- J. Peña and N. Soheili,
"A deterministic rescaled perceptron algorithm,''
To Appear in
*Mathematical Programming.* - Q. Lin, X. Chen, and J. Peña,
"Trade execution with dynamic coherent risk measures,''
To Appear in
*Operations Research Letters.* -
J. Peña, J. Vera, and L. Zuluaga
"Completely positive reformulations for polynomial optimization,''
To Appear in
*Mathematical Programming.* - F. Cucker, J. Peña, and V. Roshchina,
"Solving second-order conic systems with variable precision,"
To Appear in
*Mathematical Programming.* - Q. Lin, X. Chen, and J. Peña,
"A Smoothing Stochastic Gradient Method for Composite Optimization,"
*Optimization Methods and Software*29 (2014) pp. 1281--1301. - N. Soheili and J. Peña,
"A condition-based algorithm for solving polyhedral
feasibility problems,''
*Journal of Complexity*30 (2014) pp. 673--682. -
J. Peña, N. Soheili, and V. Roshchina,
"Some preconditioners for systems of linear inequalities,''
*Optimization Letters*8 (2014) pp. 2145--2152. - Q. Lin, X. Chen, and J. Peña,
"A sparsity preserving stochastic gradient methods for sparse regression,"
*Computational Optimization and Applications*58 (2014) pp. 455--482. - I. Briquel, F. Cucker, J. Peña and V. Roshchina,
"Fast Computation of Zeros of Polynomial
Systems with Bounded Degree under
Finite-precision,''
*Mathematics of Computation*287 (2014) pp. 1279--1317. - A. Ramdas and J. Peña,
"Margins, Kernels and Non-linear 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. 579--589. -
N. Soheili and J. Peña,
"A primal-dual smooth perceptron-von Neumann algorithm,''
*Fields Institute Communications*69 (2013) pp. 303--320. - 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. 728--737. -
J. Peña, J. Vera, and L. Zuluaga
"Computing arbitrage bounds on basket options in the presence of bid-ask spreads,''
*European Journal of Operational Research*222 (2012) pp. 369--376. -
A. Gilpin, J. Peña, and T. Sandholm
"First-order algorithm with O(ln(1/\epsilon)) convergence for \epsilon-equilibrium in two-person zero-sum games,''
*Mathematical Programming*133 (2012) pp. 279--298. -
J. Peña and H. Sendov,
"Spectral self-concordant functions in the space of two by two symmetric matrices,"
*Optimization*60 (2011) pp. 441--449. - 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. 3490--3511. -
J. Peña, X. Saynac, J. Vera, and L. Zuluaga
"Computing general static-arbitrage bounds for European
basket options via Dantzig-Wolfe decomposition,''
*Algorithmic Operations Research*5 (2010) pp. 65--74. -
J. Peña, J. Vera, and L. Zuluaga,
"Static-arbitrage lower bounds on the prices of basket options via
linear programming,"
*Quantitative Finance*10 (2010) pp. 819--827. -
J. Peña and H. Sendov,
"Separable self-concordant spectral functions and a conjecture of Tunçel,"
*Mathematical Programing*125 (2010) pp. 101--122. -
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. 494--512. -
D. Cheung, F. Cucker, and J. Peña, "On strata of degenerate polyhedral cones II: relations between condition measures,''
*Journal of Complexity 26*(2010) pp. 209--226. -
L. Zuluaga, J. Peña, and D. Du,
"Third-order extensions of Lo's semiparametric bound for European call options,"
*European Journal of Operational Research*198 (2009) pp. 557--570. -
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. 23--28. -
J. Peña,
"Nash equilibria computation via smoothing techniques,"
*Optima*78 (2008) pp. 12--13. -
C. Jabbour, J. Peña, J. Vera, and L. Zuluaga,
"An estimation-free, robust CVaR portfolio allocation model,"
*Journal of Risk*11 (2008) pp. 57--78. -
D. Cheung, F. Cucker, and J. Peña, "A condition numbers for
multifold conic systems,''
*SIAM Journal on Optimization*19 (2008) pp. 261--270. -
J. Peña, J. Vera, and L. Zuluaga, "Exploiting equalities in polynomial programming,''
*Operations Research Letters*36 (2008) pp. 223--228. -
J. Vera, J. Rivera, J. Peña, and Y. Hui, "A primal-dual symmetric relaxation for homogeneous conic systems,"
*Journal of Complexity*23 (2007) pp. 245--261. -
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. 87--105.

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. 796--817. -
J. Peña, "On the block-structured distance to non-surjectivity of
sublinear mappings,"
*Mathematical Programming*103 (2005) pp. 561--573. -
L. Zuluaga and J. Peña, "A
conic programming approach to generalized Tchebycheff inequalities,''
*Mathematics of Operations Research*30 (2005) pp. 369--388. -
J. Peña, "Conic systems and sublinear mappings: equivalent
approaches,''
*Operations Research Letters*32 (2004) pp. 463--467. -
D. Cheung, F. Cucker, and J. Peña, "Unifying condition numbers for
linear programming,''
*Mathematics of Operations Research*28 (2003) pp. 609--624. -
J. Peña, "A characterization of the distance to infeasibility under
structured perturbations,"
*Linear Algebra and its Applications*370 (2003) pp. 193--216. -
J. Peña, "Two properties of condition numbers for convex programs
via implicitly defined barrier functions,"
*Mathematical Programming*93 (2002) pp. 55--75. -
F. Cucker and J. Peña. "A primal-dual algorithm for solving polyhedral
conic systems with a finite-precision machine,"
*SIAM Journal on Optimization*12 (2002) pp. 522--554. -
J. Peña, "Conditioning of convex programs from a primal-dual perspective,"
*Mathematics of Operations Research*26 (2001) pp. 206--220. -
J. Peña, "Understanding the geometry of infeasible perturbations
of a conic linear system,"
*SIAM Journal on Optimization*10 (2000) pp. 534--550. -
J. Peña and J. Renegar, "Computing approximate solutions for convex
conic systems of constraints,"
*Mathematical Programming*87 (2000) pp. 351--383.

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 September 2014.