Professor Gautam Mitra

Professor Gautam Mitra Director of CARISMA / Professor Emeritus
Room: John Crank 106
Brunel University London
Uxbridge
UB8 3PH
United Kingdom
Tel: +44 (0)1895 265186
Email: gautam.mitra@brunel.ac.uk
Web: Personal Website

Research Interests

Stochastic programming, chance constraint programming, Quadratic programming. Risk modelling and optimum risk decisions. Portfolio planning, asset and liability management. Solution algorithms for large scale linear, integer and mixed integer programming problems.

University Research Centre Membership

Research Group Membership

Publications

Journal Papers

(2009) Date, P., Lade, RJ., Mitra, G. and Moore, PE., Modelling the risk of failure in explosion protection installations, Journal of Loss Prevention in the Process Industries 22 (4) : 492- 498 Download publication

(2009) Valente, C., Mitra, G., Sadki, M. and Fourer, R., Extending algebraic modelling languages for stochastic programming, INFORMS Journal on Computing 21 (1) : 107- 122

(2008) Wu, WB., Yu, K. and Mitra, G., Kernel conditional quantile estimation for stationary processes with application to conditional value-at-risk, Journal of Financial Econometrics 6 (2) : 253- 270

(2008) Poojari, CA., Lucas, C. and Mitra, G., Robust solutions and risk measures for a supply chain planning problem under uncertainty, Journal of the Operational Research Society 59 (1) : 2- 12

(2007) Dempster, MAH., Mitra, G. and Pflug, GC., Introduction to the special issue on financial planning in a dynamical setting, Quantitative Finance 7 (2) : 111- 112

(2007) Dempster, MAH., Mitra, G. and Pflug, GC., Introduction to the special issue on portfolio construction and risk management, Quantitative Finance 7 (4) : 357- 358

(2007) Roman, D., Darby-Dowman, K. and Mitra, G., Mean-risk models using two risk measures: a multi-objective approach, Quantitative Finance 7 (4) : 443- 458 Download publication

(2007) Lucas, C., Mitra, G. and Poojari, CA., Risk based methods for supply chain planning and management, Journal of the Operational Research Society 58 (11) : 1397- 1397

(2007) Di Domenica, N., Mitra, G., Valente, P. and Birbilis, G., Stochastic programming and scenario generation within a simulation framework: an information systems perspective, Decision Support Systems 42 (4) : 2197- 2218

(2007) Valente, P. and Mitra, G., The evolution of web-based optimisation: from ASP to e-services, Decision Support Systems 43 (4) : 1096- 1116

(2006) Jobst, NJ., Mitra, G. and Zenios, SA., Integrating market and credit risk: a simulation and optimisation perspective, Journal of Banking and Finance 30 (2) : 717- 742

(2006) Roman, D., Darby-Dowman, K. and Mitra, G., Portfolio construction based on stochastic dominance and target return distributions, Mathematical Programming 108 (2-3) : 541- 569

(2005) Nwana, V., Darby-Dowman, K. and Mitra, G., A co-operative parallel heuristic for mixed zero-one linear programming: combining simulated annealing with branch and bound, European Journal of Operational Research 164 (1) : 12- 23 Download publication

(2005) Mitra, G., Introduction: Optimization and risk modelling, Computational Optimization and Applications 32 (1-2) : 5- 8

(2005) Volosov, K., Mitra, G., Spagnolo, F. and Lucas, C., Treasury management model with foreign exchange exposure, Computational Optimization and Applications 32 (1-2) : 179- 207 Download publication

(2004) Nwana, V., Darby-Dowman, K. and Mitra, G., A two-stage parallel branch and bound algorithm for mixed integer programs, IMA Journal of Management Mathematics 15 (3) : 227- 242 Download publication

(2004) Gülpinar, N., Gutin, G., Mitra, G. and Zverovitch, A., Extracting pure network submatrices in linear programs using signed graphs, Discrete Applied Mathematics 137 (3) : 359- 372

(2004) Mitra, G. and Zenios, S., Financial decision models in a dynamical setting - Foreword, Journal of Economic Dynamics and Control 28 (5) : 859- 860

(2002) Gülpinar, N., Mitra, G. and Maros, I., Creating advanced bases for large scale linear programs exploiting embedded network structure, Computational Optimization and Applications 21 (1) : 71- 93 Download publication

(2002) Dominguez-Ballesteros, B., Mitra, G., Lucas, C. and Koutsoukis, N-S., Modelling and solving environments for mathematical programming (MP): a status review and new directions, Journal of the Operational Research Society 53 (10) : 1072- 1092

(2001) Lucas, C., MirHassani, SA., Mitra, G. and Poojari, CA., An application of Lagrangian relaxation to a capacity planning problem under uncertainty, Journal of the Operational Research Society 52 (11) : 1256- 1266

(2001) Jobst, NJ., Horniman, MD., Lucas, CA. and Mitra, G., Computational aspects of alternative portfolio selection models in the presence of discrete asset choice constraints, Quantitative Finance 1 (5) : 489- 501

(2000) Vladimirou, H., Maros, I. and Mitra, G., Applied mathematical programming and modeling IV (APMOD 98) - Preface, Annals of Operations Research 99 (1-4) : 13- 16

(2000) MirHassani, SA., Lucas, C., Mitra, G., Messina, E. and Poojari, CA., Computational solution of capacity planning models under uncertainty, Parallel Computing 26 (5) : 511- 538

(2000) Gülpinar, N., Gutin, G., Mitra, G. and Maros, I., Detecting embedded networks in LP using GUB structures and independent set algorithms, Computational Optimization and Applications 15 (3) : 235- 247

(2000) Jacobson, M., Levkovitz, R., Ben-Tal, A., Thielemans, K., Spinks, T., Belluzzo, D., Pagani, E., Bettinardi, V., Gilardi, MC., Zverovich, A. and Mitra, G., Enhanced 3D PET OSEM reconstruction using inter-update Metz filtering, Physics in Medicine and Biology 45 (8) : 2417- 2439

(2000) Maros, I. and Mitra, G., Investigating the sparse simplex algorithm on a distributed memory multiprocessor, Parallel Computing 26 (1) : 151- 170

(1999) Jones, H., Mitra, G., Parkinson, D. and Spinks, T., A parallel implementation of the maximum likelihood method in positron emission tomography image reconstruction, Computational Statistics and Data Analysis 31 (4) : 417- 439

(1999) Koutsoukis, NS., Mitra, G. and Lucas, C., Adapting on-line analytical processing for decision modelling: the interaction of information and decision technologies, Decision Support Systems 26 (1) : 1- 30

(1998) Baricelli, P., Mitra, G. and Nygreen, B., Modelling of augmented makespan assignment problems (AMAPs): computational experience of applying integer presolve at the modelling stage, Annals of Operations Research 82 269- 288

(1997) Mitra, G., Hai, I. and Hajian, MT., A distributed processing algorithm for solving integer programs using a cluster of workstations, Parallel Computing 23 (6) : 733- 753

(1997) Messina, E. and Mitra, G., Modelling and analysis of multistage stochastic programming problems: a software environment, European Journal of Operational Research 101 (2) : 343- 359

(1995) Darby-Dowman, K., Fink, RK., Mitra, G. and Smith, JW., An intelligent system for US coast guard cutter scheduling, European Journal of Operational Research 87 (3) : 574- 585

(1995) Levkovitz, R. and Mitra, G., Experimental investigations in combining primal dual interior point method and simplex based LP solvers, Annals of Operations Research 58 (1) : 19- 38

(1995) El-Darzi, E. and Mitra, G., Graph theoretic relaxations of set covering and set partitioning problems, European Journal of Operational Research 87 (1) : 109- 121

(1994) Hadjiconstantinou, E. and Mitra, G., A linear and discrete programming framework for representing qualitative knowledge, Journal of Economic Dynamics and Control 18 (1) : 273- 297

(1994) Mitra, G., Lucas, C., Moody, S. and Hadjiconstantinou, E., Tools for reformulating logical forms into zero-one mixed integer programs, European Journal of Operational Research 72 (2) : 262- 276

(1992) El-Darzi, E. and Mitra, G., Solution of set-covering and set-partitioning problems using assignment relaxations, Journal of the Operational Research Society 43 (5) : 483- 493

(1992) Andersen, J., Mitra, G. and Parkinson, D., The scheduling of sparse matrix-vector multiplication on a massively parallel DAP computer, Parallel Computing 18 (6) : 675- 697

(1990) El-Darzi, E. and Mitra, G., Set covering and set partitioning: a collection of test problems, Omega 18 (2) : 195- 201

(1988) Judice, JJ. and Mitra, G., An enumerative method for the solution of linear complementarity problems, European Journal of Operational Research 36 (1) : 122- 128

(1988) Lucas, C. and Mitra, G., Computer-assisted mathematical programming (modelling) system: CAMPS, The Computer Journal 31 (4) : 364- 375

(1988) Mitra, G., Tamiz, M. and Yadegar, J., Experimental investigation of an interior search method within a simplex framework, Communications of the ACM 31 (12) : 1474- 1482

(1988) Darby-Dowman, K., Lucas, C., Mitra, G. and Yadegar, J., Linear, integer, separable and fuzzy-programming problems - a unified approach towards reformulation, Journal of the Operational Research Society 39 (2) : 161- 171

(1988) Judice, JJ. and Mitra, G., Reformulation of mathematical programming problems as linear complementarity problems and investigation of their solution methods, Journal of Optimization Theory and Applications 57 (1) : 123- 149

(1987) Judice, JJ., Mitra, G. and Tamiz, M., Unsymmetric sparse linear equation solver by the envelope method: SPLNEQ, Operations Research Letters 6 (5) : 257- 258

(1985) Darby-Dowman, K. and Mitra, G., An extension of set partitioning with application to scheduling problems, European Journal of Operational Research 21 (2) : 200- 205

(1985) Mitra, G., Lucas, C., Tamiz, M., Darby-Dowman, K. and Yadegar, Y., Computer-assisted modeling of linear, integer, separable and fuzzy-programming problems (Abstract), Journal of the Operational Research Society 36 (12) : 1167- 1167

(1982) Ellison, EFD. and Mitra, G., UIMP - user interface for mathematical programming, ACM Transactions on Mathematical Software 8 (3) : 229- 255

Conference Papers

(1992) Darby-Dowman, K., Lucas, C., Mitra, G., Fink, R., Kingsley, L. and Smith, JW., Intelligent scheduling support for the United States coast guard, Intelligent Scheduling Systems Symposium

Book Chapters

(1997) Mousavi, H., Mitra, G. and Lucas, C., Data and optimisation modelling: a tool for elicitation and browsing (DOME). In: Barr, RS., Helgason, RV. and Kennington, JL. eds. Interfaces in Computer Science and Operations Research: Advances in Metaheuristics, Optimization and Stochastic Modeling Technologies. 297- 324

(1997) Lucas, C., Messina, E. and Mitra, G., Risk and return analysis of a multi-period strategic planning problem. In: Christer, AH., Osaki, S. and Thomas, LC. eds. Stochastic Modelling in Innovative Manufacturing. 81- 96

Page last updated: Friday 29 August 2014