISAG-CNR-1, Robust Provisioning of Virtual Private Networks,  co-funded by TUBITAK (Turkey) and Consiglio Nazionale delle Ricerche (Italy), Principal Investigators: Mustafa.C. Pinar and Prof. Francesco Maffioli (Politecnico di Milano). Participants: Prof. Edoardo Amaldi, Dr. Pietro Belotti (both from Politecnico di Milano), Prof. Oya Ekin-Karasan, PhD candidate Aysegul Altin (Bilkent), Duration: March 2003-May 2005.

 Recent work (2004-present)

• M.C. Pinar, Gain-Loss Based Convex Risk Limits in Discrete-Time Trading , August 2008 (in preparation).
• M.C. Pinar, Gain-Loss Pricing under Ambiguity of Measure, August 2008, accepted for publication in ESAIM: Control, Optimization and Calculus of Variations.
• R.J. Vanderbei and M.C. Pinar, Pricing American Perpetual Warrants by Linear Programming, June 2008.
• M.C. Pinar and A. Camci, Integer Programming for Pricing American Contingent Claims under Transaction Costs , June 2008, abstract.
• Y.E. Arisoy, A. Altay-Salih and M.C. Pinar, Non-negative Wealth, Options and C-CAPM, August 2007, paper.
• A. Camci and M.C. Pinar, Pricing American Contingent Claims by Stochastic Linear Programming , July 2007, accepted for publication in Optimization, abstract.
• A. Altin, H. Yaman and M.C. Pinar, The Robust Network Loading Problem under Polyhedral Demand Uncertainty: Formulation, Polyhedral Analysis and Computations , June 2007, paper.
  
• T. Caskurlu, A. Altay-Salih, F. Salman and M.C. Pinar, Can Central Bank Interventions Affect the Exchange Rate Volatility? Multivariate GARCH Approach using Constrained Nonlinear Programming, May 2007, paper.
  
• M. M. Fadiloglu, O. E. Karasan and M.C. Pinar, A Model and Case Study for Efficient Shelf Usage and Assortment Analysis, accepted for publication in Annals of Operations Research, paper.
  
• K. Derinkuyu, M.C. Pinar and A. Camci, An Improved Probability Bound for the Approximate S-Lemma,  Operations Research Letters, Vol. 35, No. 6, Nov. 2007, 743-746, paper.
  
• A. Altin, E. Amaldi, P. Belotti and M.C. Pinar, Provisioning Virtual Private Networks under Traffic Uncertainty,  Networks, Vol. 20, No. 1, January 2007, pp. 100-115, paper.
• A. Altin, P. Belotti and M.C. Pinar, OSPF Routing with Optimal Oblivious Performance Ratio under Polyhedral Demand Uncertainty, Tech. report, 2006, paper.
• M.C. Pinar, Sharpe-Ratio Pricing and Hedging of Contingent Claims in Incomplete Markets by Convex Programming, Automatica, Vol. 44, No. 8, August 2008, pp. 2063-2073, paper.
  
• B. Ucar, C. Aykanat, M.C. Pinar and T. Malas, Parallel Image Restoration by Surrogate Constraint Methods,   October 2006 (revised version)  paper, Journal of Parallel and Distributed Computing, Vol. 67, 186-204, 2007.
• M. C. Pinar, A. Altay-Salih and A. Camci, Expected Gain-Loss Pricing and Hedging of Contingent Claims in Incomplete Markets by Linear Programming, May 2007, paper.
• M.C. Pinar, A Note on Measures of Model Uncertainty and Calibrated Option Bounds,   June 2006, accepted for publication in Optimization,   paper.
• H. Yaman, O.E. Karasan and M.C. Pinar, Restricted Robust Optimization for Maximization over Uniform Matroid with Interval Data Uncertainty,   paper, Mathematical Programming, Vol. 110, No. 2, 431-441, July 2007.
• M. C. Pinar, On Robust Quadratic Hedging of Contingent Claims in Incomplete Markets under Ambiguous Uncertainty, March 2006, presented at the First Conference on Advanced Mathematical Methods in Finance, April 2006.
• K. Derinkuyu and M.C. Pinar, On the S-Procedure and Some Variants,  August 2006, Mathematical Methods of Operations Research, Vol. 64, No. 1, 55-77,  paper.
• M.C. Pinar, and M. Teboulle, On Semidefinite Bounds for Maximization of a Non-convex Quadratic Objective over the L1-Unit Ball,  RAIRO Operations Research, Vol. 40, No. 3, pp. 253-265, 2006, paper.
• O.E. Karasan, M.C. Pinar, and H. Yaman, Robust DWDM Routing and Provisioning under Polyhedral Demand Uncertainty,  April 2005, paper.
• M.C. Pinar, Robust Scenario Optimization based on Downside-Risk Measure for Multi-period Portfolio Selection,   OR Spectrum, Vol. 29, No.2, pp. 295-309, April 2007,paper.
• P. Belotti and M.C. Pinar, Optimal Oblivious Routing under Linear and Ellipsoidal Uncertainty,   Optimization and Engineering , Vol.9, No. 3, Sept. 2008, 257-271, paper.
• M.C. Pinar and R. Tutuncu, Robust Profit Opportunities in Risky Financial Portfolios,  Operations Research Letters, Vol.33, No.4, pp. 331-340, 2005,  paper.
• F.A. Özsoy and M.C. Pinar, An Exact Algorithm for the Capacitated Vertex p-Center Problem,  Computers and Operations Research, Vol. 33, No. 5, May 2006, pp. 1420-1436, paper.
• M.C. Pinar and W.M. Hartmann, Huber Approximation for Nonlinear L1 Estimation,   European Journal of Operational Research, Vol. 109, No. 3, March 2006, pp. 1096-1107,  paper.
• M.C. Pinar and O. Arikan, On Robust Solutions to Linear Least Squares Problems Affected by Data Uncertainty and Implementation Errors with Application to Stochastic Signal Modeling,  paper, Linear Algebra and Its Applications, Vol. 391C (2004), pp. 223-243.
• A. Altin, E. Amaldi, P. Belotti and M.C. Pinar, Virtual Private Network Design under Traffic Uncertainty,  Electronic Notes in Discrete Mathematics, Vol. 17, October 2004, pp. 19-22, paper.
• M.C. Pinar, Some Extensions of Beck-Teboulle Global Optimality Conditions for Bivalent Quadratic Optimization, Talk in Summer School on Modern Convex Optimization, CORE, Universite catholique de Louvain, Louvain-la-neuve,  Belgium, August 2002. The  paper based on this talk is in Journal of Optimization Theory and Applications, Vol. 122, No.2, pp. 193-200, August 2004.
• M.C. Pinar, "A Note on Robust 0-1 Optimization with Uncertain Cost Coefficients" published in 4OR, Quarterly Journal of the Belgian, French and Italian Operations Research Societies, Vol.2 (2004), pp. 309-316.
• M.C. Pinar, Finite Computation of the L1 Estimator from Huber's M-Estimator, Computing (Archives for Scientific Computing), 72, 365-384, 2004, paper.
  

 Publications (1998-2003)

• A. Altay-Salih, M.C. Pinar and S. Leyffer, Constrained Nonlinear Programming for Volatility Estimation with GARCH Models,  paper , SIAM Review  45(3), 485-503, September 2003. Results with the DAX index can be found in a (gzipped Linux tar) file here.
• M.C. Pinar, A Derivation of Lovasz Theta via Augmented Lagrange Duality,  RAIRO-Recherche Opérationnelle, Vol. 37(1), 17-27, 2003, paper.
• E. Karasan, O. Ekin-Karasan, N. Akar, and M.C. Pinar, Mesh Topology Design in Overlay Virtual Private Networks, paper , August 2002, Electronics Letters, Vol. 38, No. 16,  939-941.
• M.C. Pinar, Linear Huber M-Estimator under Ellipsoidal Data Uncertainty ( Paper) , ( Data ), December 2002,   BIT, Vol. 42(4) , 856-866.
  
• M.C. Pinar, A Global Error Bound for Quadratic Perturbation of Linear Programs, Applied Mathematics Letters, Vol. 15 (2002), 367-370,  paper.
• H. Yaman, O.E. Karasan, and M.C. Pinar, The Robust Minimum Spanning Tree Problem with Interval Data, paper, Operations Research Letters. Vol 29(2001), 31-40.
• Ulku Gurler, Mustafa C. Pinar, and Mohammed Mehdi Jelassi, On Closed-Form Solutions of a Resource Allocation Problem in Parallel Funding of R and D Projects, Operations Research Letters , Vol. 27(2000), 229-234, (paper, abstract)
• M.C. Pinar, A Simple Duality Proof in Convex Quadratic Programming with a Quadratic Constraint and Some Applications , European Journal of Operational Research , 124 (2000), 151-158, paper.
• M.C. Pinar and B. Chen, L1 Solution of Linear Inequalities , IMA Journal of Numerical Analysis , 19(1999), 19-37.
• B. Chen, P.T. Harker and M.C. Pinar, Continuation Method for Nonlinear Complementarity Problems via Normal Maps , European Journal of Operational Research, 116(1999), 591-606.
• M.C. Pinar, A Characterization of the Optimal Set of Linear Programs based on the Augmented Lagrangian, Journal of Information and Optimization Sciences, 20(1999), 299-308.
• K. Madsen, H.B. Nielsen and M.C. Pinar, Bound Constrained Quadratic Programming via Piecewise Quadratic Functions , Mathematical Programming, 85 (1999), 135-156, paper.
• K. Madsen, H.B. Nielsen and M.C. Pinar, A Finite Continuation Algorithm for Bound Constrained Quadratic Programming , SIAM Journal on Optimization,  9 (1998), 62-83, paper.
• B. Chen and M.C. Pinar, On Newton's Method for Huber's M-Estimation Problems in Linear Regression,   BIT. Vol. 38(1998), 674-684.
• H. Ozaktas, M.C. Pinar and M. Akgul, Restoration of Space Variant Global Blurs Caused by Severe Camera Movements and Coordinate Distortions, Journal of Optics, 29 (1998), 303-310.
• M.C. Pinar and S. Elhedhli, A Penalty Continuation Method for L-infinity Solution of Overdetermined Linear Systems , BIT . Vol. 38(1998), 127-150.
• M.C. Pinar, Newton's Method for Linear Inequality Systems , European Journal of Operational Research, 107 (1998), 710-719.

Preprints

• T. Ilhan and M.C. Pinar, An Efficient Exact Algorithm for the Vertex p-Center Problem,  paper, September 2001.
• O. Ekin-Karasan, M.C. Pinar and H. Yaman, The Robust Shortest Path Problem with Interval Data, paper, August 2001.

Earlier Work (1992-1997)

• M.C. Pinar, Piecewise Linear Pathways to the Optimal Solution Set in Linear Programming, Journal of Optimization Theory and Applications , 93 (1997), 619-634.
• M.C. Pinar, Duality in Robust Linear Regression using Huber's M-estimator , Applied Mathematics Letters , 10 (1997), 65-70.
• K.Madsen, H.B. Nielsen and M.C. Pinar, A New Finite Continuation Algorithm for Linear Programming , SIAM Journal on Optimization , 6 (1996), 600-616.
• H. Ozaktas, M. Akgul and M.C. Pinar, A Parallel Surrogate Constraint Approach to the Linear Feasibility Problem , Lecture Notes in Computer Science , 1184 (1996), 565-574.
• A. Pinar, U. Catalyurek, C. Aykanat and M.C. Pinar, Decomposing Linear Programs for Parallel Solution , Lecture Notes in Computer Science , 1041 (1996), 473-482.
• C. Bendtsen, P.C. Hansen, K.Madsen, H.B. Nielsen and M.C. Pinar, Implementation of QR Up- and Downdating on a Massively Parallel Computer , Parallel Computing , 21 (1995), 49-61.
• S.A. Zenios, M.C. Pinar, and R.S. Dembo A Smooth Penalty Function Algorithm for Network Structured Problems , European Journal of Operational Research, 83 (1995), 220-236.
• M.C. Pinar, and S.A. Zenios On Smoothing Exact Penalty Functions for Convex Constrained Optimization , SIAM Journal on Optimization , 4 (1994), 486-511.
• M.C. Pinar, and S.A. Zenios A Data-parallel Linear-quadratic Penalty Algorithm for Multicommodity Network Flows , ACM Transactions on Mathematical Software, 20 (1994), 531-553.
• I. Krass, M.C. Pinar, T.J. Thompson, and S.A. Zenios A Network Model to Maximize Navy Personnel Readiness and Its Solution , Management Science, 40 (1994), 647-661.
• K.Madsen, H.B. Nielsen and M.C. Pinar, New Characterizations of L1 Solutions for Overdetermined Linear Systems of Equations , Operations Research Letters , 16 (1994), 159-166.
• M.C. Pinar, and S.A. Zenios, Parallel Decomposition of Multicommodity Flows using Linear-quadratic Penalty Functions , ORSA Journal on Computing , 4 (1992), 235-249.
• S.A. Zenios and M.C. Pinar, Parallel Block Partitioning of Truncated Newton for Nonlinear Network Optimization , SIAM Journal on Scientific and Statistical Computing , 13 (1992), 1173-1193.