Javier F. Peña

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Associate Professor of Operations Research

Teaching and Research Interests:

• Computation of equilibria in large sequential games. Financial optimization. Algorithms for convex programming. Condition numbers for optimization. Applications of conic programming.

Website and/or personal homepage:
http://www.andrew.cmu.edu/user/jfp

Published Papers: 

• A Condition Number for Multifold Conic Systems
  Journal of Optimization 19, 2008.
  (With: D Cheung, Felipe Cucker)
  
  
• An Estimation-Free Robust CVaR Portfolio Allocation Model
  Journal of Risk 11, 2008; 57-78.
  (With: Juan Carlos Vera, Luis F. Zuluaga)
  
  
• Computing the Stability Number of a Graph via Linear and Semidefinite Programming
  SIAM Journal on Optimization 18, 2007; 87-105.
  (With: Luis F. Zuluaga, Juan Carlos Vera)
  
  
• A Primal-Dual Symmetric Relaxation for Homogeneous Conic Systems
  Journal of Complexity 23, 2007; 245-261.
  (With: Juan Carlos Rivera, Juan Carlos Vera, Yao Hui)
  
  
• LMI Approximations for Cones of Positive Semidefinite Forms
  SIAM Journal on Optimization 16, 2006; 1076-1091.
  (With: Luis F. Zuluaga, Juan Carlos Vera)
  
  
• On the block-structured distance to non-surjectivity of sublinear mappings
  Mathematical Programming 103, 2005; 561-573.
  
  
• A conic programming approach to generalized Tchebycheff inequalities
  Mathematics of Operations Research 30, 2005; 369-388.
  (With: Luis F. Zuluaga)
  
  
• Conic systems and sublinear mappings: equivalent approaches
  Operations Research Letters 32, 2004; 463-467.
  
  
• A characterization of the distance to infeasibility under structured perturbations
  Linear Algebra and its Applications 370, 2003; 193-216.
  
  
• Unifying condition numbers for linear programming
  Mathematics of Operations Research 28, 2003; 609-624.
  (With: D Cheung, Felipe Cucker)
  
  
• Two Properties of Condition Numbers for Convex Programs via Implicitly Defined Barrier Functions
  Mathematical Programming 93, 2002.
  
  
• A Primal-Dual Algorithm for Solving Polyhedral Conic Systems with a Finite-Precision Machine
  SIAM Journal on Optimization 12, 2002; 522-554.
  (With: Felipe Cucker)
  
  
• Conditioning of Convex Programs from a Primal-Dual Perspective
  Mathematics of Operations Research 26, 2001; 206-220.
  
  
• Computing Approximate Solutions for Conic Systems of Constraints
  Mathematical Programming 87, 2000; 351-383.
  (With: J. Renegar)
  
  
• Understanding the Geometry of Infeasible Perturbations of a Conic Linear System
  SIAM Journal on Optimization 10, 2000; 534-550.
  
  

Working Papers: 

• A Condition Number for Multifold Conic Systems
  July, 2006.
  (With: D Cheung, Felipe Cucker)
  
  
• Static-arbitrage bounds on the prices of basket options via linear programming
  July, 2006.
  (With: Juan Carlos Vera, Luis F. Zuluaga)
  
  
• Extensions of Lo's semiparametric bound for European call options
  May, 2006.
  (With: Luis F. Zuluaga, Donglei Du)
  
  
• Exploiting Equalities in Polynomial Programming
  May, 2006.
  (With: Juan Carlos Vera, Luis F. Zuluaga)
  
  
• A Condition Number for Second-order Conic Systems
  March, 2006.
  (With: D Cheung, Felipe Cucker)
  
  
• Lift-and-project for 0-1 programming via algebraic geometry
  November, 2004.
  (With: Luis F. Zuluaga, Juan Carlos Vera)
  
  

Awards:

• George Leland Bach Award for Excellence in the Classroom, MBA Program - 2005
• Caterpillar Research Chair, GSIA - 2002
• NSF Career Award - 2001-2006
• Olin Fellowship, Cornell University - 1994-1998