Event Category: Operations Research Seminar Series
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Beating The Curse of Dimensionality in Options Pricing and Optimal Stopping
9/27/18 | 4:15pm | E51-335 Reception to follow. David Goldberg Associate Professor Cornell University Abstract: The fundamental problems of pricing high-dimensional path-dependent options and optimal stopping are central to applied probability, financial engineering, operations research, and stochastic control. Modern approaches, often relying on ADP, simulation, and/or duality, typically have limited rigorous…
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Should We Model X in High-Dimensional Inference?
9/20/18 | 4:15pm | E51-335 Reception to follow. Lucas Janson Assistant Professor Harvard University Abstract: For answering questions about the relationship between a response variable Y and a set of explanatory variables X, most statistical methods focus their assumptions on the conditional distribution of Y given X (or Y | X…
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Bi-Objective Simulation Optimization On Integer Lattices Using The Epsilon-Constraint Method in A Retrospective Approximation Framework
9/13/18 | 4:15pm | E51-335 Reception to follow. Susan Hunter Assistant Professor Purdue University Abstract: We propose the Retrospective Partitioned Epsilon-constraint with Relaxed Local Enumeration (R-PERLE) algorithm to solve the bi-objective simulation optimization problem on integer lattices. In this nonlinear optimization problem, both objectives can only be observed with stochastic error,…
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Delay Performance and Network Management in Data Centers
5/3/18 | 4:15pm | E51-345 Reception to follow. R. Srikant Fredric G. and Elizabeth H. Nearing Endowed Professor of Electrical and Computer Engineering University of Illinois at Urbana-Champaign Abstract: Data center networks interconnect massive server farms used to process big data for a variety of applications. In such networks, resource allocation…
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Recent progress on nonsmooth nonconvex optimization under statistical assumptions
4/26/18 | 4:15pm | E51-345 Reception to follow. Damek Davis Assistant Professor Cornell University Abstract: A recent thrust of work, occurring at the intersection of optimization and data science, seeks to answer the following question: which statistical assumptions on input data lead to tractable nonconvex optimization problems? Most existing work on…
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Prior-Independent Optimal Auctions
4/19/18 | 4:15pm | E51-345 Reception to follow. Omar Besbes Associate Professor Columbia University Abstract: Auctions are widely used in practice. While also extensively studied in the literature, most of the developments rely on significant informational assumptions for the seller. In this work, we study the design of optimal prior-independent selling…
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Fourier Metamodels for Exploring Dynamic Simulation Output
3/22/18 | 4:15pm | E51-345 Reception to follow. Russell Barton Senior Associate Dean , Professor of Supply Chain and Information Systems and Industrial Engineering Penn State Smeal College of Business Abstract: High-frequency coefficients in the Fourier transform of simulation trajectory data (such as queue length over time) can be used to…
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Design and Analysis of Scalable Algorithms via Statistical Tools
3/15/18 | 4:15pm | E51-345 Reception to follow. Murat Erdogdu Postdoctoral Researcher Microsoft Research Abstract: Statistics and optimization have been closely linked since the very outset. This connection has become more essential lately, mainly because of the recent advances in computational resources, the availability of large amount of data, and the…
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Combinatorial Optimization with a Probabilistic Objective
3/8/18 | 4:15pm | E51-345 Reception to follow. Alper Atamtürk Professor University of California, Berkeley Abstract: This talk has two related parts. Part one is on the maximization of a particular submodular utility function, whereas part two is on its minimization. These problems arise naturally in combinatorial optimization with risk aversion,…
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Learning from Oceania
3/1/18 | 4:15pm | E51-345 Reception to follow. Bill Lovejoy Raymond T. J. Perring Family Professor of Business Administration University of Michigan, Ross School of Business Abstract: This talk is motivated by work in some economically challenged urban neighborhoods, and whether one can design a self-generated and self-sustained social safety net.…