CV
 
Education
Academic Appointments
Research & Papers
Awards
Professional Activites
Industrial Experience
Thesis Supervision
Publications




Education

Massachusetts Institute of Technology
Ph.D. in Operations Research and Applied Mathematics, 1988
Thesis: Probabilistic Combinatorial Optimization Problems

Massachusetts Institute of Technology
M.S. in Operations Research, 1987
Thesis: An Analytic Approach to the G/G/s Queue

National Technical University of Athens (N.T.U.A.), Greece
Diploma in Electrical Engineering, 1985


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Academic Appointments

Co director,
Operations Research Center, MIT, 2006-present

Miller Visiting Professor,
University of California, Berkeley, 2002

Boeing Professor of Operations Research,
Sloan School of Management, MIT, 1997-present

Visiting Professor,
Stanford University, 1996

Professor of Operations Research,
Sloan School of Management, MIT, 1995-1997

E. Pennell Brooks Professor of Operations Research,
Sloan School of Management, MIT, 1993-1994

Associate Professor of Operations Research,
Sloan School of Management, MIT, 1992-1993

Assistant Professor of Management Science,
Sloan School of Management, MIT, 1988-1992


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Research & papers

Principal Research Interests
Operations Research: Continuous, Discrete, Robust, Stochastic Optimization, Applied Probability and Stochastic Processes, Applications of OR, Data Mining

Finance: Dynamic Portfolio Theory, Asset Allocation, Risk Management, Nonparametric Estimation, Optimal execution, Derivative Pricing.

Health Care: Prediction of health care risk, quality in health care, drug surveilance, multidrug therapies in cancer.

For futher details please refer to the research and papers sections of the website.


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Awards
  • G. Farkas Prize awarded bi-annually for the most significant contribution to the field of optimization by a researcher, or a team of researchers, 2008
  • INFORMS fellow, 2007
  • Member of the National Academy of Engineering, 2005
  • OR Gold medal for Greek Scientists, Greek OR society, 2004
  • Miller fellowship, University of California, Berkeley, 2002
  • Samuel M. Seegal Prize awarded annually to an MIT faculty who excels in inspiring students to pursue and achieve excellence, 1999
  • Bodossaki prize awarded every two years to most distinguished Greek scientist under 40, 1998
  • Finalist in Edelman competition of INFORMS for best implemented work, 1998
  • Erlang prize awarded every three years to the outstanding applied probabilist below 35, 1996
  • SIAM Optimization Prize awarded every three years for best paper in optimization, 1996
  • Presidential Young Investigator award sponsored by the National Science Foundation, 1991-1996
  • First prize in the George E. Nicholson student paper competition sponsored by the Operations Research Society of America (ORSA), 1989
  • First prize in the dissertation competition sponsored by the Transportation Science section of ORSA, 1989
  • Applied Mathematics Fellowship from MIT, 1985-1987
  • Karidogiannis Prize (awarded to the best student in the department of Electrical Engineering at N.T.U.A., 1983-1985
  • Third Prize in the national competition in Mathematics for high school students, Greece, 1981
  • Second Prize in the national competition in Mathematics for high school students, Greece, 1980
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Professional Activites
  • Member of the board for mathematical sciences of the National Research Council, 2001-2004.
  • Member of the board for the Institute of Mathematics and its Applications (IMA), 2001-2004.
  • Member of the committee to select the EURO Gold award, 2005.
  • Chairman of the Lanchester prize committee of INFORMS,2000-2001.
  • External reviewer for the Risk Lab, ETH, Switzerland, 2003, and for the Department of IE/MS, Northwestern University, 2004.
  • Chairman of the Edgerton prize committee of MIT,2006-2007.
  • Member of
    1. Institute for Operations Research and Management Sciences (INFORMS),
    2. American Mathematical Society (AMS),
    3. Society of Industrial and Applied Mathematics (SIAM),
    4. Mathematical Programming Society,
    5. The Econometrics Society,
    6. American Finance Society,
    7. Institute of Mathematical Statistics.
Journal Service
  • Department Editor for Optimization, Management Science.
  • Former Area Editor for Financial Engineering, Operations Research.
  • Former Associate Editor for Operations Research, Mathematics of Operations Research, Networks and Queueing Systems.
  • Referee for several journals .
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Industrial Experience
  • Asset Management, Riversource Investments, 2002-present, head of the quantitative division of Riversource Investments; managing over nince billion dollars of assets in US large, medium and small capitalization companies, international developed markets, asset allocation strategies and hedge funds.
  • Consulting senior portfolio manager, American Express, Managing over $1.5 billion in assets, 2002-present.
  • Founder of Dynamic Ideas, LLC, 1998-2002. Company's assets were sold to Ameriprise Financial in 2002. The company produced optimization software for asset management companies.
  • Founder of Dynamic Ideas press, a publishing company, 2004-present.
  • Consultant for over twenty leading asset management and e-commerce companies, 1991-2002.
  • Member of the board of the company D2Hawkeye, a medical data mining company.
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Thesis Supervision
Completed PhD Theses
  1. Michel Goemans, Probabilistic and worst case analysis of LP relaxations for a class of connectivity problems, 1990 (Tucker prize of Mathematical Programming Society, 1991, 2nd prize in Nicholson competition of INFORMS, 1991).
  2. Daisuke Nakazato, Transient distributional results in queues with applications to queueing networks, 1990.
  3. Garrett van Ryzin, Dynamic vehicle routing problems, 1991 (2nd prize in Transportation dissertation competition of INFORMS, 1992, honorable mention in Nicholson competition of INFORMS, 1991).
  4. Peter Vranas, Ground holding strategies for a network of airports in air traffic control, 1992 (2nd prize in Transportation dissertation competition, 1992).
  5. Michael Peterson, Transient congestion phenomena in air transportation, 1992.
  6. Carolyn Haibt-Norton, Topics in discrete optimization, 1993.
  7. Haiping Xu, Optimal policies for stochastic and dynamic vehicle routing problems, 1994.
  8. Zhihang Chi, Dynamic and network effects in airline yield management, 1994.
  9. Gina Mourtzinou, An axiomatic approach to queueing systems, 1995 (2nd prize in Nicholson competition of INFORMS, 1996).
  10. Jose Nino-Mora, Optimal resource allocation in a dynamic and stochastic environment: a mathematical programming approach, 1995.
  11. Michael Ricard, Optimization of queueing networks: a linear control approach, 1995.
  12. Joe Milner, A market approach to airtraffic control, 1995.
  13. Andrew Luo, Continuous linear programming: Theory, algorithms and applications, 1995.
  14. Chung Piaw Teo, Constructing approximation algorithms via linear programming relaxations: primal dual and randomized rounding techniques, 1996 (honorable mention in Nicholson competition of INFORMS, 1996).
  15. John Paschalidis, Large deviations in high speed communication networks, 1996 (2nd prize in Nicholson competition of INFORMS, 1997).
  16. Sarah Stock, Stochastic and dynamic models for airtraffic flow management, 1997 (1st prize in Transportation Dissertation of INFORMS, 1997, 2nd prize in Dantzig award, 1997).
  17. David Gamarnik, Stability and performance of multiclass queueing networks, 1997.
  18. Thalia Chryssikou, Multiperiod portfolio optimization in the presence of transaction costs, 1998.
  19. Ioana Popescu, Applications of optimization in probability, finance and revenue management, 1999, (honorable mention in Nicholson competition of INFORMS, 1999).
  20. Jay Sethuraman, A stochastic control approach for multiclass queueing networks, 1999 (honorable mention in Nicholson competition of INFORMS, 2000).
  21. Leon Hsu, The bottleneck phenomenon in transportation systems, 1999.
  22. Ramazan Demir, Approximate dynamic programming for integer programming problems, 2000.
  23. Dessi Pachamanova, A robust optimization approach to finance, 2002.
  24. Sanne de Boer, Pricing and revenue management in a netwrok environment, 2003 (2nd prize in Nicholson competition of INFORMS, 2003).
  25. Adam Mersereau, Adaptive and dynamic models in marketing, 2003.
  26. Romy Shioda, An Integer programming approach to data mining, 2003.
  27. Natasha Bushueva, Finance without price dynamics, 2003.
  28. Jeff Hawkins, A Lagrangean decomposition method for dynamic optimization and its applications, 2003.
  29. Karthik Natarajan, Probabilistic Combinatorial Optimization: Moments, Semidefinite Programming and Asymptotic Bounds, (Honorable mention in Nicholson competition of INFORMS, 2003), Singapore-MIT-Alliance, 2004.
  30. Melvyn Sim, Robust optimization, 2004 (2nd prize in Nicholson competition of INFORMS, 2002 and 2nd prize in Nicholson competition of INFORMS, 2004), 2004.
  31. Aurelie Thiele, A robust optimization approach to supply chains and revenue management, (1st prize in Nicholson competition of INFORMS, 2003), 2004.
  32. Michele Aghassi, Robust optimization, game theory and variational inequalities, 2005.
  33. David Brown, Risk and robust optimization, 2006 (2nd prize in Nicholson competition of INFORMS, 2005).
  34. Constantine Caramanis, Adaptive optimization, 2006.
  35. Kwong Meng Teo, Nonconvex robust Optimization, 2007.
  36. David Czerwinski, Assessing quality of health care, 2008.
  37. Premal Shah, Analysis of employee stock options and guaranteed withdrawal benefits for life ,2008.
  38. Margret Bjarnadottir, A data driven approach to health care: applications using claims data, 2008.
  39. Dimitry Katz-Rogozhnikov, Algorithmic issues in queueing systems and combinatorial counting problems, 2008.
  40. Apostolos Fertis, A robust optimization appraoch to stastical estimation problems, 2009.
  41. Xuan Vinh Doan, Optimization under moment, robust, and data-driven models of uncertainty, 2009.
  42. Dan Iancu, Multi-stage adjustable robust optimization, with applications in inventory and revenue management, 2010 (first prize in student paper competition in Optimization Section of INFORMS, 2009).
  43. Adrian Becker, Decomposition methods for large scale stochastic and robust optimization problems, 2011.
  44. Xu Sun, Advances in electric power systems: robustness, adaptability, and fairness, 2011 (2nd prize in George B. Dantzig Dissertation Award, 2011).
  45. Alex Rikun, Applications of robust optimization to queueing and inventory systems, 2011.
  46. Nikolaos Trichakis, Fairness in operations: from theory to practice, 2011.
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Current PhD Theses
  1. Chaithanya Bandi
  2. Allison Chang
  3. Iain Dunning
  4. Michael Frankovich
  5. Shubham Gupta
  6. Vishal Gupta
  7. Nathan Kallus
  8. Allison O'Hair
  9. Stephen Relyea
  10. John Silberholz
  11. Joel Tay
  12. Nataly Youssef
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Masters Theses

  1. Phillip Chervi, A computational approach to probabilistic routing problems, 1989.
  2. Meng-Huai Chen, Optimal cash allocation in bank branches, 1991.
  3. Michael Ricard, Algorithms for the 0-1 integer programming problem, 1991.
  4. John Paschalidis, Bounds for multiclass queueing networks, 1992.
  5. Angela Chiu, Stochastic inventory and distribution problems, 1993.
  6. Elaine Chew, Multiperiod portfolio optimization: Feynmann diagrams and approximat dynamic programming, 1998.
  7. Ed Wike, Supply chain management: an approximate dynamic programming approach, 1998.
  8. Constantine Tsiligakis, Portfolio construction through mixed integer programming, 1999.
  9. Mark Coumeri, Pricing in a competitive environment: a learning approach, 2000.
  10. Zhang Yi, A discrete optimization approach to classification (MIT-Singapore alliance), 2001.
  11. Constantine Caramanis, Bounds on linear partial differentail equations via semidefinite optimization, 2001.
  12. Romy Shioda, Restaurant Revenue Management, June 2002.
  13. Cheong Foong Soon, Hedging Strategy and Effect of Transaction Costs for American Options in an Incomplete Market, Singapore-MIT-Alliance, 2002.
  14. Premal Shah, Optimal bounds for American options, 2006.
  15. Su Hua, A robust optimization approach to optimization of queueing networks, 2006.
  16. Yun Lu, A robust optimization approach to network equilibrium, 2007.
  17. Clay Noyes, Optimizing the operations of the emergency department at the Beth Israel Hospital via simulation, 2008.
  18. Si Chen, Robust Option Pricing - An Epsilon Arbitrage Approach, 2009.
  19. Kimberly Shenk, Patterns of Heart Attacks, 2010.
  20. Jingting Zhou, Computational Experiments for Local Search Algorithms for Binary and Mixed Integer Optimization, 2010.
  21. Van Vinh Nguyen, Fairness and Optimality in Trading, 2010.
  22. Thai Dung Nguyen, Application of Robust and Inverse Optimization in Transportation, 2010.
  23. Liwei He, Polynomial Policies in Supply Chain Networks, 2010.
  24. Nicholas Howard, Finding Optimal Strategies for Influencing Social Networks in Two Player Games, 2011

Current MS Theses

  1. Emily Frost
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Publications

Please refer to the books and Papers section of the website.

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