Alan J. King  Alan J. King photo       

contact information

RSM Math Sciences: HPC, Stochastic Modeling and Optimization
Thomas J. Watson Research Center, Yorktown Heights, NY USA
  +1dash914dash945dash1236

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Professional Associations

Professional Associations:  Committee on Stochastic Programming  |  INFORMS


2016

Recent Developments in Multistage Stochastic Programming
King, Alan J
Optimization Challenges in Complex, Networked and Risky Systems, pp. 1--13, INFORMS, 2016
Abstract


2014

Middleware for financial risk data aggregation
King, Alan J and Orani, Aviv and Parr, Francis N
IBM Journal of Research and Development 58(4), 4--1, IBM, 2014
Abstract

Frameworks for systemic risk monitoring
King, Alan and Liechty, John C and Rossi, CV and Taylor, Charles
Handbook of Financial Data and Risk Information I, Cambridge, 105--147, 2014


2012

A Multidimensional Newsboy Problem with Substitution: With Hajnalka Vaagen
King, Alan J and Wallace, Stein W
Modeling with Stochastic Programming, pp. 123--138, Springer, 2012
Abstract

Service Network Design: With Arnt-Gunnar Lium and Teodor Gabriel Crainic
King, Alan J and Wallace, Stein W
Modeling with Stochastic Programming, pp. 103--122, Springer, 2012
Abstract

Scenario-tree generation: With michal kaut
King, Alan J and Wallace, Stein W
Modeling with stochastic programming, pp. 77--102, Springer, 2012
Abstract

Uncertainty in Optimization
A.J. King, S.W. Wallace
Modeling with Stochastic Programming, 1--31, Springer, 2012

Stochastic Discount Factors
A.J. King, S.W. Wallace
Modeling with Stochastic Programming, 139--152, Springer, 2012

Long Lead Time Production: With Aliza Heching
A.J. King, S.W. Wallace
Modeling with Stochastic Programming, 153--164, Springer, 2012

Modeling the Objective Function
A.J. King, S.W. Wallace
Modeling with Stochastic Programming, 61--76, Springer, 2012

Modeling Feasibility and Dynamics
A.J. King, S.W. Wallace
Modeling with Stochastic Programming, 33--60, Springer, 2012

Modeling with stochastic programming
A.J. King, S.W. Wallace
Springer New York, 2012


2011

Financial Uncertainty in Supply Chain Models
A. Heching, A. King
Planning Production and Inventories in the Extended Enterprise, 185--203, Springer, 2011


2010

Private Valuation of Contingent Claims in a Discrete Time/State Model
A.J. King, O. Streltchenko, Y. Yesha
Handbook of Portfolio Construction, 691--710, Springer, 2010


2009

On modeling some essential dynamics of the subprime mortgage crisis
L. An, D. Subramanian, A. King
27th International Conference of the System Dynamics Society, 2009

Requirements for systemic risk management in the financial sector: invited talk
D.N. Dillenberger, A.J. King, F.N. Parr
Proceedings of the 2nd Workshop on High Performance Computational Finance, pp. 3, 2009


2008

Asynchronous task dispatch for high throughput computing for the eServer IBM Blue Gene{\textregistered} Supercomputer
Peters, Amanda and King, Alan and Budnik, Tom and McCarthy, Pat and Michaud, Paul and Mundy, Mike and Sexton, James and Stewart, Greg
Parallel and Distributed Processing, 2008. IPDPS 2008. IEEE International Symposium on, pp. 1--7
Abstract

Asynchronous task dispatch for high throughput computing for the eServer IBM Blue Gene\textregistered Supercomputer
A. Peters, A. King, T. Budnik, P. McCarthy, P. Michaud, M. Mundy, J. Sexton, G. Stewart
Parallel and Distributed Processing, 2008. IPDPS 2008. IEEE International Symposium on, pp. 1--7

Stream processing performance for Blue Gene/P supercomputer
G. Dozsa, M. Eleftheriou, T.A. Inglett, A.J. King, T.E. Musta, J. Sexton, R.W. Wisniewski
High Performance Computational Finance, 2008. WHPCF 2008. Workshop on, pp. 1--7

Optimizations in financial engineering: the least-squares Monte Carlo method of Longstaff and Schwartz
A.R. Choudhury, A. King, S. Kumar, Y. Sabharwal
Parallel and distributed processing, 2008. IPDPS 2008. IEEE International Symposium on, pp. 1--11

A C++ modelling environment for stochastic programming
M. Kaut, A. King, T.H. Hultberg
Technical Report, Technical Report RC24662, IBM Watson Research Center, 2008. URL http://domino. watson. ibm. com/library/cyberdig. nsf/papers/3E80629707DD1782852574E300592E33

… task dispatch for high throughput computing for the eServer IBM Blue Gene Supercomputer
A Peters, A King, T Budnik, P McCarthy, P Michaud, …
IEEE International Symposium on Parallel and Distributed …, 2008 - ieeexplore.ieee.org


2005

Optimal control of web hosting systems under service level agreements
King, Alan J and Squillante, Mark S
Handbook of Integrated Risk Management for E-Business: Measuring, Modeling and Managing Risk, 213, J. Ross Publishing, 2005
Abstract

Stochastic Optimization for Lake Eutrophication
King, Alan J and Somly{\"o}dy, L{\'a}szl{\'o} and Roger, J-B Wets’
Applications of stochastic programming5, 347, SIAM, 2005
Abstract

SERVICE LEVEL AGREEMENTS FOR WEB HOSTING SYSTEMS
A.J. King, M.S. Squillante
INTEGRATED RISK MANAGEMENT for E-BUSINESS, 193, 2005

Using multi-agent simulation to understand trading dynamics of a derivatives market
A.J. King, O. Streltchenko, Y. Yesha
Annals of Mathematics and Artificial Intelligence 44(3), 233--253, Springer, 2005

The IBM stochastic programming system
A.J. King, S.E. Wright, G.R. Parija, R. Entriken
Applications of stochastic programming5, 21--36, 2005


2004

Optimal Control of Web Hosting Systems under Service-Level Agreements
A.J. King, M.S. Squillante
Technical Report, IBM Research Report RC23094 (W0401-145), 2004

On bridging the gap between stochastic integer programming and MIP solver technologies
G.R. Parija, S. Ahmed, A.J. King
INFORMS Journal on Computing 16(1), 73--83, INFORMS, 2004



2003

Calibrated option bounds
A.J. King, M. Koivu, T. Pennanen
Stochastic Programming E-Print Series-(SPEPS), 2003

A multi-stage stochastic integer programming approach for capacity expansion under uncertainty
S. Ahmed, A.J. King, G. Parija
Journal of Global Optimization 26(1), 3--24, Springer, 2003


2002

SISP: simplified interface for stochastic programming: establishing a hard link between mathematical programming modeling languages and SMPS codes
Condevaux-Lanloy, Christian and Fragniere, Emmanuel and King>, Alan
Optimization Methods and Software 17(3), 423--443, Taylor & Francis, 2002
Abstract

SISP: A simplified interface for stochastic program.
E. Fragni\`ere, C. Condevaux-Lanloy, A. King
Optimization Methods and Software 17(3), 423--443, University of Bath, 2002

Applications of flexible pricing in business-to-business electronic commerce-References
M Bichler, J Kalagnanam, K Katircioglu, AJ King, RD Lawrence, HS Lee, GY Lin, Y Lu
IBM Systems Journal 41(2), 2002

SISP: Simplified interface for stochastic programming
C. Condevaux-Lanloy, E. Fragniere, A. King
Optimization Methods and Software 17(3), 423--443, Taylor \& Francis, 2002

Stochastic optimization for lake eutrophication management
A. King, L. Somly\'ody, J.B.W. Roger
Applications of stochastic programming5, 347--378, 2002


Dynamic control of web server farms
DP De Farias, A King, M Squillante, B Van Roy
Proc. 2002 INFORMS Revenue Management Section Conference, 2002

Applications of flexible pricing in business-to-business electronic commerce
M. Bichler, J. Kalagnanam, K. Katircioglu, A.J. King, R.D. Lawrence, H.S. Lee, G.Y. Lin, Y. Lu
IBM Systems Journal 41(2), 287--302, IBM, 2002


2001

Stochastic Programming in the New Century
King, Alan J
2001 - researchgate.net, AIROnews
Abstract

Martingale pricing measures in incomplete markets via stochastic programming duality in the dual of L∞
A. King, L. Korf
Stochastic Programming E-Print Series-(SPEPS), 2001

Web Hosting Service Level Agreements
A King, M Begen, M Cojocaru, E Fowler, Y Ganjali, J Lai, T Lee, C Navasca, D Ryan
2001 - domino.watson. ibm .com


1998

Martingales and duality in contingent claims analysis: The discrete case
A.J. King
Technical Report, IBM TJ Watson Research Center, 1998


1997

Issues in risk modeling for multi-stage systems
A.J. King, S. Takriti, S. Ahmed
Technical Report, IBM TJ Watson Research Center, 1997


1996

Stock selection combining rule generation and risk/reward portfolio optimization
C. Apte, SJ Hong, AJ King
The IEEE/IAFE 1996 Conference on Computational Intelligence for Financial Engineering, CIFEr, 1996


1995

Implementation of dual decomposition in OSL
A.J. King
Technical Report, IBM TJ Watson Research Center, 1995

Groundwater remediation design using a three-dimensional simulation model and mixed-integer programming
C.S. Sawyer, D.P. Ahlfeld, A.J. King
Water Resources Research 31(5), 1373--1385, American Geophysical Union, 1995

Probabilistic bounds (via large deviations) for the solutions of stochastic programming problems
Y.M. Kaniovski, A.J. King, R.J.B. Wets
Annals of Operations Research 56(1), 189--208, Springer, 1995


1994

SP/OSL: Version 1.0: Stochastic Programming Interface Library: User's Guide
King, Alan J
1994 - IBM Thomas J. Watson Research …, IBM Thomas J. Watson Research Division

SP/OSL Version 1.0: Stochastic Programming Interface Library User's Guide
AJ King, SE Wright, R. Entriken
International Business Machines Corp, Yorktown Heights, NY, 1994


1993

Asymptotic theory for solutions in generalized M-estimation and stochastic programming
A King, R T Rockafellar
Mathematics of Operations Research18, 148--162, 1993


Production planning via scenario modelling
L.F. Escudero, P.V. Kamesam, A.J. King, R.J.B. Wets
Annals of Operations Research 43(6), 309--335, Springer, 1993


1992

A decomposition method for quadratic programming
D.L. Jensen, A.J. King
IBM systems journal 31(1), 39--48, IBM, 1992

Linear-quadratic efficient frontiers for portfolio optimization
A.J. King, D.L. Jensen
Applied stochastic models and data analysis 8(3), 195--207, Wiley Online Library, 1992

Sensitivity analysis for nonsmooth generalized equations
A.J. King, R.T. Rockafellar
Mathematical Programming 55(1), 193--212, Springer, 1992

Tracking models and the optimal regret distribution in asset allocation
R.S. Dembo, A.J. King
Applied Stochastic Models and Data Analysis 8(3), 151--157, Wiley Online Library, 1992



1991

Epi-consistency of convex stochastic programs
A.J. King, R.J.B. Wets
Stochastics and Stochastic Reports 34(1-2), 83--92, Taylor \& Francis, 1991


1989

Generalized delta theorems for multivalued mappings and measurable selections
A.J. King
Mathematics of Operations Research 14(4), 720--736, INFORMS, 1989


1988

An implementation of the Lagrangian finite-generation method
A. King
Numerical Techniques for Stochastic Programming Problems, Y. Ermoliev and R. JB Wets (eds.), Springer-Verlag, 1988

Lake eutrophication management: The lake Balaton project
A.J. King, RT Rockafellar, L. Somlyody, RJB Wets
Numerical techniques for stochastic optimization, 435--444, 1988

Stochastic programming problems: Examples from the literature
AJ King
Numerical techniques for stochastic optimization, 543--567, Berlin, Germany: Springer, 1988


1987

A standard input format for multiperiod stochastic linear programs
J.R. Birge, M.A.H. Dempster, H.I. Gassmann, E.A. Gunn, A.J. King, S.W. Wallace
COAL newsletter17, 1--19, IIASA, 1987


1986

Asymptotic behaviour of solutions in stochastic optimization: nonsmooth analysis and the derivation of non-normal limit distributions
A.J. King
Ph.D. Thesis, 1986


Year Unknown

Requirements for Systemic Risk Management in the Financial Sector
Dillenberger, Donna N and King, Alan J and Orani, Aviv and Parr, Francis N and Su, Gong
domino.research.ibm.com, 0
Abstract

Applications of OR to Finance
Heching, Aliza R and King, Alan J
domino.research.ibm.com, 0
Abstract

Linear-Quadratic Efficient Frontiersfor Portfolio Optimization
King, Alan J and Jensen, David L
Technical Report, Research report RC 16524, IBM Re-search Division, Yorktown Heights, NY, 1991. KingLinear-Quadratic Efficient Frontiers for Portfolio Optimization1991, 0