Solutions to the combined sensitivity and complementary sensitivity problem in control systems. - Andrew E. B. Lim; Wei-Yong Yan; Kok Lay Teo (IEEE Trans. Autom. Control., 1996)

On LQG Control of Linear Stochastic Systems with Control Dependent Noise. - John B. Moore; Xun Yu Zhou; Andrew E. B. Lim (Control of Distributed Parameter and Stochastic Systems, 1998)

Stochastic optimal LQR control with integral quadratic constraints and indefinite control weights. - Andrew E. B. Lim; Xun Yu Zhou (IEEE Trans. Autom. Control., 1999)

Optimal control with HARA utility functions. - Andrew E. B. Lim; Xun Yu Zhou (CDC, 2000)

Optimal control of backward stochastic differential equations: The linear-quadratic case. - Andrew E. B. Lim; Xun Yu Zhou (CDC, 2000)

Mean-variance portfolio selection via LQ optimal control. - Andrew E. B. Lim; Xun Yu Zhou (CDC, 2001)

A new approach to pricing American-style derivatives. - Scott B. Laprise; Michael C. Fu 001; Steven I. Marcus; Andrew E. B. Lim (WSC, 2001)

Sensor scheduling in continuous time. - H. W. Joseph Lee; Kok Lay Teo; Andrew E. B. Lim (Autom., 2001)

Linear-Quadratic Control of Backward Stochastic Differential Equations. - Andrew E. B. Lim; Xun Yu Zhou (SIAM J. Control. Optim., 2001)

Risk-sensitive control with HARA utility. - Andrew E. B. Lim; Xun Yu Zhou (IEEE Trans. Autom. Control., 2001)

Mean-Variance Portfolio Selection with Random Parameters in a Complete Market. - Andrew E. B. Lim; Xun Yu Zhou (Math. Oper. Res., 2002)

Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints. - Xun Li 002; Xun Yu Zhou; Andrew E. B. Lim (SIAM J. Control. Optim., 2002)

A maximum principle for risk-sensitive control. - Andrew E. B. Lim; Xun Yu Zhou (CDC, 2003)

Multiple-objective risk-sensitive control and its small noise limit. - Andrew E. B. Lim; Xun Yu Zhou; John B. Moore (Autom., 2003)

Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market. - Andrew E. B. Lim (Math. Oper. Res., 2004)

Steering flexible needles under Markov motion uncertainty. - Ron Alterovitz; Andrew E. B. Lim; Kenneth Y. Goldberg; Gregory S. Chirikjian; Allison M. Okamura (IROS, 2005)

Mean-Variance Hedging When There Are Jumps. - Andrew E. B. Lim (SIAM J. Control. Optim., 2005)

A new risk-sensitive maximum principle. - Andrew E. B. Lim; Xun Yu Zhou (IEEE Trans. Autom. Control., 2005)

Pricing American-Style Derivatives with European Call Options. - Scott B. Laprise; Michael C. Fu 001; Steven I. Marcus; Andrew E. B. Lim; Huiju Zhang (Manag. Sci., 2006)

Relative Entropy, Exponential Utility, and Robust Dynamic Pricing. - Andrew E. B. Lim; J. George Shanthikumar (Oper. Res., 2007)

Decentralized control of a stochastic dynamic resource allocation problem. - Peng Li; Andrew E. B. Lim; J. George Shanthikumar (CDC, 2010)

Robust intensity control with multiple levels of model uncertainty and the dual risk-sensitive problem. - Andrew E. B. Lim; J. George Shanthikumar; Thaisiri Watewai (CDC, 2010)

On the optimality of threshold control in queues with model uncertainty. - A. Jain; Andrew E. B. Lim; J. George Shanthikumar (Queueing Syst. Theory Appl., 2010)

Decentralized control of a multi-agent stochastic dynamic resource allocation problem. - Huaning Cai; Andrew E. B. Lim (CDC/ECC, 2011)

Dynamic portfolio choice with market impact costs. - Andrew E. B. Lim; Poomyos Wimonkittiwat (CDC/ECC, 2011)

Conditional value-at-risk in portfolio optimization: Coherent but fragile. - Andrew E. B. Lim; J. George Shanthikumar; Gah-Yi Vahn (Oper. Res. Lett., 2011)

Dynamic portfolio choice with Bayesian regret. - Shea D. Chen; Andrew E. B. Lim (CDC, 2012)

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case. - Andrew E. B. Lim; J. George Shanthikumar; Gah-Yi Vahn (Manag. Sci., 2012)

Linear-quadratic control and information relaxations. - Martin Haugh; Andrew E. B. Lim (Oper. Res. Lett., 2012)

Decentralized Control of a Stochastic Multi-Agent Queueing System. - Peng Li; Andrew E. B. Lim; J. George Shanthikumar (IEEE Trans. Autom. Control., 2012)

Dynamic portfolio selection with market impact costs. - Andrew E. B. Lim; Poomyos Wimonkittiwat (Oper. Res. Lett., 2014)

Robust Multiarmed Bandit Problems. - Michael Jong Kim; Andrew E. B. Lim (Manag. Sci., 2016)

Machine Learning and Portfolio Optimization. - Gah-Yi Ban; Noureddine El Karoui; Andrew E. B. Lim (Manag. Sci., 2018)

Robust empirical optimization is almost the same as mean-variance optimization. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (Oper. Res. Lett., 2018)

Worst-case sensitivity. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (CoRR, 2020)

A Generalized Black-Litterman Model. - Shea D. Chen; Andrew E. B. Lim (Oper. Res., 2020)

A data-driven approach to beating SAA out-of-sample. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (CoRR, 2021)

Calibration of Distributionally Robust Empirical Optimization Models. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (Oper. Res., 2021)

Technical Note - A Data-Driven Approach to Beating SAA Out of Sample. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (Oper. Res., 2025)

Estimating policy effects in a social network with independent set sampling. - Eugene T. Y. Ang; Prasanta Bhattacharya; Andrew E. B. Lim (Soc. Networks, 2025)

Distributionally Robust Optimization is a Multi-Objective Problem. - Jun-ya Gotoh; Michael Jong Kim; Andrew E. B. Lim (CoRR, 2025)