Publications
73 results found
Parpas P, Rustem B, 2008, A pricing mechanism for resource management in grid computing, Computational Economics, Vol: 4, Pages: 381-295
Rustem B, Zakovi S, Parpas P, 2008, Convergence of an interior point algorithm for continuous minimax, Journal of Optimization Theory and Applications, Vol: 136, Pages: 87-103
Parpas P, Rustem B, 2008, Decomposition Algorithms for the Solution of Multistage Mean-Variance Optimization Problems, Encyclopedia of Optimization, Publisher: Springer US, Pages: 619-627, ISBN: 9780387747583
Kuhn D, Parpas P, Rustem B, 2008, Bound-based decision rules in multistage stochastic programming, Vol: 44, Pages: 134-150
We study bounding approximations for a multistage stochastic program with expected value constraints. Two simpler approximate stochastic programs, which provide upper and lower bounds on the original problem, are obtained by replacing the original stochastic data process by finitely supported approximate processes. We model the original and approximate processes as dependent random vectors on a joint probability space. This probabilistic coupling allows us to transform the optimal solution of the upper bounding problem to a near-optimal decision rule for the original problem. Unlike the scenario tree based solutions of the bounding problems, the resulting decision rule is implementable in all decision stages, i.e., there is no need for dynamic reoptimization during the planning period. Our approach is illustrated with a mean-risk portfolio optimization model.
Parpas P, Rustem B, 2008, Maximum Entropy and Game Theory, Encyclopedia of Optimization, Publisher: Springer US, Pages: 1999-2004, ISBN: 9780387747583
Parpas P, Rustem B, 2008, Global Optimization Algorithms for Financial Planning Problems, Encyclopedia of Optimization, Publisher: Springer US, Pages: 1277-1282, ISBN: 9780387747583
Parpas P, Rustem B, 2008, Laplace Method and Applications to Optimization Problems, Encyclopedia of Optimization, Publisher: Springer US, Pages: 1818-1822, ISBN: 9780387747583
Parpas P, Rustem B, 2008, Duality Gaps in Nonconvex Optimization, Encyclopedia of Optimization, Publisher: Springer US, Pages: 802-805, ISBN: 9780387747583
Parpas P, Rustem B, 2007, Computational assessment of nested Benders and augmented Lagrangian decomposition for mean-variance multistage stochastic problems, INFORMS Journal on Computing, Vol: 19, Pages: 239-147
Parpas P, Rustem B, 2006, Decomposition of Multistage Stochastic Quadratic Problems In Finanical Engineering, INFORMS Journal on Computing
Parpas P, Rustem B, 2006, Global optimization of the scenario generation and portfolio selection problems, Lecture Notes in Computer Science, Publisher: Springer-Verlag
Parpas P, Rustem B, Pistikopoulos EN, 2006, Linearly constrained global optimization and stochastic differential equations, Journal of Global Optimization, Vol: 36, Pages: 191-217
Parpas P, Rustem B, Towards A Grid Market
In this paper we discuss a basic framework for a grid computing market. It has long been argued that pricing of computer resources can act as a scheduling protocol. We take this idea to its natural conclusion by discussing the basic properties of such a model. We introduce agents that own computer resources on the grid. We allow the agents to trade resources as well as consume resources for the benefit of their own computing needs. The aim is to study the behavior of such agents and discuss existence of equilibria between the price process and consumption of resources. At such an equilibrium point all the resources are consumed as soon as they are made available, and the market is at zero net supply.
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