Dr. Chanaka Edirisinghe joined the faculty in 1991. His teaching and research interests include stochastic programming, linear and nonlinear optimization, health care management, and investment analysis in stochastic environments.

Dr. Chanaka Edirisinghe is Professor and Ph.D. Advisor of the Management Science program, and he has been with the program since 1991. He holds a BSc degree in Mechanical Engineering , M.Eng degree in Industrial Engineering and a PhD degree in Management Science from the University of British Columbia . His teaching interests include stochastic optimization, linear and nonlinear optimization, and production/operations management.

His research interests are in stochastic programming approximations, with applications to multi period financial planning, production/allocation problems, and health-care management . His research articles appear in journals such as Operations Research, Mathematics of Operations Research, Mathematical Programming, Annals of Operations Research, Journal of Financial and Quantitative Analysis, and Water Resources Research. He also serves as a journal referee for Management Science, Operations Research, Mathematical Programming, Annals of Operations Research, Discrete Applied Mathematics, Computational Optimization and Applications, and Stochastic Models.

Dr. Edirisinghe serves as a consultant to the Frank Russell Company, Tacoma, WA, for developing and implementing large stochastic programming models for financial asset allocation. He is also a consultant to Market Research Inc., Bahamas, on developing models for futures trading. He is a member of the Institute for Operations Research and the Management Sciences (INFORMS), and Mathematical Programming Society. Dr. Edirisinghe is a former Vice-Chair (stochastic programming) of the optimization section of INFORMS.

Selected Publications:

• Edirisinghe, C. "Portfolio Selection Under DEA-based Relative Financial Strength Indicators: Case of U.S. Industries," The Journal of the Operational Research Society, pp 1-15, 2007. Co-author: X. Zhang
• Edirisinghe, C. "Integrated Risk Control Using Stochastic Programming ALM models for Money Management,:  Book Chapter in: Handbook of Asset and Liability Management, Elsevier Science B.V. in the North Holland Handbooks in finance, Volume II (by: S.A. Zenios and W.T. Ziemba), 2007.
• Edirisinghe, C. "Multiperiod Stochastic Portfolio Optimization:  Block-Separable Decomposition," Annuals of Operations Research, 152, pp. 367-394, 2007.  Co-author: with E.I. Patterson
• Edirisinghe, C.  "Generalized DEA Model of Fundamental Anlysis and Its Application to Portfolio Optimization," Journal of Banking and Finance, 31, pp. 3311-3335, 2007. Co-author: X. Zhang
• Edirisinghe C. "Stochastic Programming Approximations Using Limited Moment Information, with Applications to Asset Allocation," book chapter in: Advances in Mathematical Programming: State-of-the-art in Stochastic Programming, (eds. Dantzig/Infanger), Springer-Verlag.
• Edirisinghe, C. "Bound-Based Approximations in Multiperiod Stochastic Programming: Nonanticipativity Aggregation," Annals of Operations Research, Vol 84, pp. 103-128, 1998.
• Edirisinghe, C. "Stochastic Programs with Recourse: Upper Bounds," Encyclopedia of Optimization, Kluwer Academic Publishers, 1998. Co-author: S.W. Wallace
• Edirisinghe, C. "Implementing Bounds-Based Approximations in Convex-Concave Two-Stage Stochastic Programming," Mathematical Programming, Vol 75, pp. 295-325, 1996. Co-author: W.T. Ziemba.
• Edirisinghe, C. "New Second-order Bounds on the Expectation of Saddle Functions, with Applications to Stochastic Linear Programming," Operations Research, Vol 44, No 6, pp. 909-922, 1996.
• Edirisinghe, C. "Second-Order Scenario Approximation and Refinement in Optimization Under Uncertainty," Annals of Operations Research, Vol 64, pp 143-178, 1996. Co-author: G-M. You.
• Edirisinghe, C. "Bounding the Expectation of a Saddle Function, With Application to Stochastic Programming,'' Mathematics of Operations Research, Vol 19, pp. 314-340, 1994. Co-author: W.T. Ziemba.
• Edirisinghe, C. "Bounds for Two-stage Stochastic Programs with Fixed Recourse," Mathematics of Operations Research, Vol 19,pp 292-313, 1994. Co-author: W.T. Ziemba.
• Edirisinghe, C. "Bounds on Stochastic Convex Allocation Problems,'' Applied Stochastic Models and Data Analysis, Vol 10, pp 123-140,1994. Co-authors: D. Atkins and P. Iyogun.
• Edirisinghe, C. "Optimal Replication of Options With Transactions Costs and Trading Restrictions,'' Journal of Financial and Quantitative Analysis, Vol 28, pp 117-138, 1993. Co-authors: V. Naik, and R. Uppal.
• Edirisinghe, C. "Tight Bounds for Stochastic Convex Programs,'' Operations Research, Vol 40, No 4, pp 660-677, 1992. Co-author: W.T. Ziemba.

• Edirisinghe, C. "A Modified Linear Programming Gradient Method for Optimal Design of Looped Water Distribution Networks," Water Resources Research, Vol. 23, No. 6, pp. 977-982, 1986. Co-authors: O. Fujiwara and B. Jenchaimahakoon.

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