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Faculty Research Seminar on Analytics:
Bo Zhang (IBM T.J. Watson Research Center)
Input Model Calibration for Stochastic Systems
Monday, November 16, 12:45-2:15pm, NVC 14-280
From: Professor Radhika Jain, Computer Information Systems
Abstract: In some complex real-world systems, data are abundant for system outputs, but little or no (good) data are available for certain inputs. I will present a new optimization formulation for solving the problem of estimating these inputs with only the availability of the output data. Specifically, the formulation is based on a nonparametric view of the inputs, and has the form of entropy maximization subject to moment matching. I will explain how the (typically non-convex) optimization problem can be approximately solved through proper reformulation and a simulation optimization method, assuming that the system under study is simulable. I will discuss new ideas of applying this approach to some machine learning problems, as well as its connections to other calibration formulations applied in a variety of statistical, science, engineering, and finance problems. This talk is partly based on joint work with Henry Lam (University of Michigan) and Aleksandrina Goeva (Boston University).
Bo Zhang, Ph.D., Mathematical Sciences and Analytics, IBM T.J. Watson Research Center
Bo Zhang is a Research Staff Member in the Mobile, Solutions, and Mathematical Sciences Department of the IBM T.J. Watson Research Center in New York. He is interested in all ideas and methods on how to do mathematical modeling and optimization, predictive and prescriptive analytics, decision making and recommendation making in different data environments. His current work focuses on three application areas: decision-making for emerging healthcare practices, resource management and data security for information technology and systems (e.g., cloud computing and mobile technology-based systems), and financial risk management. He often uses probability models and optimization methods in his research.
For more information, please contact Prof. Radhika Jain at Radhika.Jain@baruch.cuny.edu