Open Source Projects
- C++ Format: small, safe and fast string formatting library for C++.
- AMPL: AMPL solvers, table handlers and examples.
Automatic Reformulation of Second-Order Cone Programming Problems. ICS 2015, Richmond, VA, January 2015.
Constraint Programming in AMPL.
CP 2013, Uppsala, Sweden, September 2013.
A Solver for Problems with Second-Order Stochastic Dominance Constraints.
ICSP 2013, Bergamo, Italy, July 2013.
Connecting Constraint Solvers to AMPL. CPAIOR 2013, Yorktown Heights, NY, May 2013.
The AMPL Interface to Constraint Programming Solvers. ICS 2013, Santa Fe, NM, January 2013.
- Fábián, C.I., Mitra G., Roman D., and Zverovich V. (2011).
An enhanced model for portfolio choice with SSD criteria: a constructive approach.
Quantitative Finance, 11(10), 1525-1534. Link
- Fábián, C.I., Mitra, G., Roman, D., Zverovich, V., Vajnai, T., Csizmás, E., and Papp, O. (2011).
Portfolio Choice Models Based on Second-Order Stochastic Dominance Measures: An Overview and a Computational Study.
In Bertocchi M. I., Consigli G., Dempster M.A.H. (Eds.) Stochastic Optimization Methods in Finance and Energy:
New Financial Products and Energy Market Strategies, Chapter 18 (pp. 441-469). Springer, New York.
- Zverovich, V. (2011). Modelling and solution methods for stochastic optimisation.
Ph.D. thesis, Brunel University, UK. Link
- Zverovich, V., Fábián C.I., Ellison F., and Mitra, G. (2010).
A computational study of a solver system for processing two-stage stochastic linear programming problems.
Stochastic Programming E-Print Series 9. Link
- Roman, D., Mitra, G., and Zverovich, V. (2013). Enhanced indexation based on second-order stochastic dominance.
European Journal of Operational Research, 228 (1), 273-281.
- Zverovich, V., Fábián C.I., Ellison F., and Mitra, G. (2012).
A computational study of a solver system for processing two-stage stochastic LPs with enhanced Benders decomposition.
Mathematical Programming Computation. September 2012, Volume 4, Issue 3, pp 211-238
- Lazić, J., Mitra, G., Mladenović, N., and Zverovich, V. (2010).
Variable neighbourhood decomposition search for a two-stage stochastic mixed integer programming problem.
Discrete Applied Mathematics. Submitted to special issue devoted to Matheuristics conference,
June 28-30, 2010, Vienna, Austria.