Bernardo K.Pagnoncelli's Home Page

Bernardo Kulnig Pagnoncelli

[photo]

Assistant Professor
School of Business, Universidad Adolfo Ibañez
Diagonal Las Torres 2640 oficina 533 C.
Peñalolén, Santiago, Chile.

E-mail: bernardo.pagnoncelli [at] uai dot cl

Resume/CV

Background

I have an undergraduate, a master degree an a Ph.D. in Mathematics all from Puc-Rio, Rio de Janeiro, Brazil. The title of my Master's thesis is "Applications of the tensor product in numerical analysis" and involves numerical linear algebra and tensor product. I defended my Ph.D. thesis in February 16th, 2009 and it is about stochastic programming, focusing on sampling methods for chance-constrained problems. I spent one year of my doctorate as a research scholar at the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech, under the supervision of professors Shabbir Ahmed. and Alexander Shapiro. Professor Carlos Tomei was my adviser in the Masters and in the Ph.D. Currently I am an Assistant Professor at Universidad Adolfo Ibañez, Santiago, Chile.

Research Interests

Stochastic Programming

Chance constrained programming
Sampling methods
Coherent risk measures
Multistage stochastic programming
Applications in finance and actuarial sciences

Dynamics

Economic dynamics
Computational dynamics
Chaos

Publications

"Sample Average Approximation method for chance constrained programming: theory and applications." [pdf] Bernardo Kulnig Pagnoncelli, Shabbir Ahmed and Alexander Shapiro. Journal of Optimization Theory and Applications Vol. 142, No. 2, July 2009, pp 399-416.

"Sampling linear EDO" (in Portuguese). [pdf] Bernardo Kulnig Pagnoncelli, Hélio Lopes and Carlos Frederico Borges Palmeira, preprint, Department of Mathematics PUC-Rio. Matemática Universitária Vol. 45, December 2009, pp 44-50.

"Transaction costs in collective investment schemes" (in Portuguese). Alberto de Azevedo, Bernardo Kulnig Pagnoncelli and Carlos Tomei. Revista Brasileira de Economia Vol. 63, No. 4, 2009, pp 261-270.

"Cournot equilibrium: modern techniques applied to an old problem." [pdf] Bernardo Kulnig Pagnoncelli, Miguel Schnoor, Carlos Frederico Borges Palmeira and Rafael Cayres. Journal of Interdisciplinary Mathematics, 11 (5), 601-616, 2008.

"A geometric approach to hydrothermal scheduling with variable production coefficient". [pdf] Bernardo Kulnig Pagnoncelli, Humberto Bortolossi and Carlos Tomei. Proceedings of Dynamic Systems and Applications, 2008, Volume 5, pp 369-375.

"Introduction to choice under uncertainty" (In Portuguese). [pdf] Bernardo Kulnig Pagnoncelli and Humberto Bortolossi. Text for a short course presented at the III Biannual meeting of the Brazilian Society of Mathematics, 2006.

"Discrete dynamics applied to economics" (in Portuguese). [pdf] Bernardo Kulnig Pagnoncelli and Carlos Frederico Borges Palmeira. Text for a short course presented at the III biannual meeting of the Brazilian Society of Mathematics, 2006.

"Data to Knowledge in pharmaceutical research". [pdf] Bernardo Kulnig Pagnoncelli, G. Enciso, D. Schmidt, S. Bayram, A. DeWitt, H. Fernando, J.A.S. Hameed and J. Kao. Paper written for the workshop Mathematical Modeling in Industry Workshop, IMA, University of Minnesota, 2004.

Presentations

"The joint hurdle-race problem" (with S. Vanduffel). 20th ISMP, Chicago, United States, 2009.

"Sample average approximation for chance constrained programming". 24th IFIP, Buenos Aires, Argentina, 2009.

"Computational study of a chance constrained portfolio problem". XIV CLAIO, Cartagena, Colombia, 2008.

"A chance constrained portfolio problem". Universidad Adolfo Ibañez. Santiago, Chile, 2008.

"Introduction to choice under uncertainty". SPOLM, Rio de Janeiro, Brazil 2008.

"Computational study of a chance constrained portfolio problem". DOS seminar, Atlanta, United States, 2008.

"A geometric approach to hydrothermal scheduling with variable production coefficient". International Conference on Dynamic Systems and Applications (5th ICDSA). Morehouse College, Atlanta, United States. 2007.

"Stochastic programming and applications". Funenseg (private actuarial institution), Rio de Janeiro, Brazil, 2006.

"Stochastic programming and applications". IAPUC, PUC-Rio, Rio de Janeiro, Brazil, 2006.

"Random linear systems". Graduate students' colloquium, Department of Physics , PUC-Rio, 2006.

"Option pricing by simulation", with Renato Costa. Department of Industrial Engineering , PUC-Rio, 2006.

"How to win on tennis". Students Colloquium, Department of Mathematics, PUC-Rio, 2004.

Refereeing

I have been a reviewer for the following journals:

European Journal of Operational Research (EJOR)

Journal of Mathematical Analysis and Applications (JMAA)

Computational Optimization and Application (COAP)

Collaborators

Carlos Tomei (my advisor), Humberto Bortolossi, Shabbir Ahmed, Alexander Shapiro, Alexandre Street, Nicole S. Fernandez, Marco C. Campi, Daniel Reich, Steven Vanduffel, Fred Palmeira, Miguel Adriano Koiller Schnoor, Rafael Cayres, Alberto Azevedo.