Thomas F. Coleman

Thomas F. Coleman's AcademicInfluence.com Rankings

Thomas F. Coleman

Mathematics

#5268

World Rank

#7427

Historical Rank

Applied Mathematics

#227

World Rank

#252

Historical Rank

Measure Theory

#1666

World Rank

#2051

Historical Rank

mathematics Degrees

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Mathematics

Why Is Thomas F. Coleman Influential?

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According to Wikipedia, Thomas F. Coleman is a Canadian mathematician and computer scientist who is a Professor in the Department of Combinatorics and Optimization at the University of Waterloo, where he holds the Ophelia Lazaridis University Research Chair. In addition, Coleman is the director of WatRISQ, an institute composed of quantitative and computational finance researchers spanning several Faculties at the University of Waterloo.

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Thomas F. Coleman's Published Works

Number of citations in a given year to any of this author's works

Total number of citations to an author for the works they published in a given year. This highlights publication of the most important work(s) by the author

Published Works

An Interior Trust Region Approach for Nonlinear Minimization Subject to Bounds (1993) (3269)
On the convergence of interior-reflective Newton methods for nonlinear minimization subject to bounds (1994) (1041)
Optimization Toolbox User's Guide (1998) (868)
On the Convergence of Reflective Newton Methods for Large-scale Nonlinear Minimization Subject to Bounds (1992) (728)
A Subspace, Interior, and Conjugate Gradient Method for Large-Scale Bound-Constrained Minimization Problems (1999) (694)
A Reflective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables (1992) (627)
Estimation of sparse jacobian matrices and graph coloring problems (1983) (489)
Minimizing CVaR and VaR for a portfolio of derivatives (2006) (249)
Estimation of sparse hessian matrices and graph coloring problems (1982) (167)
Reconstructing the Unknown Local Volatility Function (1999) (162)
Software for estimating sparse Jacobian matrices (1984) (130)
The null space problem I. complexity (1986) (128)
Nonlinear programming via an exact penalty function: Asymptotic analysis (1982) (126)
The null space problem II. Algorithms (1987) (118)
The cyclic coloring problem and estimation of spare hessian matrices (1986) (108)
On the Local Convergence of a Quasi-Newton Method for the Nonlinear Programming Problem (1984) (98)
Large-Scale Numerical Optimization (1990) (96)
Hedging guarantees in variable annuities under both equity and interest rate risks (2006) (93)
Calibration and hedging under jump diffusion (2007) (93)
A parallel triangular solver for distributed-memory multiprocessor (1988) (88)
Auto insurance fraud detection using unsupervised spectral ranking for anomaly (2016) (79)
A New Method for Solving Triangular Systems on Distributed Memory Message-Passing Multiprocessors (1989) (79)
Robustly Hedging Variable Annuities with Guarantees under Jump and Volatility Risks (2007) (78)
Nonlinear programming via an exact penalty function: Global analysis (1982) (76)
A direct active set algorithm for large sparse quadratic programs with simple bounds (1989) (76)
Minimizing tracking error while restricting the number of assets (2006) (75)
A Preconditioned Conjugate Gradient Approach to Linear Equality Constrained Minimization (2001) (75)
The Efficient Computation of Sparse Jacobian Matrices Using Automatic Differentiation (1998) (74)
A parallel build-up algorithm for global energy minimizations of molecular clusters using effective energy simulated annealing (1993) (74)
Large Sparse Numerical Optimization (1984) (69)
Handbook for matrix computations (1988) (68)
ADMIT-1: automatic differentiation and MATLAB interface toolbox (2000) (67)
Predicting fill for sparse orthogonal factorization (1986) (67)
A note on the computation of an orthonormal basis for the null space of a matrix (1982) (55)
A globally and quadratically convergent affine scaling method for linearℓ1 problems (1992) (53)
A trust region and affine scaling interior point method for nonconvex minimization with linear inequality constraints (1997) (50)
Software for estimating sparse Hessian matrices (1985) (50)
Dynamic Hedging with a Deterministic Local Volatility Function Model (2001) (47)
Derivative Portfolio Hedging Based on CVaR (2003) (45)
Large-Scale Optimization with Applications (1997) (44)
A Globally and Superlinearly Convergent Algorithm for Convex Quadratic Programs with Simple Bbounds (1993) (43)
Computing a Trust Region Step for a Penalty Function (1990) (41)
Isotropic effective energy simulated annealing searches for low energy molecular cluster states (1993) (40)
Structure and Efficient Jacobian Calculation (1996) (38)
A global and quadratically convergent method for linear l ∞ problems (1992) (37)
Second-order conditions for an exact penalty function (1980) (37)
Min-max robust and CVaR robust mean-variance portfolios (2009) (35)
A Newton Method for American Option Pricing (2002) (35)
Reconstructing the unknown volatility function (1998) (34)
An efficient trust region method for unconstrained discrete-time optimal control problems (1995) (31)
Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters (2009) (31)
Moment matching machine learning methods for risk management of large variable annuity portfolios (2018) (31)
A New Trust-Region Algorithm for Equality Constrained Optimization (2002) (27)
Large-Scale Optimization with Applications : Part II: Optimal Design and Control (1997) (26)
A Parallel Triangular Solver for a Hypercube Multiprocessor (1986) (26)
Large-Scale Numerical Optimization: Introduction and Overview (1991) (25)
RankRC: Large-Scale Nonlinear Rare Class Ranking (2015) (25)
Structured automatic differentiation (1998) (25)
Algorithm 618: FORTRAN subroutines for estimating sparse Jacobian Matrices (1984) (24)
Parallel continuation-based global optimization for molecular conformation and protein folding (1994) (23)
The Efficient Computation of Structured Gradients using Automatic Differentiation (1999) (22)
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (2016) (20)
Optimal Execution Under Jump Models For Uncertain Price Impact (2013) (20)
pPCx: Parallel Software for Linear Programming (1997) (19)
Discrete Hedging Under Piecewise Linear Risk Minimization (2003) (18)
Primal explicit max margin feature selection for nonlinear support vector machines (2014) (18)
Large-Scale Optimization with Applications : Part I: Optimization in Inverse Problems and Design (1997) (17)
A secant method for nonlinear least-squares minimization (2012) (17)
Regularized robust optimization: the optimal portfolio execution case (2013) (17)
An interior Newton method for quadratic programming (1993) (16)
Lectures on Global Optimization (2009) (16)
Partitioned quasi-Newton methods for nonlinear equality constrained optimization (1992) (16)
Solution of Nonlinear Least Squares Problems on a Multiprocessor (1988) (15)
Fast (Structured) Newton Computations (2008) (15)
Structure and Efficient Hessian Calculation (1996) (15)
On Characterizations of Superlinear Convergence for Constrained Optimization (1988) (14)
SIAG/OPT Views-and-News A Forum for the SIAM Activity Group on Optimization (1999) (13)
A Parallel Nonlinear Least-Squares Solver: Theoretical Analysis and Numerical Results (1992) (13)
Efficient Calculation of Jacobian and Adjoint Vector Products in the Wave Propagational Inverse Problem Using Automatic Differentiation (2000) (13)
Large-Scale Optimization with Applications : Part III: Molecular Structure and Optimization (1997) (12)
Stable local volatility function calibration using spline kernel (2013) (12)
Automatic differentiation in MATLAB using ADMAT with applications (2016) (12)
The Efficient Application of Automatic Differentiation for Computing Gradients in Financial Applications (2016) (12)
An Object-Oriented Framework For Valuing Shout Options on High-Performance Computer Architectures (2003) (12)
Solving nonlinear equations with the Newton–Krylov method based on automatic differentiation (2014) (11)
Semi-Automatic Differentiation (1998) (10)
Solving Systems of Nonlinear Equations on a Message-Passing Multiprocessor (1990) (10)
A note on ‘new algorithms for constrained minimax optimization’ (1978) (10)
Discrete hedging of American-type options using local risk minimization (2007) (10)
Efficient (Partial) Determination of Derivative Matrices via Automatic Differentiation (2013) (9)
Learning minimum variance discrete hedging directly from the market (2018) (9)
Spectral ranking and unsupervised feature selection for point, collective, and contextual anomaly detection (2018) (8)
Total risk minimization using Monte-Carlo simulations (2005) (8)
A Quasi-Newton Quadratic Penalty Method for Minimization Subject to Nonlinear Equality Constraints (2000) (8)
The Sparse Null Space Basis Problem (1984) (8)
Dynamic liquidation under market impact (2011) (7)
Algorithm 636: FORTRAN subroutines for estimating sparse Hessian matrices (1985) (7)
A chordal preconditioner for large-scale optimization (1988) (7)
Calibrating volatility function bounds for an uncertain volatility model (2010) (7)
Hedging Guarantees in Variable Annuities ( Under Both Market and Interest Rate Risks ) (2004) (6)
Segmentation of Pulmonary Nodule Images Using Total Variation Minimization (1998) (6)
Bounding the difference between RankRC and RankSVM and application to multi-level rare class kernel ranking (2018) (6)
A Quadratically-Convergent Algorithm for the Linear Programming Problem with Lower and Upper Bounds (1990) (6)
Segmentation of Pulmonary Nodule Images Using 1-Norm Minimization (2001) (5)
An Eecient Trust Region Method for Unconstrained Discrete-time Optimal Control Problems 1 (1993) (5)
Learning sequential option hedging models from market data (2021) (4)
The local convergence of the Byrd-Schnabel algorithm for constrained optimization (1993) (4)
Dynamic Hedging in a Volatile Market (2003) (4)
An Exterior Newton Method for Strictly Convex Quadratic Programming (2000) (4)
Parallel structural optimization applied to bone remodeling on distributed memory machines (1995) (3)
Computation and analysis for a constrained entropy optimization problem in finance (2008) (3)
Direct Methods for Sparse Matrices (I. S. Duff, A. M. Erisman, and J. K Reid) (1989) (3)
Efficient Machine Learning Methods for Risk Management of Large Variable Annuity Portfolios ∗ (2015) (3)
Chapter 14 Total Risk Minimization Using Monte Carlo Simulations (2007) (3)
A Gradual Non-Convexification Method for Minimizing VaR Jiong Xi (2013) (3)
A Global and Quadratic Affine Scaling Method for Linear $L_{1}$ Problems. (1989) (3)
Hedging a portfolio of derivatives by modeling cost (2003) (3)
Combining Trust Region and Affine Scaling Linearly Constrained Nonconvex Minimization (1997) (3)
Stable Local Volatility Calibration Using Kernel Splines (2010) (3)
Parallel Orthogonal Factorizations of Large Sparse Matrices on Distributed -Memory Multiprocessors (1993) (3)
Parallelism in Structured Newton Computations (2007) (2)
Unsupervised Spectral Ranking for Anomaly and Application to Auto Insurance Fraud Detection (2014) (2)
Estimating a Hedge Fund Return Model Based on a Small Number of Samples (2009) (2)
Image processing with total variation minimization (1999) (2)
FORTRAN subroutines for estimating sparse Hessian matrices (Algorithm 649). (1986) (2)
Optimization and Data Analysis in Biomedical Informatics (2014) (2)
Using Directed Edge Separators to Increase Efficiency in the Determinationof Jacobian Matrices via Automatic Differentiation (2012) (2)
A Reeective Newton Method for Minimizing a Quadratic Function Subject to Bounds on Some of the Variables 1 (1992) (1)
Local convergence of the multi-secant method for the parallel solution of systems of nonlinear equations (1988) (1)
A Graduated Nonconvex Regularization for Sparse High Dimensional Model Estimation (2014) (1)
AN AFFINE SCALING TRUST REGION ALGORITHM FOR NONLINEAR PROGRAMMING (2007) (1)
Computing Optimal Stochastic Portfolio Execution Strategies: A Parametric Approach Using Simulations (2010) (1)
Solving Rank-Deficient Linear Least-Squares Problems * (2010) (1)
Discrete Hedging Under Piecewise Linear Risk Management (2003) (1)
Financial Computations on Clusters Using Web Services (2005) (0)
Explicit Max Margin Input Feature Selection for Nonlinear SVM using Second Order Methods (2012) (0)
Regularized robust optimization: the optimal portfolio execution case (2013) (0)
Southern Colorado Magazine (2018) (0)
An efficient machine learning approach An efficient machine learning approach (2016) (0)
Chapter 2: Products and Sparse Problems (2016) (0)
A Quasi-Newton L2-Penalty Method for Minimization Subject to Nonlinear Constraints (1995) (0)
Risk-minimization hedging under nonoptimal exercising (2011) (0)
3 STRUCTURE AND EFFICIENT (1998) (0)
Ecient Calculation of Jacobian and Adjoint Vector Products in Wave Propagational Inverse Problem Using Automatic Dierentiation (1998) (0)
1. A Subset of Fortran 77 (1988) (0)
Chapter 5: Newton's Method and Optimization (2016) (0)
An Interior Point Method for Large Scale Linear Feasibility Problems (2015) (0)
Parallel Finite Element Analysis of Biomechanical Structures on the Ncube 6400 (1991) (0)
Fundamentals of Workers (2016) (0)
A Gradual Non-Convexation Method for Minimizing VaR (2012) (0)
2. The BLAS (1988) (0)
Large Scale Computational Problems in Numerical Optimization (2000) (0)
Chapter 9: R&D Directions (2016) (0)
Stable local volatility function calibration using spline kernel (2013) (0)
On the Convergence of Reeective Newton Methods for Large-scale Nonlinear Minimization Subject to Bounds 1 (1992) (0)
Chapter 3: Using ADMAT with the MATLAB Optimization Toolbox (2016) (0)
An interior Newton method for large-scale quadratic programming (1994) (0)
Book Review: Lectures on finite precision computations (1997) (0)
Fundamentals of Workers' Compensation in Minnesota (2015) (0)
Advanced Computing Research Institute, Semi-annual Research Activity Report, October 1992 April 1993 (1993) (0)
Parallel and sparse methods for large-scale numerical optimization (1990) (0)
A Gradual Nonconvexification Method or Minimizing Value-at-Risk (2014) (0)
Spectral ranking and unsupervised feature selection for point, collective, and contextual anomaly detection (2018) (0)
An Exterior Newton Method for Convex Quadratic Programming (1997) (0)
Chapter 4: Structure (2016) (0)
A secant method for nonlinear least-squares minimization (2010) (0)
Chapter 8: A Template for Structured Problems (2016) (0)
Cluster Computing for Financial Engineering (2004) (0)
Chapter 1: Fundamentals of Automatic Differentiation and the Use of ADMAT (2016) (0)
Chapter 6: Combining C/Fortran with ADMAT (2016) (0)
Advanced Computing Research Institute Semi-annual Research Activity Report, April 1992 September 1992 (1992) (0)
Smoothing and parametric rules for stochastic mean-CVaR optimal execution strategy (2013) (0)
Bounding the difference between RankRC and RankSVM and application to multi-level rare class kernel ranking (2017) (0)
Chapter 7: AD for Inverse Problems with an Application to Computational Finance (2016) (0)

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Thomas F. Coleman's Academic­Influence.com Rankings

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Thomas F. Coleman's Published Works

Published Works

Other Resources About Thomas F. Coleman

What Schools Are Affiliated With Thomas F. Coleman?

Thomas F. Coleman's AcademicInfluence.com Rankings