Pavlo A. Krokhmal

Professor
Department of Systems & Industrial Engineering
University of Arizona
1127 E James E. Rogers Way
Office 223
P.O. Box 210020
Tucson, AZ 85721-0020
Tel: 520.621.2605,   Fax: 520.621.6555
E-mail: my last name at email.arizona.edu

Education

Ph.D. Operations Research (2003)
University of Florida, Gainesville, FL

Ph.D. Mechanics of Solids and Applied Mathematics (1999)
Kyiv National Taras Shevchenko University, Kyiv, Ukraine

Research interests

Stochastic programming, decision making under uncertainty, risk analysis
Financial engineering, optimal trading strategies, pricing of derivatives
Probabilistic and stochastic combinatorial optimization
Renewable energy, risk-averse design and operation of energy grids
Multidisciplinary optimization
Cooperative control and decision making
Computational and applied mathematics, continuum mechanics

Publications

Sun, B., Krokhmal, P., and Y. Chen (2017) Risk-Averse Capacity Planning for Renewable Energy Production, Energy Systems, DOI:10.1007/s12667-017-0244-x

Vinel, A. and P. Krokhmal (2017) Mixed-Integer Programming with a Class of Nonlinear Convex Constraints, Discrete Optimization, 24, 66-86.

Rysz, M., Krokhmal, P., and E. L. Pasiliao (2017) Detecting resilient structures in stochastic networks: A two-stage stochastic optimization approach, Networks, 69(2), 189-204.

Vinel, A. and P. Krokhmal (2017) Certainty equivalent measures of risk, Annals of Operations Research, 249(1), 75-95.

Borrero, J. S., Prokopyev, O. A. and P. Krokhmal (2016) Optimization of Cascading Processes in Multiscale Networks with Stochastic Interactions, Submitted for publication.

Rysz, M., Pajouh, F., Krokhmal, P., and E. L. Pasiliao (2016) Identifying risk-averse low-diameter clusters in graphs with stochastic vertex weights, Annals of Operations Research, DOI:10.1007/s10479-016-2212-6.

Rysz, M., Vinel, A., Krokhmal, P., and E. L. Pasiliao (2015) A scenario decomposition algorithm for stochastic programming problems with a class of downside risk measures, INFORMS Journal on Computing, 27(2), 416-430.

Chernikov, D., Krokhmal, P., Zhupanska, O. I., and C. L. Pasiliao (2015) A two-stage stochastic PDE-constrained optimization approach to vibration control of an electrically conductive composite plate subjected to mechanical and electromagnetic loads, Structural and Multidisciplinary Optimization, 52(2), 227-352.

Vinel, A. and P. Krokhmal (2014) Polyhedral approximations in p-order cone programming, Optimization Methods and Software, 29(6), 1210-1237.

Rysz, M., Mirghorbani, M., Krokhmal, P. and E. L. Pasiliao (2014) On risk-averse maximum weighted subgraph problems, Journal of Combinatorial Optimization, 28(1), 167-185.

Vinel, A. and P. Krokhmal (2014) On valid inequalities for mixed integer p-order cone programming, Journal of Optimization Theory and Applications, 160(2), 439-456.

Morenko, Y., Vinel, A., Yu, Z., and P. Krokhmal (2013) On p-norm linear discrimination, European Journal of Operational Research, 231(3), 784-789.

Rysz, M., Pajouh, F., Krokhmal, P. and E. L. Pasiliao (2014) On risk-averse weighted k-club problems, Examining Robustness and Vulnerability of Critical Infrastructure Networks, NATO Science for Peace and Security Series - D: Information and Communication Security, vol. 37, 231-242.

Mirghorbani, M. and P. Krokhmal (2013) On finding k-cliques in k-partite graphs, Optimization Letters, 7(6), 1155-1165.

Veremyev, A., Boginski, V., Krokhmal, P., and D. Jeffcoat (2012) Dense Percolation in Large-Scale Mean-Field Random Networks is Provably "Explosive", PLOS ONE, 7(12), e51883.

Cannon, J., Krokhmal, P., Chen, Y., and R. Murphey (2012) Detection of temporal changes in operator functional state using statistical process control methods, Computer Methods and Programs in Biomedicine, 107(3), 367-381.

Krokhmal, P., Zabarankin, M., and S. Uryasev (2011) Modeling and optimization of risk, Surveys in Operations Research and Management Science, 16(2), 49-66.

Krokhmal, P. (2011) On optimality of a polynomial algorithm for random linear multidimensional assignment problem, Optimization Letters, 5(1), 153-164.

Krokhmal, P. and P. Pardalos (2011) Limiting optimal values and convergence rates in some combinatorial optimization problems on hypergraph matchings, submitted.

Krokhmal, P. and P. Soberanis (2010) Risk optimization using p-order conic constraints: A linear programming approach, European Journal of Operational Research, 201(3), 653-671.

Krokhmal, P. and D. Jeffcoat (2010) On measures of cooperation in distributed systems under uncertainties, Military Operations Research 15(4), 39-53.

Cannon, J., Krokhmal, P., Lenth, V. and R. Murphey (2010) An algorithm for online detection of temporal changes in operator cognitive state using real-time psychophysiological data, Biomedical Signal Processing and Control, 5(3), 229-236.

Kammerdiner, A., Krokhmal, P., and P. Pardalos (2010) On the Hamming distance in combinatorial optimization problems on hypergraph matchings, Optimization Letters, 4(3), 609-617.

Krokhmal, P. and P. Pardalos (2009) Random Assignment Problems, European Journal of Operational Research 194(1), 1-17.

Krokhmal, P., (2008) Asymptotic behavior of random multidimensional assignment problem, In: P. Pardalos, C. Floudas (Eds) Encyclopedia of Optimization, 2nd Edition, 547-556.

Krokhmal, P. (2007) Higher Moment Risk Measures, Quantitative Finance, 7(4), 373-387.

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.

Krokhmal, P. and S. Uryasev (2007) A Sample-Path Approach to Optimal Position Liquidation, Annals of Operations Research, 152(1), 193-225.

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 D. Jeffcoat (2007) Distributed Cooperative Systems with Human Operator-in-the-Loop, In: M. Hirsch et al (Eds) Advances in Cooperative Control and Optimization, Springer Lecture Notes in Control and Information Sciences, vol. 369, 293-310.

Zabarankin, M. and P. Krokhmal (2007) Generalized Analytic Functions in 3D Stokes Flows, The Quarterly Journal of Mechanics and Applied Mathematics, 60(2), 99-123.

Kammerdiner, A., Krokhmal, P., and P. Pardalos (2007) On Some Characteristics of the Distribution of Hamming Distance Values Between Solutions of Multidimensional Assignment Problem, In: M. Hirsch et al (Eds) Advances in Cooperative Control and Optimization, Springer Lecture Notes in Control and Information Sciences, vol. 369, 293-310.

Krokhmal, P., Rockafellar, R. T., and S. Uryasev (2006) Risk management and optimization in finance, Journal of Banking & Finance, 30(2).

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

Jeffcoat, D., Krokhmal, P., and O. Zhupanska (2006) A Markov Chain Approach to Analysis of Cooperation in Search Missions. In: D. Grundel et al (Eds), Cooperative Systems: Control and Optimization, Springer Lecture Notes in Economics and Mathematical Sciences, 588, 171-184.

Krokhmal, P., and Murphey, R. (2006) Modeling and Implementation of Risk-Averse Preferences in Stochastic Programs Using Risk Measures, In: Kurdila et al (Eds) Robust Optimization-Directed Design, Springer Publishers, 95-116.

Grundel, D., Krokhmal, P., Oliveira, C. A. S., and P. M. Pardalos (2005) On the average case behavior of the multidimensional assignment problem, Pacific Journal of Optimization, 1(1), 39-57.

Krokhmal, P., Uryasev, S., and G. Zrazhevsky (2005) Numerical Comparison of CVaR and CDaR Approaches: Application to Hedge Funds. In: S. W. Wallace and W. T. Ziemba (Eds) Applications of Stochastic Programming, SIAM/MPS Series on Optimization, 609-631.

Krokhmal, P., Murphey, R., Pardalos, P., and S. Uryasev (2004) Use of Conditional Value-at-Risk in Stochastic Programs with Poorly Defined Distributions, In: S. Butenko, R. Murphey, and P. Pardalos (Eds) Recent Developments in Cooperative Control and Optimization, Kluwer Academic Publishers, 225-242.

Krokhmal, P., Murphey, R., Pardalos, P., Uryasev, S., and G. Zrazhevsky (2003) Robust Decision Making: Addressing Uncertainties in Distributions, In: S. Butenko et al (Eds) Cooperative Control: Models, Applications and Algorithms, Kluwer Academic Publishers, 165-185.

Krokhmal, P., Palmquist, J., and S. Uryasev (2002) Portfolio Optimization with Conditional Value-at-Risk Objective and Constraints. Journal of Risk, 4(2), 43-68.

Krokhmal, P., Uryasev, S., and G. Zrazhevsky (2002) Risk Management for Hedge Fund Portfolios: A Comparative Analysis of Linear Rebalancing Strategies. Journal of Alternative Investments, 5(1), 10-29.

Krokhmal, P. (2002) Exact Solution of the Displacement Boundary-Value Problem of Elasticity for a Torus", Journal of Engineering Mathematics, 44, 345-368.

Krokhmal P. A. (1999) Two Elasticity Problems for a Space with a Rigid Toroidal Inclusion, Mashinoznavstvo, 3, 32-38 [in Ukrainian].

Krokhmal P. A. (1999) Axisymmetric displacement boundary-value problem of elasticity for a torus, Bull. Kyiv Univ., Series Phys.-Math. Sci., 2, 30-35 [in Ukrainian].

Krokhmal P. A. (1999) Exact Solution of the Second Fundamental Boundary-Value Problem of Elasticity for a Torus, Reports of National Academy of Sciences of Ukraine, 11, 68-72 [in Ukrainian].

Krokhmal P. A. and A. F. Ulitko (1998) Exact Solution of the Stokes Equations for a Torus, Bull. Kiev Univ., Series Math. and Mech., 2, 48-55 [in Ukrainian].

Krokhmal P. A. (1995) Motion of a Rigid Annular Plate in a Stokes Fluid, In: Contemporary Research in Physics and Mathematics of Young Scientists of Ukraine, 72-79 [in Ukrainian].

Research support

PI: DTRA, HDTRA1-14-1-0065 Multiscale Networks with Stochastic Interactions: Resiliency and Recovery Optimization under Large-Scale Attacks, 2014-2017

PI: U.S. Department of Air Force, FA8651-14-2-0003 Stochastic Failures in Complex Systems, 2014-2019

PI: U.S. Department of Air Force, FA8651-12-2-0010 Failures in Complex Systems, 2012-2013

PI: AFOSR, FA9550-12-1-0142 Combinatorial Optimal Stopping Problems, 2012-2015

Investigator: NSF, EPS1101284 EPSCoR: Harnessing Energy Flows in the Biosphere to Build Sustainable Energy Systems, 2011-2016

PI: AFOSR Young Investigator Award, FA9550-09-1-0088 Probabilistic Analysis of Combinatorial Optimization Problems on Hypergraph Matchings, 2009-2012

PI: John Deere & Co. Modeling and Simulation of Value Chain, 2008

Co-PI: AFOSR, FA9550-07-1-0047 Human Supervision of Time Critical Control Systems, 2007-2010

PI: U.S. Department of Air Force, FA8651-07-1-0001 A Markov Chain Approach to Modeling and Analysis of Information Sharing and Cooperation in Multi-Agent Autonomous Formations, 2007-2010

PI: U.S. Department of Air Force, FA8651-06-1-0008 Modeling and analysis of multi-agent cooperative formations with human operator-in-the-loop, 2006-2007

Co-PI: NSF, DMI 0457473 Percentile-Based Risk Management Approaches in Discrete Decision Making Problems, 2005-2008

PI: U.S. Department of Air Force, F08635-03-D-0130/0009 Stochastic Optimization and Decision Making Under Uncertainty, 2005

Co-PI: U.S. Department of Air Force, F08635-03-D-0130/SOO-04-0008, Research in Autonomous and Cooperative Micro Air Vehicles, 2004

Professional service

Co-Editor-in-Chief, Optimization Letters

Associate Editor, Journal of Global Optimization

Associate Editor, IIE Transactions, 2010-2013

Guest Editor, special issue of the Journal of Banking and Finance

Co-Chair, Finance and Economic Cluster, 22nd International Symposium on Mathematical Programming (ISMP-2015), July 12-17, Pittsburgh, PA

Co-Chair, Financial Engineering/Risk Management Cluster, 2008 INFORMS Annual Meeting, October 12-15, Washington, DC

Co-Organizer, International Conference on Modeling, Optimization, and Risk Management in Finance, March 5-7, 2003, Gainesville, FL

Co-Organizer, Workshop on Risk-Return Management of Bank Portfolios, March 3-4, 2003, Gainesville, FL

Co-Organizer, Workshop on Risk-Return Management of Bank Portfolios, November 4-5, 2002, Gainesville, FL

Awards and honors

National Research Council, NRC Senior Research Associateship Award (2015)

College of Engineering, University of Iowa, Donald E. Bently Faculty Fellowship of Engineering (2013)

College of Engineering, University of Iowa, Recognition for Excellence in Teaching and Dedication to Student Success (2010, 2013)

Air Force Office of Scientific Research, Air Force Summer Faculty Fellowship Award (2009, 2011, 2012, 2014)

Air Force Office of Scientific Research, Young Investigator Award (2008)

Institute of Industrial Engineers, Iowa Chapter, Outstanding Professor Award (Spring/Fall 2008)

National Academy of Sciences of Ukraine, Diploma in the Competition of Young Scientists and Students for the Best Research Project (1997)

National Academy of Sciences of Ukraine, Scholarship for scientific and academic achievements (1994 - 1996)

International Soros Science and Education Program, Soros Student Award (1994)

Teaching

SIE 321 Probabilistic Models in Operations Research (Spring 2016)
SIE 520 Stochastic Modeling (Spring 2016)
056:274 Stochastic Optimization (Fall 2005, 2007, 2009, 2011, 2013)
056:277 Financial Engineering and Optimization (Fall 2010, 2012, 2014)
056:276 Game Theory (Fall 2008)
056:166 Stochastic Modeling (Fall 2006-2015)
056:054 Engineering Economy (Spring 2006-2014)
EIN 6905 Systems Design (Spring 2005)
STA 6326 Introduction to Theoretical Statistics I (Fall 2004)
EIN 7933 Game Theory (Spring 2004)
ESI 6912 Introduction to Stochastic Optimization (Fall 2003)
STA 4321 Mathematical Statistics 1 (Fall 2003)

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