Javier Peña
Professor of Operations Research
Carnegie Mellon University
Tepper School of Business
5000 Forbes Avenue
Pittsburgh, PA 15213
(412) 2685799
Email: j f p at andrew dot
c m u dot e d u
Published Papers

J. Peña and N. Soheili
"Solving conic systems via projection and rescaling,''
To Appear in Mathematical Programming.

J. Peña, D. Rodriguez, and N. Soheili
"On the von Neumann and FrankWolfe algorithms with away steps,''
SIAM Journal on Optimization 26 (2016) pp. 499512.

J. Peña and N. Soheili
"A deterministic rescaled perceptron algorithm,''
Mathematical Programming 155 (2016) pp. 497510.
 Q. Lin, X. Chen, and J. Peña,
"Towards a deeper geometric, analytic, and algorithmic understanding of margins,"
Optimization Methods and Software 31 (2016) pp. 377391.

J. Peña, J. Vera, and L. Zuluaga
"Completely positive reformulations for polynomial optimization,'' Mathematical Programming 151 (2015) pp. 405431.
 F. Cucker, J. Peña, and V. Roshchina,
"Solving secondorder conic systems with variable precision,"
Mathematical Programming 150 (2015) pp. 217250.
 Q. Lin, X. Chen, and J. Peña,
"A Smoothing Stochastic Gradient Method for Composite Optimization,"
Optimization Methods and Software 29 (2014) pp. 455482.
 N. Soheili and J. Peña,
"A conditionbased algorithm for solving polyhedral
feasibility problems,''
Journal of Complexity 30 (2014) pp. 673682.

J. Peña, N. Soheili, and V. Roshchina,
"Some preconditioners for systems of linear inequalities,''
Optimization Letters 8 (2014) pp. 21452152.
 Q. Lin, X. Chen, and J. Peña,
"A sparsity preserving stochastic gradient methods for sparse regression,"
Computational Optimization and Applications 58 (2014) pp. 455482.
 I. Briquel, F. Cucker, J. Peña and V. Roshchina,
"Fast Computation of Zeros of Polynomial
Systems with Bounded Degree under
Finiteprecision,''
Mathematics of Computation 287 (2014) pp. 12791317.
 A. Ramdas and J. Peña,
"Margins, Kernels and Nonlinear Smoothed Perceptrons ,"
International Conference on Machine Learning (ICML)
(2014).
 J. Peña and V. Roshchina,
"A complementarity partition theorem for multifold conic systems,''
Mathematical Programming 142 (2013) pp. 579589.

N. Soheili and J. Peña,
"A primaldual smooth perceptronvon Neumann algorithm,''
Fields Institute Communications 69 (2013) pp. 303320.
 Q. Lin, X. Chen, and J. Peña,
"Optimal Regularized Dual Averaging Methods for
Stochastic Optimization,"
Advances in Neural Information Processing Systems (NIPS)
(2012).

N. Soheili and J. Peña,
"A smooth perceptron algorithm,''
SIAM Journal on Optimization 22 (2012) pp. 728737.

J. Peña, J. Vera, and L. Zuluaga
"Computing arbitrage bounds on basket options in the presence of bidask spreads,''
European Journal of Operational Research 222 (2012) pp. 369376.

A. Gilpin, J. Peña, and T. Sandholm
"Firstorder algorithm with O(ln(1/\epsilon)) convergence for \epsilonequilibrium in twoperson zerosum games,''
Mathematical Programming 133 (2012) pp. 279298.

J. Peña and H. Sendov,
"Spectral selfconcordant functions in the space of two by two symmetric matrices," Optimization 60 (2011) pp. 441449.
 B. Mordukhovich, J. Peña, and V. Roshchina,
"Applying Metric Regularity to Compute a Condition Measure of a Smoothing Algorithms for Matrix Games,'' SIAM Journal on Optimization
20 (2010) pp. 34903511.

J. Peña, X. Saynac, J. Vera, and L. Zuluaga
"Computing general staticarbitrage bounds for European
basket options via DantzigWolfe decomposition,'' Algorithmic Operations Research 5 (2010) pp. 6574.

J. Peña, J. Vera, and L. Zuluaga,
"Staticarbitrage lower bounds on the prices of basket options via
linear programming,"
Quantitative Finance 10 (2010) pp. 819827.

J. Peña and H. Sendov,
"Separable selfconcordant spectral functions and a conjecture of Tunçel," Mathematical Programing 125 (2010) pp. 101122.

S. Hoda, A. Gilpin, and J. Peña, and T. Sandholm,
"Smoothing techniques for computing Nash equilibria of sequential games,'' Mathematics of Operations Research 35 (2010) pp. 494512.

D. Cheung, F. Cucker, and J. Peña, "On strata of degenerate polyhedral cones II: relations between condition measures,''
Journal of Complexity 26 (2010) pp. 209226.

L. Zuluaga, J. Peña, and D. Du,
"Thirdorder extensions of Lo's semiparametric bound for European call options,"
European Journal of Operational Research 198 (2009) pp. 557570.

D. Cheung, F. Cucker, and J. Peña, "On strata of degenerate polyhedral cones I: condition and distance to strata,''
European Journal of Operational Research 198 (2009) pp. 2328.

J. Peña,
"Nash equilibria computation via smoothing techniques,"
Optima 78 (2008) pp. 1213.

C. Jabbour, J. Peña, J. Vera, and L. Zuluaga,
"An estimationfree, robust CVaR portfolio allocation model,"
Journal of Risk 11 (2008) pp. 5778.

D. Cheung, F. Cucker, and J. Peña, "A condition numbers for
multifold conic systems,''
SIAM Journal on Optimization 19 (2008) pp. 261270.

J. Peña, J. Vera, and L. Zuluaga, "Exploiting equalities in polynomial programming,''
Operations Research Letters 36 (2008) pp. 223228.

J. Vera, J. Rivera, J. Peña, and Y. Hui, "A primaldual symmetric relaxation for homogeneous conic systems,"
Journal of Complexity 23 (2007) pp. 245261.

J. Peña, J. Vera, and L. Zuluaga, "Computing the stability number of a graph via linear and semidefinite programming,"
SIAM Journal on Optimization 18 (2007) pp. 87105.
Matlab code for the semidefinite programming approximations to the stability number.

L. Zuluaga, J. Vera, and J. Peña, "LMI
approximations for cones of positive semidefinite forms,"
SIAM Journal on Optimization 16 (2006) pp. 796817.

J. Peña, "On the blockstructured distance to nonsurjectivity of
sublinear mappings,"
Mathematical Programming 103 (2005) pp. 561573.

L. Zuluaga and J. Peña, "A
conic programming approach to generalized Tchebycheff inequalities,''
Mathematics of Operations Research 30 (2005) pp. 369388.

J. Peña, "Conic systems and sublinear mappings: equivalent
approaches,''
Operations Research Letters 32 (2004) pp. 463467.

D. Cheung, F. Cucker, and J. Peña, "Unifying condition numbers for
linear programming,''
Mathematics of Operations Research 28 (2003) pp. 609624.

J. Peña, "A characterization of the distance to infeasibility under
structured perturbations,"
Linear Algebra and its Applications 370 (2003) pp. 193216.

J. Peña, "Two properties of condition numbers for convex programs
via implicitly defined barrier functions,"
Mathematical Programming 93 (2002) pp. 5575.

F. Cucker and J. Peña. "A primaldual algorithm for solving polyhedral
conic systems with a finiteprecision machine,"
SIAM Journal on Optimization 12 (2002) pp. 522554.

J. Peña, "Conditioning of convex programs from a primaldual perspective,"
Mathematics of Operations Research 26 (2001) pp. 206220.

J. Peña, "Understanding the geometry of infeasible perturbations
of a conic linear system,"
SIAM Journal on Optimization 10 (2000) pp. 534550.

J. Peña and J. Renegar, "Computing approximate solutions for convex
conic systems of constraints,"
Mathematical Programming 87 (2000) pp. 351383.
If you would like a copy of any of these papers, please send me email: j f p at andrew dot
c m u dot e d u
Last updated December 2016.