Published/accepted papers:

 

L. Zhang and T. Homem-de-Mello, "An Optimal Path Model for the Risk-Averse Traveler",

to appear in Transportation Science, available on Optimization Online, http://www.optimization-online.org/DB_HTML/2014/06/4391.html

J. Barrera, T. Homem-de-Mello, E. Moreno, B. Pagnoncelli and G. Canessa, "Chance-Constrained Problems and Rare Events: An Importance Sampling Approach",
published online in Mathematical Programming, http://dx.doi.org/10.1007/s10107-015-0942-x
(2015)

T. Homem-de-Mello and B. Pagnoncelli, "Risk-Aversion in Multistage Stochastic Programming: A Modeling and Algorithmic Perspective",
published online in European Journal of Operational Research, http://dx.doi.org/10.1016/j.ejor.2015.05.048 (2015)

W.L. Cooper, T. Homem-de-Mello and A. Kleywegt, "Learning and Pricing with Models that Do Not Explicitly Incorporate Competition",
published online in Operations Research, http://dx.doi.org/10.1287/opre.2014.1341 (2015)

T. Homem-de-Mello and G. Bayraksan, "Monte Carlo Sampling-Based Methods for Stochastic Optimization",
Surveys in Operations Research and Management Science, Vol. 19, 56-85 (2014).
(full paper [pdf])

Q. Li, Y. Nie, S. Vallamsundar, J. Lin and T. Homem-de-Mello, "Finding Efficient and Environmentally Friendly Paths for Risk-Averse Freight Carriers",
published online in Networks and Spatial Economics, DOI 10.1007/s11067-013-9220-8 (2014).

J. Hu, T. Homem-de-Mello and S. Mehrotra, "Stochastically Weighted Stochastic Dominance Concepts with an Applications in Capital Budgeting",
European Journal of Operational Research, Vol. 232, 572-583 (2014).

S. Lee, J. Turner, M. Daskin, T. Homem-de-Mello and K. Smilowitz, "Dynamic Fleet Scheduling with Uncertain Demand and Customer Flexibility",
Computational Management Science, Vol. 9, 459-481 (2012).

S. Lee, T. Homem-de-Mello and A. Kleywegt, "Newsvendor-Type Models with Decision-Dependent Uncertainty",
Mathematical Methods of Operations Research, Vol. 76, 186-212 (2012).

Y. Nie, X. Wu and T. Homem-de-Mello, "Optimal Path Problems with Second-Order Stochastic Dominance Constraints",
Networks and Spatial Economics, Vol. 12, 561-587 (2012).

S. Lee, J. Turner, M. Daskin, T. Homem-de-Mello and K. Smilowitz, "Improving Fleet Utilization for Carriers by Interval Scheduling",
European Journal of Operational Research, Vol. 218, 261-269 (2012).

J. Hu, T. Homem-de-Mello and S. Mehrotra, "Sample Average Approximation for Stochastic Dominance Constrained Programs",
Mathematical Programming Ser. A, 133:171-201 (2012).

S. Drew and T. Homem-de-Mello, "Some Large Deviations Results For Latin Hypercube Sampling",
Methodology and Computing in Applied Probability, Vol. 14, 203-232 (2012).

J. Hu, T. Homem-de-Mello and S. Mehrotra, "Risk Adjusted Budget Allocation Models with Application in Homeland Security",
IIE Transactions, 43:819-839, 2011.

T. Homem-de-Mello, V.L. de Matos and E.C. Finardi, "Sampling Strategies and Stopping Criteria for Stochastic Dual Dynamic Programming: A Case Study in Long-Term Hydrothermal Scheduling",

Energy Systems, Vol. 2, 1-31 (2011).

M. Huang,  T. Homem-de-Mello, K. Smilowitz and W.  Driegert, "Supply Chain Broker Operations: A Network Perspective",
Transportation Research Record, Issue 2224, 1-7 (2011).

L. Chen and T. Homem-de-Mello, "Mathematical Programming Models for Revenue Management under Customer Choice",
European Journal of Operational Research, Vol. 203, 294-305 (2010).

L. Chen and T. Homem-de-Mello, "Re-Solving Stochastic Programming Models for Airline Revenue Management",
Annals of Operations Research, Vol. 177, No. 1, 91-114 (2010).

T. Homem-de-Mello and S. Mehrotra, "A Cutting Surface Method for Uncertain Linear Programs with Polyhedral Stochastic Dominance Constraints",
SIAM Journal on Optimization, Vol. 20, No. 3, 1250-1273 (2009).
(full paper [pdf])  

T. Homem-de-Mello, "On Rates of Convergence for Stochastic Optimization Problems Under Non-I.I.D. Sampling",
SIAM Journal on Optimization, Vol. 19, No. 2, 524-551 (2008).
(full paper [pdf])

W.L. Cooper and T. Homem-de-Mello, "Some Decomposition Methods for Revenue Management",
Transportation Science, Vol. 41, No. 3, 332-353 (2007).
(full paper [pdf])

T. Homem-de-Mello,  "A Study on the Cross-Entropy Method for Rare Event Probability Estimation",
INFORMS Journal on Computing, Vol. 19, No. 3, 381-394 (2007).
(full paper [pdf])  (click here for online appendix)

W.L. Cooper, T. Homem-de-Mello and A. Kleywegt, "Models of the Spiral-Down Effect in Revenue Management",
Operations Research, Vol. 54, No. 5, 968-987 (2006).
(full paper [pdf]) (click here for online appendix)

L. Haerian, T. Homem-de-Mello and C. Mount-Campbell, "Modeling Revenue Yield of Reservation Systems That Use Nested Capacity Protection Strategies",
International Journal of Production Economics 104, 340-353 (2006).
(full paper [pdf])

S. Drew and T. Homem-de-Mello, "Quasi-Monte Carlo Strategies For Stochastic Optimization",
Proceedings of the 2006 Winter Simulation Conference, L.F. Perrone, F.P. Wieland, J. Liu, B.G. Lawson, D.M. Nicol and R.M. Fujimoto, eds.
 (full paper [pdf])

S. Drew and T. Homem-de-Mello, "Some Large Deviations Results For Latin Hypercube Sampling",
Proceedings of the 2005 Winter Simulation Conference, M. E. Kuhl, N. M. Steiger, F. B. Armstrong, and J. A. Joines, eds.
 (full paper [pdf])

K. Chepuri and T. Homem-de-Mello, "Solving the Vehicle Routing Problem with Stochastic Demands using the Cross Entropy Method",
Annals of Operations Research 134, 153-181, 2005.
(full paper [pdf])

T. Homem-de-Mello, "Variable-Sample Methods for Stochastic Optimization",
ACM Transactions on Modeling and Computer Simulation, Volume 13, Issue 2 (April 2003),  108-133.
(full paper [pdf])

T. Homem-de-Mello and R.Y. Rubinstein, "Rare Event Probability Estimation Using Cross-Entropy",
Proceedings of the 2002 Winter Simulation Conference, E. Yucesan, C.-H. Chen, J. L. Snowdon, and J. M. Charnes (eds.), 310-319, 2002.
(full paper [pdf])

A. Shapiro, T. Homem-de-Mello and J. Kim, "Conditioning of Convex Piecewise Linear Stochastic Programs",
Mathematical Programming 94:1-19 (2002).
(full paper [pdf])

T. Homem-de-Mello, "Estimation of Derivatives of Nonsmooth Performance Measures in Regenerative Systems'',   
Mathematics of Operations Research, Vol. 26, No. 4, 741-768, 2001. 
(full paper [pdf])

A. Kleywegt, A. Shapiro, and T. Homem-de-Mello, "The Sample Average Approximation Method for  Stochastic Discrete Optimization", 
SIAM Journal on Optimization, Vol. 12, No. 2, 479-502, 2001.
(full paper [pdf])

A. Shapiro and T. Homem-de-Mello, "On Rate of Convergence of Optimal Solutions of Monte Carlo Approximations of Stochastic Programs" 
SIAM Journal on Optimization, Vol. 11, No. 1, 70-86, 2000.
(full paper [pdf])

T. Homem-de-Mello, A. Shapiro and M. Spearman, "Finding Optimal Material Release Times Using Simulation Based Optimization''
Management Science 1, 45 (1999), 86-102
(full paper [pdf])

A. Shapiro and T. Homem-de-Mello, "A Simulation-Based Approach to Two-Stage Stochastic Programming with Recourse'' 
Mathematical Programming, vol. 81, no. 3, 301-325, 1998.
(full paper [pdf])

T. Homem-de-Mello and C. Humes Jr., "Instability of Manufacturing Systems with Decreasing Service Times''
Pesquisa Operacional (ed. by Operations Research Brazilian Society), vol. 11, no. 2, 17-27, 1991. 

Book chapters

T. Homem-de-Mello and G. Bayraksan, "Stochastic Constraints and Variance Reduction Techniques",
in Handbook of Simulation Optimization, Michael Fu (ed.), Springer, 2015.

T. Homem-de-Mello, "Monte Carlo Methods for Discrete Stochastic Optimization",
in Stochastic Optimization: Algorithms and Applications, S. Uryasev and P.M. Pardalos, eds., 95-117, Kluwer Academic Publishers, 2000.

Submitted papers/preprints:  

H. Rahimian, G. Bayraksan and T. Homem-de-Mello, "Identifying Effective Scenarios in Distributionally Robust Stochastic Programs with Variation Distance",
submitted for publication, available on Optimization Online at http://www.optimization-online.org/DB_HTML/2016/03/5351.html , 2016.

S. Arpon, T. Homem-de-Mello and B. Pagnoncelli, "A proximal ADMM algorithm for two-stage stochastic programming problems", submitted for publication, 2016.

Theses/dissertations:

T. Homem-de-Mello, ``Simulation-Based Methods for Stochastic Optimization'' 
Ph.D. Thesis, Georgia Institute of Technology, 1998. 

T. Homem-de-Mello, ``A Contribution to the Study of Stability in Flexible Manufacturing Systems'', Master's Thesis (in Portuguese), University of São Paulo, Brazil, 1992. 
 

Return to home page