Pavlo Krokhmal

Research Highlights

Joined the College of Engineering: 2005

Education:
Ph.D. Operations Research, University of Florida, 2003
Ph.D. Mechanics of Solids and Applied Mathematics, Kiev National University, 1999
M.S. Applied Mathematics and Mechanics, Kiev National University, 1996

Special Fields of Knowledge:
Operations research, decision making under uncertainty, financial engineering, computational and applied mathematics.

Present Research Interests:
Stochastic optimization, risk analysis, probabilistic combinatorial optimization, cooperative control, optimal trading strategies and pricing of derivatives.

Selected Publications:
Krokhmal, P., Grundel, D., and P. Pardalos (2007) Asymptotic Behavior of the Expected Optimal Value of the Multidimensional Assignment Problem, Mathematical Programming, 109(2-3), 525-551.

Jeffcoat, D., Krokhmal, P., and O. Zhupanska (2006) Effects of Cueing in Cooperative Search, Naval Research Logistics, 53 (8), 814-821.

Grundel, D., Krokhmal, P., Oliveira, C., and P. Pardalos (2007) On the Number of Local Minima for the Multidimensional Assignment Problem, Journal of Combinatorial Optimization, 13 (1), 1-18.

Krokhmal, P., and S. Uryasev (2007) "A Sample-Path Approach to Optimal Position Liquidation," Annals of Operations Research, 153(1), 193-225.

Krokhmal, P., Palmquist, J., and Uryasev, S. (2002) Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints, Journal of Risk, 4(2), 43-48.

Active Scientific and Professional Society Memberships:
INFORMS, SIAM