Selected Accepted Journal Articles
Lazimy, R. (2012). Interactive Polyhedral Outer Approximation (IPOA) Methods for General Multiobjective Optimization Problems.
Annals of Operations Research
We propose an interactive polyhedral outer approximation (IPOA) method to solve a broad class of multiobjective optimization problems (MOP) with, possibly, nonlinear and nondifferentiable objective and constraint functions, and with continuous or discrete decision variables. During the interactive optimization phase, the method progressively constructs a polyhedral approximation of the decision-maker’s (DM’s) unknown preference structure, and a polyhedral outer-approximation of the feasible set of MOP. The piecewise linear approximation of the DM’s preferences also provides a mechanism for testing the consistency of the DM's assessments and removing inconsistencies; it also allows post-optimality analysis. All the feasible trial solutions are non-dominated (efficient, or Pareto-optimal) so preference assessments are made in the context of non-dominated alternatives only. Upper and lower bounds on the yet unknown optimal value are produced at every iteration allowing terminating the search prematurely at a good-enough solution and providing information about the closeness of this solution to the optimal solution. The IPOA method includes a preliminary phase in which a limited probe of the efficient set is conducted in order to find a good initial trial solution for the interactive phase. The computational requirements of the algorithm are relatively simple. The results of an extensive computational study are reported.
, doi: 10.1007/s10479-012-1190-6.
Selected Published Journal Articles
Lazimy, R. (2007). Portfolio Selection with Risky Divisible and Indivisible Assets: Mathematical Algorithm and Economic Analysis.
Annals of Operations Research
We extend the classic mean-variance framework to a broad class of investment decisions under risk where investors select optimal portfolios of risky assets that include perfectly divisible as well as perfectly indivisible assets. We develop an algorithm for solving the associated mixed-integer nonlinear program and report on the results of a computational study. We then study the mean-variance structure of the investment frontier facing an individual investor in the presence of investment opportunities in both risky divisible and indivisible assets. Finally, we analyze the economic implications of the presence of investment opportunities in risky indivisible assets on the investor’s investment strategy and on his risk evaluation.
(152), 273-295. doi: 10.1007/s10479-006-0141-5.
Lazimy, R. (1993). Object-Oriented Modeling Support System: Model Representation and Incremental Modeling. Twenty-Sixth Annual Hawaii International Conference on Systems Sciences, IEEE Computer Society Press
(3), 445-460. doi: 10.1109/HICSS.1993.284343.
Lazimy, R. (1991). A Deductive Approach for Problem Representation and Modeling Support: Conceptual Schema and Object-Oriented Models. Twenty-Fourth Hawaii International Conference on Systems Sciences, IEEE Computer Society Press
(3), 291-305. doi: 10.1109/HICSS.1991.184157.
Lazimy, R. (1990). E2R Model and Object-Oriented Representation for Data Management, Process Modeling, and Decision Support. Entity-Relationship Approach to Database Design and Querying, in: F. H. Lochovsky (ed. ) Elsevier Science Publishers B.V. (North-Holland) (Entity-Relationship Approach to Database Design and Querying, Elsevier Science Publishers B.V. (North-Holland), 1990.), pp. 129 -151.
Lazimy, R. (1988). An Exact Penalty Function and Relaxation Approach for Solving Decomposable Nonlinear Programs. SIAM Journal on Control and Optimization
(26), 127-137. doi: 10.1137/0326008.
Lazimy, R. (1988). Knowledge Representation and Modeling Support in Knowledge-Based Systems. Entity-Relationship Approach, Elsevier Science Publishers B. V. (North-Holland) (S. T. March (ed.)) (S. T. March (ed.), Entity-Relationship Approach, Elsevier Science Publishers), 133-161.
Lazimy, R. (1987). A Generic Shell Approach for Knowledge Elicitation and Representation in IDSS. Proceedings of the Eighth Annual International Conference on Information Systems (Proceedings of the Eighth Annual International Conference on Information Systems), 335-350.
Lazimy, R. (1986). Extension of the Generalized Benders' Decomposition. Communications in Applied Numerical Methods
(2), 195-203. doi: 10.1002/cnm.1630020211.
Lazimy, R. (1986). Interactive Relaxation Method for a Broad Class of Integer and Continuous Nonlinear Multiple Criteria Problems. Journal of Mathematical Analysis and Applications
(116), 553-573. doi: 10.1016/S0022-247X(86)80019-1.
Lazimy, R. (1986). Solving Multiple Criteria Problems by Interactive Decomposition. Mathematical Programming
(35), 334-361. doi: 10.1007/BF01580884.
Lazimy, R. (1985). Improved Algorithm for Mixed-Integer Quadratic Programs and a Computational Study. Mathematical Programming
(32), 100-113. doi: 10.1007/BF01585661.
Lazimy, R., & Levy, H. (1983). The Effects of Variable and Fixed Transactions Costs on Optimal Investment Decisions. Decision Sciences
(14), 527-545. doi: 10.1111/j.1540-5915.1983.tb00204.x.
Lazimy, R. (1982). Mixed-Integer Quadratic Programming. Mathematical Programming
(22), 332-349. doi: 10.1007/BF01581047.
Submitted Working Papers
Lazimy, R. A Unified, Non-Utility Framework to Microeconomic Modeling with Multiple Objectives and Multiple Aspiration/Reference Points. Near completion; To be submitted to an Econ journal
Lazimy, R. Microeconomic Theory of Indivisibility: Shadow prices, Opportunity Costs, and Market Failure. To be submitted to an Econ journal
Lazimy, R. Strong Polyhedral Outer-Approximation with Exact Penalty Function for Non-Smooth Nonlinear Optimization Problems. Work is complete; soon to be submitted to an OR journal
Lazimy, R. Target- and Rank-Dependent (TRD) Theory of Choice under Risk. Near completion; to be submitted to an Econ journal
Lazimy, R. The Cost of Indivisibility and the Valuation of Risky Indivisible Investments. Completed;To be submitted
INFORMS Annual Meeting ( 2004 ) Optimal Time-to-Market and Product Performance in a Competitive Environment: A Game-Theoretic Approach
INFORMS Annual Meeting ( 2004 ) Timing and Performance Factors in Strategic Information Technology Adoption and Diffusion: A Game-Theoretic Approach
VIGRE Seminar in the Mathematics Department ( 2000 ) Tradeoffs Between Time-to-Market and Product Performance in a Competitive Environment
Twenty-Sixth Annual Hawaii International Conference on Systems Sciences ( 1993 ) Object-Oriented Modeling Support System: Model Representation and Incremental Modeling
ORSA/TIMS National Meeting, Orlando, April 1992 ( 1992 ) Accelerated Outer-Linearization for Mixed-Integer/Large-Scale or Non-Smooth Nonlinear Programs
Forschungsinstitut fur Anwendungsori-entierte Wissensverarbeitung (FAW) (Artificial Intelligence Laboratory), Ulm, West Germany ( 1991 ) Integrated Intelligent Modeling System based on the Object-Oriented Representation
Twenty-Fourth Annual Hawaii International Conference on System Sciences ( 1991 ) A Deductive Approach for Problem Representation and Modeling Support: Conceptual Schema and Object-Oriented Models
ORSA/TIMS National Meeting, Las Vegas ( 1990 ) Proposed Knowledge-Base Design for Data Management, Process Modeling, and Decision Support
8th International Conference on Equity-Relationship Approach ( 1989 ) E2R Model and Object-Oriented Representation for Data Management, Process Modeling, and Decision Support
ORSA/TIMS National Meeting, Denver ( 1988 ) Object-Oriented Approach to Integrated Modeling and Decision Support System: The Modeling Support System
8th Annual International Conference on Information Systems ( 1987 ) A Generic Shell Approach for Knowledge Elicitation and Representation in IDSS
6th International Conference on Entity-Relationship Approach ( 1987 ) Knowledge Representation and Modeling Support in Knowledge-Based Systems
ORSA/TIMS National Meeting, St. Louis ( 1987 ) Interactive Programming Algorithms for Continuous and Integer Nonlinear Multiple Criteria Problems
ORSA/TIMS National Meeting, St. Louis ( 1987 ) Knowledge Representation and Modeling Support in Knowledge-Based Systems
12th International Symposium on Mathematical Programming ( 1985 ) On Generalized Benders' Decomposition
University of Illinois-Champaign/Urbana, College of Commerce and Business Administration ( 1985 ) Mixed-Integer Portfolio Selection Decisions
University of Illinois-Champaign/Urbana, College of Commerce and Business Administration ( 1984 ) Multiple Criteria Decision Making
Tel-Aviv University, Faculty of Management, Faculty Research Seminar in Operations Research ( 1982 ) Decomposition and Relaxation in Mathematical Programming
State University of New York, Buffalo, School of Business ( 1981 ) Mixed-Integer Quadratic Programming Algorithms and a Computational Study
The University of Texas at Austin, Department of Accounting Research Colloquium ( 1981 ) Portfolio Selection with Divisible and Indivisible Risky Assets
Tel-Aviv University, Faculty of Management, Faculty Research Seminar in Operations Research ( 1980 ) Mixed-Integer Quadratic Programming
The Hebrew University, Graduate School of Business Administration, Faculty Research Seminar ( 1980 ) Variable and Fixed Transaction Costs and Optimal Portfolio Selection
TIMS/ORSA Joint National Meeting in San Francisco, CA ( 1977 ) An Interactive Programming Method for Solving a Class of Discrete Multiple Criteria Problems
TIMS/ORSA Joint National Meeting in San Francisco, CA ( 1977 ) An Interactive Programming Method for Solving the Multiple Criteria Problem
Combined Undergraduate & Graduate Courses
Analysis and Design of Computer-Based Systems
Using information technologies to provide effective solutions to business problems. Analysis of business processes, the flow of data and information, and process improvement. The Systems Development Life Cycle for developing computer-based information systems: Analysis, Design, and Implementation. Methodologies for systems development. Developing web-based systems with ASP.NET. Student teams perform analysis, design, and implementation of 3-tier, client-server systems for actual, real-world businesses (project work).
(I S/I S 424/724 Section 1), Spring 2012.Computer-Based Data Management
Analysis of data and information requirements to support business processes and decision-making. Developing conceptual data models to represent complex information requirements. Developing relational database models. Learning Structured Query Language (SQL) to create relational relational databases, and other state-of-the-art database information technologies. developing database-driven applications for actual, real-world businesses (project work, done in teams).
(I S/I S 722/422 Section 2), Fall 2012.Database Management and Applications
Database and systems development course open to ALL students. The role of information systems and information technologies in business. Analysis of information requirements to support business processes and decision-making. Design of conceptual data model. Design of relational databases. Learning Structured Query Language (SQL) for creating and manipulating databases. Learning Microsoft ACCESS. Student teams develop ACCESS-based information systems for actual, real-world business (project work).
(OTM/OTM 442/765 Section 1), Fall 2012.
Editorial and Reviewing Activities
Annals of Operations Research - January 2011 - December 2011
Ad Hoc Reviewer