Jonathan Eckstein
E-mail:
user name jeckstei host business domain suffix rutgers.edu
How to reach me
My
page on the Rutgers Business school website
Webumé
BAIT
Major (Business Analytics and Information Technology)
Course websites
Grants, Projects, Service, and Other Professional Activity
Introductory
textbook on relational database design and Microsoft Access
--
Co-author site and blog
Publications and Working Papers
Downloadable doctoral
dissertation
YASAI
simulation add-in for Excel
Miscellaneous
100 Rockafeller Road, Room 5145
Livingston Campus
Rutgers University
Piscataway, NJ 08854 USA
Voice: (848) 445-0510
Fax: (732) 445-1133
Webumé
I am a (tenured) professor in the MSIS (Management Science and
Information Systems) department, Rutgers Business School,
Rutgers University, with my
office on the New Brunswick campus. I was department vice-chair July
2008 through June 2011.
I am a member of RUTCOR.
In Fall 2014, I was elected a
fellow
of INFORMS.
Until going on sabbatical in the 2014-2015 academic year, I was
coordinator of Rutgers'
BAIT
major. This major graduated its first students in 2014.
RBGA named me "Best
BAIT Professor" for the 2013-2014 academic year.
With William
E.Hart and Cynthia
Phillips, I won the 2006
INFORMS COIN-OR Cup.
I won the 2003 Thomas H. Mott, Jr. award for excellence in
teaching, by vote of Rutgers' undergraduate business majors.
For the 2000-2001 and 2007-2008 academic years, I was on sabbatical at
the ORFE Department
at Princeton University.
Prior to Rutgers, I spent about four years as a research
scientist at the now-defunct Thinking
Machines Corporation. The firm produced
parallel supercomputers and associated software.
Much of its technology was acquired by Sun
Microsystems and Oracle
(which, very much later, merged together).
Prior to Thinking Machines, I taught for two years at Harvard Business School.
Before that, I obtained Masters (1986) and Ph.D. (1989)
degrees in Operations
Research
from MIT, at the Operations Research Center.
My dissertation advisor was
Dimitri
Bertsekas.
Before that, I worked as a programmer/analyst at
Xenergy, Inc (since acquired by
another firm).
In particular, I was the lead developer for
XenCAP, and responsible for the software design of RECAP. The firm
described these software products as pivotal in Xenergy's history.
Xenergy claims XenCAP has been used to perform energy audits of over
two billion square feet of commercial building space, and RECAP has
been used to energy-audit over 3.5 million homes.
My undegraduate degree was in
Mathematics, from Harvard
University (1980, Phi
Beta Kappa, Magna Cum Laude)
I am a member of the The
Mathemetical Programming Society, INFORMS and its
Computing Society, and SIAM.
Grants, Projects, and Service, and Other Professional Activities
I have served several times on the board of the INFORMS
Computing Society, and have been its representative to the INFORMS subdivision council.
Principal investigator of the following grants:
National
Science Foundation grant CCR-9902092,
in the Computer-Communications
Research program of the "CISE"
directorate, 1999-2004.
National
Science Foundation grant CCF-1115638,
in the Computer-Communications
Foundations program of the "CISE"
directorate, 2011-2015.
Air Force Office of
Scientific Research grant FA9550-11-1-0164,
Optimization and Discrete Mathematics Program, 2011-2015 (Andrzej Ruszczynski, co-PI).
Air Force Office of
Scientific Research grant FA9550-15-1-0251,
Optimization and Discrete Mathematics Program, 2015-2019
(Andrzej Ruszczynski, co-PI).
National
Science Foundation grant CCF-1617617,
in the Computer-Communications
Research program of the "CISE"
directorate, 2016-2020.
I wrote most of the PEBBL parallel branch-and-bound software
package and am taking a leading role in its continued development. I
also made contributions to ACRO (which included PEBBL), PICO
(defunct), and UTILIB. This work is in collaboration with
Sandia National Labs.
I designed the YASAI
Monte Carlo simulation add-in for Microsoft Excel and have
overseen its development, mostly by Rutgers undergraduate students.
On January 1, 2019, I became editor-in-chief of
Mathematical
Programming Computation.
In the past I have served on the editorial boards of
Computational
Optimization and Applications and Optimization
Methods and Software,
and as a technical editor for Mathematical Programming Computation.
Open-Source Software Projects
- PEBBL
- C++ framework for building
customized branch-and-bound algorithms, with flexible and scalable parallelism
through MPI.
Developed with Cythia
A. Phillips and
William
E. Hart.
-
BranchAndBound.jl
- An abstract branch-and-bound framework for
Julia.
-
YASAI
-
Excel add-in for
Monte Carlo simulation, written in
VBA.
Designed to be simple to use and suitable for teaching. Developed with
numerous Rutgers undergraduate students.
-
projSplitFit
-
Python
modules facilitating experimentation with projective splitting methods for
convex data fitting problems. Developed with Patrick
R. Johnstone.
Publications and Working Papers
Note: This list is fairly comprehensive but not completely
exhaustive.
I am the first or sole author unless otherwise indicated.
-
Stochastic Projective Splitting, with Patrick
R. Johnstone (first author)
-
Computational Optimization and Applications, appeared online
September 2023.
-
Projective Hedging Algorithms for Multistage Stochastic Programming,
Supporting Distributed and Asynchronous Implementation, with
Jean-Paul
Watson and David L. Woodruff,
-
Operations Research,
appeared online July 2023. Earlier version available as
Optimization
Online working paper 2018-10-6895.
- Projective Splitting with Forward Steps,
with Patrick
R. Johnstone (first author)
-
Mathematical Programming 191(2):631-670 (2022).
-
A
covering decomposition algorithm for power grid cyber-network segmentation,
with Emma S. Johnson
(first author), Santanu S. Dey,
Cynthia A. Phillips, and
John D. Siirola
- Optimization Online preprint
2021-12-8725, December 2021.
-
Stochastic Projective Splitting: Solving Saddle-Point Problems with Multiple
Regularizers, with Patrick
R. Johnstone (first author),
Thomas Flynn, and Shinjae Yoo
- ArXiv preprint 2106.13067, June 2021.
-
Single-Forward-Step
Projective Splitting: Exploiting Cocoercivity, with Patrick
R. Johnstone (first author)
-
Computational Optimization and Applications,
78(1):125-166 (2021).
- Deriving
Solution Value Bounds from the ADMM
- Optimization
Letters 14(6), 1289-1303 (2020).
-
Relative-error
inertial-relaxed inexact versions of Douglas-Rachford and ADMM
splitting algorithms, with M. Marques Alves (first author),
Marina Geremia, and Jefferson
G. Melo
-
Computational Optimization and Applications, 75(2):389-422 (2020).
-
Projective Splitting
with Forward Steps Only Requires Continuity, with
Patrick
R. Johnstone (first author)
-
Optimization
Letters 14(1):229-247 (2020).
-
Convergence
Rates for Projective Splitting, with Patrick
R. Johnstone (first author)
-
SIAM
Journal on Optimization 29(3):1931-1957 (2019).
-
REPR:
Rule-Enhanced Penalized Regression, with
Ai Kagawa
and Noam Goldberg
-
INFORMS Journal on
Optimization 1(2):143-163 (2019).
-
Projective
Splitting with Forward Steps: Asynchronous and Block-Iterative
Operator Splitting, with Patrick
R. Johnstone (first author)
-
Optimization
Online working paper 2018-03-6533 and ArXiv preprint 1803.07043, March 2018.
- Relative-Error
Approximate Versions of Douglas-Rachford Splitting
and Special Cases of the ADMM,
with
Wang Yao
-
Mathematical Programming,
170(2), 417-444 (2018).
-
Asynchronous
Block-Iterative Primal-Dual Decomposition Methods for
Monotone Inclusions, with Patrick L. Combettes (first author)
-
Mathematical
Programming 168(1-2):645-672 (2018).
- Introductory
Relational Database Design for Business, with Microsoft
Access, with Bonnie R. Schultz
- Wiley, 2018 (student
companion website and instructor
companion website available from the publisher.
- Rule-Enhanced
Penalized Regression by Column Generation using Rectangular Maximum
Agreement, with Noam Goldberg
and
Ai Kagawa
- Proceedings of the 34th International Conference on
Machine Learning (ICML 2017), appearing as Proceedings of Machine
Learning Research 70:1059-1067 (2017).
- Approximate
ADMM Algorithms Derived from Lagrangian Splitting,
with
Wang Yao
-
Computational Optimization and Applications,
68(2):363-405 (2017).
-
A Simplified Form of Block-Iterative Operator Splitting, and an
Asynchronous Algorithm Resembling the Multi-Block Alternating
Direction Method of Multipliers.
-
Journal of
Optimization Theory and Applications, 173(1):155-182 (2017).
Corrections to one of the proofs are in a
"forum" note in the same journal.
-
Approximate
Versions of the Alternating Direction Method of Multipliers, with
Wang Yao
-
Optimization
Online working paper 2016-01-5276, January 2016.
-
Multilevel Optimization Modeling for Risk-Averse Stochastic
Programming, with
Deniz Eskandani and
Jingnan Fan
-
INFORMS
Journal on Computing, 28(1):112-128 (2016), plus
online supplement.
-
PEBBL: An Object-Oriented Framework for Scalable Parallel Branch and
Bound, with
William
E. Hart and Cythia
A. Phillips
-
Mathematical Programming Computation, 7(4):429-429 (2015).
Longer version available as RUTCOR Research Report RRR 9-2013, September 2013.
-
A
Bundle Method for Exploiting Additive Structure in Difficult
Optimization Problems, with Welington de Oliveira (lead author)
- E-print 2015-05-4935, Optimization
Online, May 2015.
-
Object-Parallel
Infrastructure for Implementing First-Order Methods, with an Example
Application to LASSO, with György Mátyásfalvi
- E-print 2015-01-4748, Optimization
Online, January 2015.
-
Understanding
the Convergence of the Alternating
Direction Method of Multipliers: Theoretical and
Computational Perspectives, with Wang Yao.
- Pacific Journal on
Optimization, 11(4):619-644 (2015). Expanded version available at
Optimization Online.
-
PEBBL 1.4.1 User's Guide, with
William
E. Hart and Cythia
A. Phillips
-
RUTCOR Research Report RRR 2-2014, September 2014.
-
Time
Consistency Versus Law Invariance in Multistage Stochastic
Optimization with Coherent Risk Measures: Multilevel Optimization
Modeling and Computational Complexity
-
RUTCOR Research Report RRR 7-2013, August 2013.
-
Augmented Lagrangian and Alternating Direction Methods for Convex
Optimization: A Tutorial and Some Illustrative Computational Results
-
RUTCOR Research Report RRR 32-2012, December 2012.
-
Complexity of Bilevel Coherent Risk Programming
-
RUTCOR Research Report RRR 17-2012, April 2012.
-
A
Practical Relative Error Criterion for Augmented Lagrangians
-
with Paulo J.S.
Silva. Mathematical
Programming 141(1):319-348 (2013).
-
An Improved Branch-and-Bound Method for Maximum Monomial
Agreement
-
with Noam
Goldberg. INFORMS
Journal on Computing, 24(2):328-341 (2012).
-
Sparse
Weighted Voting Classifier Selection and its LP Relaxations
-
with Noam
Goldberg (lead author).
Information
Processing Letters 112:481-486 (2012)
-
Distributed Optimization and Statistical Learning via the Alternating Direction Method of Multipliers
-
with Stephen Boyd (lead
author),
Neal Parikh,
Eric Chu, and
Borja Peleato.
Foundations
and Trends in Machine Learning, 3(1):1-122 (2011).
-
Boosting
Classifiers with Tightened L0-Relaxation
Penalties
-
with Noam
Goldberg. Proceedings of the
the 27th International
Conference on Machine Learning (ICML 2010), 383-390 (2010).
-
Proximal Methods for Nonlinear Programming: Double Regularization and
Inexact Subproblems
- with Paulo J.S.
Silva.
Computational Optimization and Applications,
46(2):279-304 (2010).
- General
Projective Splitting Methods for Sums of Maximal Monotone
Operators
- with B.F.
Svaiter,
SIAM Journal on
Control and Optimization, 48(2):787-811 (2009).
-
An Improved Branch-and-Bound Method for Maximum Monomial Agreement
- with Noam
Goldberg. OPT 2008
Optimization for Machine Learning Workshop,
Neural
Information Processing Systems Workshop (NIPS08), December 2008.
-
Optimal Information Monitoring under a Politeness Constraint
- with Avigdor
Gal
and Sarit Reiner. INFORMS
Journal on
Computing 20(1):3-20 (2008).
-
Arrival Rate Approximation by Nonnegative Cubic Splines
- with Farid Alizadeh (first author), Nilay Noyan, and
Gabor Rudolf. Operations
Research, 56(1):140-156 (2008).
-
A
Family of Projective Splitting Methods for the Sum of Two Maximal
Monotone Operators
- with B.F.
Svaiter.
Mathematical
Programming 111(1-2):173-199 (2008).
- Pivot,
Cut, and
Dive: A Heuristic for Mixed 0-1 Integer Programming
- with Mikhail
Nediak.
Journal of
Heuristics 13(5):471-503 (2007).
- Massively Parallel Mixed-Integer Programming: Algorithms
and Applications
- with William
E.Hart and Cynthia
Phillips. In Parallel
Processing for Scientific Computing, M.A. Heroux,
P. Raghavan, and H.D. Simon, editors, SIAM Books,
November 2006.
- PEBBL
1.0 User Guide
- with Cynthia
A. Phillips and William E. Hart.
July 2006. RUTCOR
Research Report RRR 19-2006, August 2006.
-
Double-Regularization Proximal Methods, with Complementarity
Applications
- with Paulo
J.S. Silva (lead author).
Computational Optimization and Applications
33(2-3):115-156 (2006).
- Depth-Optimized
Convexity Cuts
- with Mikhail
Nediak. Annals of
Operations
Research 139:95-129 (2005)
- Scheduling
of Data Transcription in Periodically Connected Databases
- with Avigdor
Gal
(lead author) and Zachary
Stoumbos, Stochastic
Analysis and Applications 21(5):1021-1058 (2003).
- A
Practical General Approximation Criterion for Methods of Multipliers
Based on Bregman Distances
-
Mathematical
Programming 96(1):61-86 (2003).
- The
Maximum Box Problem and its Application to Data Analysis
- with Peter
L. Hammer, Ying
Liu, Mikhail
Nediak, and Bruno
Simeone.
Computational Optimization and Applications,
23(3):285-298 (2002).
-
YASAI: Yet Another Add-In for Teaching Elementary Monte Carlo
Simulation in EXCEL
- with Steven T.
Riedmueller.
INFORMS
Transactions on
Education 2(2),
http://ite.pubs.informs.org/Vol2No2/EcksteinRiedmueller/.
-
Managing Periodically Updated Data in Relational Databases: A
Stochastic Modeling Approach
- with Avigdor
Gal
(lead author). Journal
of the ACM,
46(6):1141-1183 (2001).
- A letter to the
editor published by the New
York Times on December 10, 2000.
- PICO: An Object-Oriented Framework for Parallel Branch
and
Bound
- with Cynthia
A. Phillips and William E. Hart.
Proceedings of the Workshop on Inherently Parallel
Algorithms in
Optimization and Feasibility and their Applications, Studies
in
Computational Mathematics, Elsevier Scientific, 219-265
(2001).
Older versions available as RUTCOR
Research Report RRR 40-2000, August 2000, and report
SAND2000-3000, Sandia
National
Laboratories, December 2000.
-
Rescaling and Stepsize Selection in Proximal Methods using Separable
Generalized Distances
- with
Paulo J.S. Silva (lead author) and
Carlos Humes Jr..
SIAM Journal on Optimization,
12(1):238-261 (2001).
-
Smooth Methods of Multipliers for Monotone Complementarity Problems
- with M. C.
Ferris.
Mathematical
Programming, 86(1):65-90 (1999).
- Approximate Iterations in Bregman-Function-Based Proximal
Algorithms
-
Mathematical
Programming, 83(1) 113-123 (1998).
- Operator Splitting Methods for Monotone Affine
Variational Inequalities, with a Parallel Application to Optimal
Control
- with M. C.
Ferris.
INFORMS
Journal on
Computing, 10(2):218-235 (1998).
- Resource
Management in a Parallel Mixed Integer Programming
Package
- with William
E. Hart and
Cynthia
A. Phillips. Proceedings
of
the Intel
Supercomputer
Users Group Conference, Albuquerque, NM, June 11-13, 1997.
- How
Much Communication Does Parallel Branch
and Bound Need?
- INFORMS
Journal on Computing, 9(1):15-29 (1997).
- Distributed versus Centralized Storage and Control for
Parallel
Branch and Bound: Mixed Integer Programming on the CM-5
- Computational
Optimization and Applications, 7(2):199-220
(1997).
- Parallel Computing
-
Encyclopedia of
Operations Research and Management Science, S. I.
Gass and
C. M. Harris, eds., Kluwer Academic, Boston, 483-485 (1996). Revised
for second edition (2001).
- Data-Parallel
Implementations of Dense Simplex Methods on the
Connection Machine CM-2
- with I. Boduroglu, L. Polymenakos, and
D.
Goldfarb.
ORSA Journal on Computing
7(4):402-416 (1995).
- Parallel Computing in Network Optimization
- with D. P.
Bertsekas
(lead author), D. Castanon,
and S. A.
Zenios. Network Models, M. O. Ball, T.
L. Magnanti,
C. L. Monma, and G. L. Nemhauser, eds., Handbooks
in Operations
Research and Management Science 7, Elsevier
Scientific,
Amsterdam, 331-399 (1995).
- Control Strategies for Parallel Mixed Integer Branch and
Bound
- Proceedings of
Supercomputing'94, IEEE Computer Society
Press, Los Alamitos, CA, 41-48 (1994).
- Parallel Branch-and-Bound Methods for Mixed-Integer
Programming
on the CM-5
- SIAM
Journal on Optimization 4(4):794-814
(1994). This article includes and supersedes Thinking Machines
technical report TMC-257, which persists in many out-of-date reference
lists.
- Some Reformulations and Applications of the Alternating
Direction
Method of Multipliers
- with M.
Fukushima. In Large Scale
Optimization: State of the Art, W. W. Hager, D. W. Hearn,
P. M. Pardalos, eds., Kluwer Academic, Dordrecht, 115-134 (1994).
- Parallel Branch-and-Bound Methods for Mixed Integer
Programming
- SIAM
News 27(1):1,12-15 (1994). Available in revised
form as Chapter 13 of the
collection
Applications on Advanced Architecture Computers,
Greg Astfalk,
editor, SIAM Books, 1996.
- Some Saddle-Function Splitting Methods for Convex
Programming
-
Optimization Methods and Software 4:75-83 (1994).
- Alternating Direction Multiplier Decomposition of Convex
Programs
- Journal
of Optimization Theory and Applications
80(1):39-62 (1994).
- Stochastic Dedication: Designing Fixed-Income Portfolios
using
Massively Parallel Benders Decomposition
- with R. S. Hiller (lead author).
Management
Science
39(11):1422-1438 (1993).
- The
Alternating Step Method for Monotropic Programming on the
Connection Machine 2
-
ORSA Journal on Computing
5(1):84-96 (1993).
- Nonlinear Proximal Point Algorithms using Bregman
Functions, with
Applications to Convex Programming
-
Mathematics of Operations
Research 18(1):202-226 (1993).
- Large-Scale Parallel Computing, Optimization, and
Operations
Research: A Survey
- ORSA
Computer Science Technical Section Newsletter
14(2), 1, 8-12, 25-28 (1993).
- On the Douglas-Rachford Splitting Method and the Proximal
Point
Algorithm for Maximal Monotone Operators
- with D. P.
Bertsekas.
Mathematical Programming 55(3):293-318 (1992).
- Dual Coordinate Step Methods for Linear Network Flow
Problems
- with D. P.
Bertsekas.
Mathematical Programming
42(2):203-243
(1988).
- Distributed Asynchronous Relaxation Methods for Linear
Network
Flow Problems
- with D. P.
Bertsekas.
Proceedings of the International Federation of
Automatic
Control (IFAC), Munich (1987).
- Optimization of Group Line-Haul Operations for Motor
Carriers
Using Twin Trailers
- with Y. Sheffi. Transportation Research
Record 1120:12-23 (1987).
Doctoral Dissertation
By popular demand, you can now download copies of my doctoral
dissertation.
- Scanned
version (about 16 MB)
- I hoped at one point to produce a more compact version
from the
orginal Macintosh Microsoft Word files, but it
appears that is too difficult due to the nonstandard fonts and the
difficulty of translating the formatting.
Miscellaneous
Lasso datasets (MATLAB format)
I am the parent of an autistic
child (Ben).
If you would like to join the fight against autism, I suggest
supporting
Autism Speaks or an
intensive
ABA/DTT/Verbal
Behavior
provider or consultant.
I play the tenor saxophone -- mostly
jazz and Brazilian music.
I also play some jazz-like guitar in a
much more
amateurish way.
Slice of Life,
composed and directed by my son Caleb
Here are my musical
toys
(instruments)...
Musical
performances and sheet music dedicated to the memory of
Paul Tseng.
The
blog that ate
New Jersey
The "vi" text editor is for troglodytes. I strongly preferred
the
GNU
EMACS text editor. But eventually I was won over by
Sublime Text. It's not free,
but one license serves forever on any combination of platforms.
Back when mastodons roamed New Jersey, memory really was
"core", and it
was measured in K, I was a member of the R.E.S.I.S.T.O.R.S.
computer club, and even president during some of its waning days.
My favorite movie is
Black Orpheus. I know it is not a very
accurate picture of Brazil, but it is incredible cinema with wonderful
music.
I am a fan of silly/surreal British humor, especially
Monty Python (I love "The
Argument Clinic") and
The Goon Show.
Pointers to some of my
favorite music.
Friends and relatives on the web:
My friend
David Erle.
My friend Tom
Levenson.
My friend
Brian Pentland.
My friend
Jeff Ritter.
My friend
Jordan Sand.
My friend Bob
Vanderbei.
"Homestar
runner" -- accept no substitutes! (Caution: requires "flash"
and contains (sort of)
adult language)