2) Imperial College London

Scientific Staff

Staff Member Involvment

Prof Berç Rustem 15%
Dr Daniel Kuhn 10%
Prof Istvan Maros 5%
Dr Panos Parpas 5%

Berç Rustem holds a PhD in optimisation from University of London. He is Professor of Computational Methods in Operations Research at Imperial College London. He is Editor of Automatica, Computational Management Science and Advisory Editor of Journal of Economic Dynamics & Control.

Expertise of the Team

Imperial College London has a long tradition of research into optimisation methods and algorithms and their application to all engineering disciplines, macroeconomic policy and finance. Currently, the team in the Department of Computing specialises in stochastic programming, scenario tree generation research, linear and nonlinear optimisation (Maros, 2003) semidefinite and second order cone programming, minimax and worst-case robust strategies (Rustem and Howe, 2002, Rustem, Parpas, Zakovic, 2007), chance constrained optimisation (Parpas, Rustem, Pistikopoulos, 2008) global optimisation and their application to energy generation (Kuhn, 2007), pricing and general portfolio optimisation (Osorio, Gulpinar, Rustem, 2007).

References:

  • N. Gulpinar, M. Osorio, B. Rustem, "A mixed-integer programming model for multistage mean-variance post-tax optimization", European J of Operations Research, 2007.
  • D. Kuhn. Aggregation and Discretization in Multistage Stochastic Programming, Mathematical Programming, Series A. 2007.
  • I. Maros, Computational Techniques of the Simplex Method, Kluwer International Series in OR & Management Science, 2003.
  • P. Parpas, B. Rustem, E.N Pistikopoulos, “Global optimization of robust chance constrained problems”, J of Global Optimization, 2008.
  • B. Rustem, P. Parpas, S. Zakovic, "Convergence of an interior point algorithm for continuous minimax", J of Optimization Theory & Applications, 2007.
  • B. Rustem, M. Howe, Worst-Case Design Algorithms and Applications to Risk Management, Princeton University Press, New Jersey, 2002.