Pavlo Krokhmal

Professional   |   Personal

• Contact

  • Pavlo Krokhmal
    Assistant Professor
    Department of Mechanical and Industrial Engineering
    Applied Mathematical and Computational Sciences Program
    University of Iowa
    2136 Seamans Center
    Iowa City, IA 52242
    Tel: 319.335.5680,   Fax: 319.335.5669
    E-mail:   krokhmal@engineering.uiowa.edu

• Education

  • Ph.D. Operations Research (2003)
    University of Florida

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

• Stochastic Optimization, Risk Management, Financial Engineering

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

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

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

    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.

    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.

• Probabilistic Analysis of Combinatorial Problems

  • 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 (2010) Limiting optimal values and convergence rates in some combinatorial optimization problems on hypergraph matchings, submitted.

    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., 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.

    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.

    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.

    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.

• Cooperative Control

  • Cannon, J., Krokhmal, P., Chen, Y., and R. Murphey (2011) Detection of temporal changes in operator functional state using statistical process control methods, Computer Methods and Programs in Biomedicine, in press.

    Krokhmal, P. and D. Jeffcoat (2010) On measures of cooperation in distributed systems under uncertainties, Military Operations Research, in press.

    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.

    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.

    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.

• Mechanics of Solids and Applied Mathematics

  • 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.

    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].

• Fluid Dynamics and Stokes Flows

  • 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: 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: National Science Foundation, 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

• Teaching

  • 056:274 Stochastic Optimization (Fall 2005, 2007, 2009)
    056:276 Game Theory (Fall 2008)
    056:166 Stochastic Modeling (Fall 2006-2009)
    056:054 Engineering Economy (Spring 2006-2010)
    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)
    

• Professional service

  • Associate Editor, Optimization Letters

    Associate Editor, IIE Transactions

    Co-Editor, special issue of the Journal of Banking and Finance

    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

    Reviewer, National Science Foundation; Air Force Office of Scientific Research; Annals of Operations Research, Asia Pacific Journal of Operations Research; Computational Management Science; Discrete Applied Mathematics; European Journal of Operational Research; IEEE Transactions on Systems, Man, and Cybernetics; IMA Journal on Management Mathematics; Journal of Banking and Finance; Journal of Directed Energy; Journal of Global Optimization; Journal of Risk; The Journal of Risk and Insurance; Mathematical Programming; Operations Research; Operations Research Letters; Optimization Letters; SIAM Journal on Optimization; Quantitative Finance

• Awards

  • American Society for Engineering Education, Summer Faculty Fellowship (2009)

    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)