Wenyu Chen
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Operations Research Center, |
About me
I am a fifth-year PhD candidate at the MIT Operations Research Center, advised by Rahul Mazumder. I did an internship at IBM Research in 2020, working with Yada Zhu. Before coming to MIT, I did my master in Financial Engineering (MSFE) at the IEOR department of Columbia University where I had the pleasure to work with Professor Donald Goldfarb and Krzysztof Choromanski. Prior to this, I received my Bachelor's degree in Applied Mathematics from Peking University.
Research
My research interests are in developing efficient computational methods for solving large-scale optimization problems in the fields of statistics, machine learning and operations research, with applications in finance, such as nonparametric estimation, sparse learning, covariance matrix estimation, event modeling, time series forecasting and portfolio optimization, etc. These problems involve either large-scale convex optimization or discrete optimization that is hard to scale using existing solvers.