Bio


David G. Luenberger received the B.S. degree from the California Institute of Technology and the M.S. and Ph.D. degrees from Stanford University, all in Electrical Engineering. Since 1963 he has been on the faculty of Stanford University. He helped found the Department of Engineering-Economic Systems, now merged to become the Department of Management Science and Engineering, where his is currently a professor.

He served as Technical Assistant to the President's Science Advisor in 1971-72, was Guest Professor at the Technical University of Denmark (1986), Visiting Professor of the Massachusetts Institute of Technology (1976), and served as Department Chairman at Stanford (1980-1991).

His awards include: Member of the National Academy of Engineering (2008), the Bode Lecture Prize of the Control Systems Society (1990), the Oldenburger Medal of the American Society of Mechanical Engineers (1995), and the Expository Writing Award of the Institute of Operations Research and Management Science (1999) He is a Fellow of the Institute of Electrical and Electronic Engineers (since 1975).

Interests:
His overall interest is the application of mathematics to issues in control, planning, and decision making. He has worked in the technical fields of control theory, optimization theory and algorithms, and investment theory for portfolios and project evaluation. He has published six major textbooks: Optimization by Vector Space Methods, Linear and Nonlinear Programming (jointly with Yinyu Ye), Introduction to Dynamic Systems, Microeconomic theory, Investment Science, and Information Science. He has published over eighty journal papers.

Academic Appointments


Honors & Awards


  • Vol. 105, No. 3, June 2000, Special issue of the Journal of Optimization Theory and Applications (2000)
  • Expository Writing Award, Institute for Operations Research and the Management Sciences (1999)
  • Oldenburger Medal, ASME (1998)
  • Bode Prize, IEEE Control Systems Society (1990)
  • Outstanding Paper Award, IEEE Control Systems Society (1986)
  • First Place, ASEE PSW Young Engineeering Teachers Contest (1971)
  • Best Paper Award, JACC (1970)
  • Fellow, IEEE (1975)

Boards, Advisory Committees, Professional Organizations


  • Member, National Academy of Engineering (2013 - Present)

Professional Education


  • BS, California Institute of Technology, Electrical Engineering (1959)
  • PhD, Stanford University, Electrical Engineering (1963)
  • MS, Stanford University, Electrical Engineering (1961)

2013-14 Courses


All Publications


  • Pricing dynamic binary variables and their derivatives QUANTITATIVE FINANCE Luenberger, D. G. 2012; 12 (3): 451-464
  • Analysis of the rebalancing frequency in log-optimal portfolio selection QUANTITATIVE FINANCE Kuhn, D., Luenberger, D. G. 2010; 10 (2): 221-234
  • Pricing a nontradeable asset and its derivatives JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 2004; 121 (3): 465-487
  • Algorithms for worst-case design and applications to risk management JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 2004; 28 (8): 1703-1706
  • Arbitrage and universal pricing JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 2002; 26 (9-10): 1613-1628
  • A correlation pricing formula JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 2002; 26 (7-8): 1113-1126
  • Projection pricing JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 2001; 109 (1): 1-25
  • Products of random mappings ERGODIC THEORY AND DYNAMICAL SYSTEMS Luenberger, D. G. 2000; 20: 517-529
  • Products of trees for investment analysis JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 1998; 22 (8-9): 1403-1417
  • Welfare from a benefit viewpoint ECONOMIC THEORY Luenberger, D. G. 1996; 7 (3): 445-462
  • EXTERNALITIES AND BENEFITS JOURNAL OF MATHEMATICAL ECONOMICS Luenberger, D. G. 1995; 24 (2): 159-177
  • A BENEFIT APPROACH TO MICROECONOMICS Luenberger, D. G. ELSEVIER SCIENCE BV. 1994: 224-224
  • OPTIMALITY AND THE THEORY OF VALUE JOURNAL OF ECONOMIC THEORY Luenberger, D. G. 1994; 63 (2): 147-169
  • STRONGLY SYMMETRICAL SUBGAME PERFECT EQUILIBRIA IN INFINITELY REPEATED GAMES WITH PERFECT MONITORING AND DISCOUNTING GAMES AND ECONOMIC BEHAVIOR Cronshaw, M. B., Luenberger, D. G. 1994; 6 (2): 220-237
  • DUAL PARETO-EFFICIENCY JOURNAL OF ECONOMIC THEORY Luenberger, D. G. 1994; 62 (1): 70-85
  • A PREFERENCE FOUNDATION FOR LOG MEAN-VARIANCE CRITERIA IN PORTFOLIO CHOICE PROBLEMS JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 1993; 17 (5-6): 887-906
  • NEW OPTIMALITY PRINCIPLES FOR ECONOMIC-EFFICIENCY AND EQUILIBRIUM JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 1992; 75 (2): 221-264
  • A DOUBLE LOOK AT DUALITY IEEE TRANSACTIONS ON AUTOMATIC CONTROL Luenberger, D. G. 1992; 37 (10): 1474-1482
  • BENEFIT FUNCTIONS AND DUALITY JOURNAL OF MATHEMATICAL ECONOMICS Luenberger, D. G. 1992; 21 (5): 461-481
  • BOUNDARY RECURSION FOR DESCRIPTOR VARIABLE SYSTEMS IEEE TRANSACTIONS ON AUTOMATIC CONTROL Luenberger, D. G. 1989; 34 (3): 287-292
  • DYNAMIC EQUILIBRIA FOR LINEAR-SYSTEMS AND QUADRATIC COSTS AUTOMATICA Luenberger, D. G. 1987; 23 (1): 117-121
  • CONTROL OF LINEAR DYNAMIC MARKET SYSTEMS JOURNAL OF ECONOMIC DYNAMICS & CONTROL Luenberger, D. G. 1986; 10 (3): 339-351
  • GENERIC CONTROLLABILITY THEOREMS FOR DESCRIPTOR SYSTEMS IEEE TRANSACTIONS ON AUTOMATIC CONTROL Yamada, T., Luenberger, D. G. 1985; 30 (2): 144-152
  • GENERIC PROPERTIES OF COLUMN-STRUCTURED MATRICES LINEAR ALGEBRA AND ITS APPLICATIONS Yamada, T., Luenberger, D. G. 1985; 65 (FEB): 189-206
  • ALGORITHMS TO VERIFY GENERIC CAUSALITY AND CONTROLLABILITY OF DESCRIPTOR SYSTEMS IEEE TRANSACTIONS ON AUTOMATIC CONTROL Yamada, T., Luenberger, D. G. 1985; 30 (9): 874-880
  • OPTIMAL-CONTROL THEORY - APPLICATIONS TO MANAGEMENT SCIENCE - SETHI,SP, THOMPSON,GL INTERFACES Luenberger, D. G. 1982; 12 (3): 94-95
  • ESTIMATION OF STRUCTURED COVARIANCE MATRICES PROCEEDINGS OF THE IEEE Burg, J. P., Luenberger, D. G., WENGER, D. L. 1982; 70 (9): 963-974
  • CITATION CLASSIC - OBSERVERS FOR MULTIVARIABLE SYSTEMS CURRENT CONTENTS/ENGINEERING TECHNOLOGY & APPLIED SCIENCES Luenberger, D. G. 1981: 18-18
  • ANALYSIS OF THE ASYMPTOTIC-BEHAVIOR OF OPTIMAL-CONTROL TRAJECTORIES - THE IMPLICIT PROGRAMMING PROBLEM SIAM JOURNAL ON CONTROL AND OPTIMIZATION Feinstein, C. D., Luenberger, D. G. 1981; 19 (5): 561-585
  • COMPLETE STABILITY OF NONCOOPERATIVE GAMES JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 1978; 25 (4): 485-505
  • TIME-INVARIANT DESCRIPTOR SYSTEMS AUTOMATICA Luenberger, D. G. 1978; 14 (5): 473-480
  • NEIGHBORHOOD EFFECTS AND MAINTENANCE OF URBAN HOUSING STOCK JOURNAL OF MATHEMATICAL SOCIOLOGY Philippi, B., Luenberger, D. G. 1977; 5 (2): 151-172
  • DYNAMIC EQUATIONS IN DESCRIPTOR FORM IEEE TRANSACTIONS ON AUTOMATIC CONTROL Luenberger, D. G. 1977; 22 (3): 312-322
  • SINGULAR DYNAMIC LEONTIEF SYSTEMS ECONOMETRICA Luenberger, D. G., Arbel, A. 1977; 45 (4): 991-995
  • EFFICIENTLY CONVERGING MINIMIZATION METHODS BASED ON REDUCED GRADIENT SIAM JOURNAL ON CONTROL Gabay, D., Luenberger, D. G. 1976; 14 (1): 42-61
  • NONLINEAR ECONOMIC CONTROL PROBLEM WITH A LINEAR FEEDBACK SOLUTION IEEE TRANSACTIONS ON AUTOMATIC CONTROL Luenberger, D. G. 1975; AC20 (2): 184-191
  • REDUCED SYSTEM METHOD FOR CONTROL PROBLEMS WITH KINKS INTERNATIONAL JOURNAL OF CONTROL GHANEM, M. Z., LUENBERG, D. G. 1974; 19 (2): 243-256
  • SELF-SCALING VARIABLE METRIC (SSVM) ALGORITHMS .1. CRITERIA AND SUFFICIENT CONDITIONS FOR SCALING A CLASS OF ALGORITHMS MANAGEMENT SCIENCE SERIES A-THEORY Oren, S. S., LUENBERG, D. G. 1974; 20 (5): 845-862
  • A Combined Penalty Function and Gradient Projection Method for Nonlinear Programming JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 1974; 14 (5): 477-495
  • MATHEMATICAL THEORY OF INSTRUCTION - INSTRUCTOR-LEARNER INTERACTION AND INSTRUCTION PACING JOURNAL OF MATHEMATICAL PSYCHOLOGY CHANT, V. G., LUENBERG, D. G. 1974; 11 (2): 132-158
  • An Approach to Nonlinear Programming JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS Luenberger, D. G. 1973; 11 (3): 219-227
  • GRADIENT PROJECTION METHOD ALONG GEODESICS MANAGEMENT SCIENCE SERIES A-THEORY LUENBERG, D. G. 1972; 18 (11): 620-631