Rob Womersley Associate Professor School of Mathematics and Statistics University of New South Wales

Brief History Research interests Teaching Administration Other Activities Publications

BSc (Hons) from the University of Adelaide (1976); MSc and PhD from University of Dundee, Scotland (1977, 1981); Visiting Assistant Professor, University of Kentucky, Lexington (1979-1980); Lecturer, University of New South Wales (1981-1983); Research Fellow, Australian National University (1983-1985), Lecturer, Senior Lecturer, Associate Professor, University of New South Wales (1985-present). 

Development, analysis, implementation and application of computational methods in

• Optimization
• Computational Mathematics
• Mathematical Finance
• High Performance Computing

• Interpolation and cubature over the sphere with Ian Sloan.
• Minimum energy point distributions on the torus
• Distributing points on the sphere (School of Mathematics homepage article about images on web site).
• Mathematics and Statistics in all spheres of life poster.
• Mathematics and Statistics at UNSW poster.

• B. Goldys and R. S. Womersley, Market Model of Implied Volatility (ARC Discovery Project 2005 - 2007)
• R. S. Womersley, Approximation, Cubature and Point Designs on the Sphere (ARC Discovery Project 2004-2006).

• MATH1151 Mathematics for Actuarial Studies and Finance 1A
• MATH2089 Numerical Methods and Statistics (Numerical Methods)
• MATH3311 Mathematical Computing for Finance (Session 2, 2006)
• MATH5335 Computational Methods for Finance (Session 2, 2006)
• BINF3001: Local and Global Optimization: Formulation, Methods and Applications lgopt.pdf

• Information about the School and University
  • Mathematics and Statstics - CC Day 08
  • Mathematics, Science, University and Beyond

Regional and national HPC centres:

• ac3 - Australian Centre for Advanced Computing and Communication based at the Australian Technology Park (ATP), Redfern, Sydney.
• APAC - Australian Partnership for Advanced Computing.

• F. Y. Kuo, W. T. M. Dunsmuir, I. H. Sloan M. P. Wand and R. S. Womersley, Quasi-Monte Carlo for highly structured generalized response models, Methodology and Computing in Applied Probability (2008) 10 239--275.
• E. Polak, R. S. Womersley and H. X. Yin, An algorithm based on active sets and smoothing for discretised semi-infinite minimax problems, Journal of Optimization Theory and Applications (2008).
• X. Chen and R. S. Womersley, Existence of solutions to systems of under-determined equations and spherical designs, SIAM Journal on Numerical Analysis 44, 6 (2006) 2326-2341.
• V. Jeyakumar, J Ormerod and R. S. Womersley, Knowledge-based semidefinite linear programming classifiers, Optimization Methods and Software 21,5 (2006) 693-706.
• Ian H. Sloan and Robert S. Womersley, Extremal Systems of Points and Numerical Integration on the Sphere, Advances in Computational Mathematics 21 (2004) 107-11125. PDF version extremal.pdf (331 Kb), GZipped postscript version extremal.ps.gz (351 Kb),
• E. Polak, J. O. Royset and R. S. Womersley, Algorithms with Adaptive Smoothing for Finite Min-max Problems, Journal of Optimization Theory and its Applications 119 (2003) 459-484.
• Defeng Sun, Robert S. Womersley and Houduo Qi, A feasible semi-smooth asymptotically Newton method for mixed complementarity problems, Mathematical Programming 94 (2002) 167-187. Available online through Springer link
• Ian H. Sloan and Robert S. Womersley, Good approximations on the sphere with applications to geodesy and the scattering of sound, Journal of Computational and Applied Mathematics 149 (2002) 227-237.
• Robert S. Womersley and Ian H. Sloan, How Good can Polynomial Interpolation on the Sphere be?, Advances in Computational Mathematics 14 (2001) 195-226. Postscript version hgood.ps (761 Kb), Gzipped postscript hgood.ps.gz (270 Kb), PDF: hgood.pdf (484 Kb),
• Karen K. Lau and Robert S. Womersley, Multistage Quadratic Stochastic Programming, Journal of Computational and Applied Mathematics, 129 (2001) 105-138.
• Robert S. Womersley, A continuous minimax problem for calculating minimum norm polynomial interpolation points on the sphere, ANZIAM Journal 42 (E), (2000) C1536--C1557.
• Ian H. Sloan and Robert S. Womersley, Constructive Approximation on the Sphere, Journal of Approximation Theory, 103, 1 (2000) 91-118.
• Xiaojun Chen and Robert S. Womersley, Random test problems and parallel algorithms for quadratic programs and quadratic stochastic programs, Optimization Methods and Software 13 (2000) 275-3006.
• Ian H. Sloan and Robert S. Womersley, The search for good polynomial interpolation points on the sphere, in: D. F. Griffiths and G. A. Watson eds., Numerical Analysis 1999 CRC Press LLC (2000) 211-230.
• Ian H. Sloan and Robert S. Womersley, The Uniform Error of Hyperinterpolation on the Sphere, in: K. Jetter, W. Haussmann and M. Reimer eds. Advances in Multivariate Approximation, (1999) 289-306. Postscript version hyperr.ps (456Kb), Gzipped postscript version hyperr.ps.gz (200Kb)
• Defeng Sun and Robert S. Womersley, ''A New Unconstrained Differentiable Merit Function for Box Constrained Variational Inequality Problems and a Damped Gauss-Newton Method'', SIAM Journal on Optimization 9 (1999) 388-413.
• R. S. Womersley and K. Lau, ``Portfolio Optimization Problems'', in A. Easton and R. L. May eds., Computational Techniques and Applications CTAC95 (World Scientific, 1996) 795-802. Postscript version popt.ps (256Kb)
• D. Z. Du, L. Qi and R. S. Womersley eds., Recent Advances in Nonsmooth Optimization, (World Scientific, 1995).
• M. L. Overton and R. S. Womersley, ``Second derivatives for optimizing eigenvalues of symmetric matrices'', SIAM Journal on Matrix Analysis and Applications 16, 3 (1995) 697-718.
• L. Qi and R. S. Womersley, ``An SQP algorithm for linear--quadratic problems in stochastic programming'', Annals of Operations Research 56 (1995) 251-285.
• X. Chen, L. Qi and R. S. Womersley, ``Newton's method for quadratic stochastic programs with recourse'', Journal of Computational and Applied Mathematics 60 (1995) 29-46.
• M. L. Overton and R. S. Womersley, ``Optimality conditions and duality theory for minimizing sums of the largest eigenvalues of symmetric matrices,'' Mathematical Programming 62 (1993, 321-357).