Research interests: data-driven optimization, machine learning for operations management and analytics for sustainable operations
(current/past PhD students or Post-docs marked with *)
Selected Works-In-Progress
12. "Personalized Dynamic Pricing and Demand Learning with Non-sparse Models'' (with Xiaoyu Fan*, Yanjun Han, Srikanth Jagabathula, Bora Keskin & Zhengyuan Zhou)
11. "Personalized Assortment Optimisation for a Subscription Business Model of Experience Goods." (with Jiannan Xu*, Wedad J. Elmaghraby & L. Beril Toktay)
Working Papers
10. "Personalized recommendation for bundled purchases: selling complements and upgraded substitutes" (with M. Hichame Benbitour* and Boxiao Chen) SSRN LINK
9. “Model Mis-specification in Newsvendor Decisions: A comparison of Frequentist Parametric, Bayesian Parametric and Nonparametric approaches.” (with Zhenyu Gao* & Fabian Taigel*) SSRN LINK
Journal Publications
8. "Personalized Dynamic Pricing with Machine Learning: High Dimensional Features and Heterogeneous Elasticity." (with N. Bora Keskin) Management Science Articles in Advance, 30 June 2021. LINK
- Honorable Mention, INFORMS JFIG Paper Competition 2018
- Finalist, INFORMS Data Mining Section Best Paper Award 2019
7. "Confidence Intervals for Data-driven Inventory Policies with Demand Censoring." (2020) Operations Research 68(2):309-326. LINK
6. "Dynamic Procurement of New Products with Covariate Information: The Residual Tree Method." (with Jeremie Gallien & Adam Mersereau) M&SOM, Fall 2019, 21(4):798-815 LINK
5. "The Big Data Newsvendor: Practical Insights from Machine Learning." (with Cynthia Rudin) Operations Research, 67(1):90-108 LINK Matlab Codes
(Note: data used in the paper cannot be shared due to NDA)
- 2021 Best OM Paper in Operations Research Award (among papers published in the past three years)
4. "Machine Learning and Portfolio Optimization." (with Noureddine El Karoui and Andrew E.B. Lim) Management Science, March 2018, 64(3):1136-1154. LINK
Published in the Optimization Department of Management Science
3. "Robust Portfolio Choice with Learning in the Framework of Regret: Single Period Case." (with Andrew E.B. Lim and J. George Shanthikumar) Management Science, September 2012, 58(9) 1747-1760. LINK
Published in the Optimization Department of Management Science
2."Conditional Value-at-Risk in Portfolio Optimization: Coherent but Fragile." (with Andrew E.B. Lim and J. George Shanthikumar) Operations Research Letters 39 (2011) 163-171. LINK
1. "Modeling Light Propagation in Photonic Crystal Devices: simplification of the Bloch mode scattering matrix method." (with T. P. White, M. J. Steel, C. M. de Sterke, K. Dossou and L. C. Botten) Journal of Applied Physics 102, 053103:1-7 (2007). LINK