Recent Publications

1. K. C. Toh, R. H. Tütüncü, and M. J. Todd.
   Inexact primal-dual path-following algorithms for a special class of convex quadratic SDP and related problems
   revised May 2006, submitted to the Pacific Journal of Optimization.

2. A. Takeda, S. Taguchi, and R. H. Tütüncü.
   Adjustable robust optimization models for nonlinear multi-period optimization
   August 2004, revised March 2005, submitted.

3. A. M. Monteiro, R. H. Tütüncü, and L. N. Vicente.
   Recovering risk-neutral probability density functions from options prices using cubic splines
   July 2004, submitted.

4. K. C. Toh, R. H. Tütüncü, and M. J. Todd.
   On the implementation of SDPT3 (version 3.1) -- a Matlab software package for semidefinite-quadratic-linear programming
   January 2004, 2004 IEEE Conference on Computer-Aided Control System Design, Invited Paper.

5. M. Pinar and R. H. Tütüncü.
   Robust profit opportunities in risky financial portfolios,
   Operations Research Letters, Vol. 33, No. 4, pp. 331-340 (2005).

6. K. Larsen, T. Pirvu, S. Shreve, and R. H. Tütüncü.
   Satisfying convex risk limits by trading
   Finance and Stochastics, Vol. 9, No. 2, pp. 177-195 (2005).

7. S. Herzel, C. Starica, and R. H. Tütüncü.
   A non-stationary paradigm for the dynamics of multivariate financial returns
   in Dependence in Probability and Statistics Lecture Notes in Statistics, Vol. 187, Bertail, Patrice; Doukhan, Paul; Soulier, Philippe (Eds.) (2006).

8. R. H. Tütüncü and M. Koenig.
   Robust asset allocation
   Annals of Operations Research, Vol. 132, pp. 157-187 (2004).

9. R. H. Tütüncü.
   Asymptotic behavior of continuous trajectories for primal-dual potential-reduction methods
   SIAM Journal on Optimization, Vol. 14, No. 2, pp. 402-414 (2004).

10. R. H. Tütüncü, K. C. Toh, and Todd, M. J.
    SDPT3 --- a Matlab software package for semidefinite-quadratic-linear programming, version 3.0
    August 2001.

11. E. J. Chester and R. H. Tütüncü.
    Rendezvous Search on the Labeled Line
    Operations Research, Vol. 52, No. 2, pp. 330-334 (2004).

12. R. H. Tütüncü, K. C. Toh, and M. J. Todd.
    Solving semidefinite-quadratic-linear programs using SDPT3
    Mathematical Programming, Vol. 95, No. 2, pp. 189-217 (2003).

13. R. H. Tütüncü.
    A note on calculating the optimal risky portfolio
    Finance and Stochastics, Vol. 5, No. 3, pp. 413-417 (2001).

14. B. V. Halldórsson and R. H. Tütüncü.
    An interior-point method for a class of saddle point problems
    Journal of Optimization Theory and Applications, Vol. 116, No. 3, pp. 559-590 (2003).

15. A. M. Cervantes, A. Wächter, R. H. Tütüncü, and L. Biegler.
    A reduced space interior point strategy for optimization of differential algebraic systems
    Computers and Chemical Engineering, Vol. 24, No. 1, pp. 39-51 (2000).

16. R. H. Tütüncü.
    Quadratic convergence of potential-reduction methods for degenerate problems
    Mathematical Programming, Vol. 90, No. 1, pp. 169-203 (2001).

17. R. H. Tütüncü.
    A primal-dual variant of the Iri-Imai algorithm for linear programming
    Mathematics of Operations Research, Vol. 25, No. 2, pp. 195-213 (2000).

18. K. C. Toh, M. J. Todd, and R. H. Tütüncü.
    SDPT3 --- a Matlab software package for semidefinite programming
    Optimization Methods and Software, Vol. 11/12, pp. 545-581 (1999).

19. R. H. Tütüncü.
    An Infeasible-Interior-Point Potential-Reduction Method For Linear Programming
    Mathematical Programming, Vol. 86, No. 2, pp. 313-334 (1999).

20. M. J. Todd, K. C. Toh, and R. H. Tütüncü.
    On the Nesterov-Todd Direction in Semidefinite Programming
    SIAM J. on Optimization, Vol. 8, No. 3, pp. 769-796 (1998).