About

My interests are in various applied problems which have impact. My formal training is in electrical engineering and applied mathematics. I find that some of the more interesting problems I have worked on have come from looking at the real world with a strongly quantitative toolset. Along the way, I have spent time at a hedge fund and consulted for private industry and the U.S. Government.  Finally, at the moment I am the associate head for undergraduate studies in the department of Industrial and Enterprise Systems Engineering.

Education

Ph.D. in Applied Mathematics, May 1991, University of Maryland at College Park M.S. in Electrical Engineering, August 1988, University of Maryland at ...
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Academic Appointments

Professor, Department of Industrial and Enterprise Systems Engineering, University of Illinois at Urbana-Champaign, August 2012 to present. Professor, Department of Mathematics, University of Illinois ...
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Grants

NSF IIP 1748498: I-Corps: Data Analytics for Hand-Picked Agriculture NSF CMMI #1727785:  Signatures and Barcodes: Data-driven Understanding of Transportation System ...
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Thesis Students

StudentDegreeDepartmentYearThesis titleCurrent
Narayanan, RamakrishnanM.S.Industrial Engineering2017Exploring image recognition: applying convoluted neural networks and learning to recognize safe cyclistsWestern Digital
Srivastava, NitinM.S.Industrial Engineering2016Machine learning and task disambiguation in hand-picked agricultureBoston Consulting Group
Song, RuiPh.D.Mathematics2014Clearing financial network and its stabilityPlymouth Rock
Ravat, UmaPh.D.Mathematics2014On the Analysis of Stochastic Optimization and Variational Inequality ProblemsUIUC Statistics
Kone, Estelle Ph.D.Industrial Engineering2014Monitoring unknown source IP addresses and packet sizes to detect DDoS attacksGoldman Sachs
Zheng, ZhiPh.D.Mathematics2012Stochastic Stefan problems: existence, uniqueness, and modeling of market limit ordersGoldman Sachs
Li, XiaoPh.D.Mathematics2012Dynamics of bankrupt stocksMorgan Stanley
Kim, KunwooPh.D.Mathematics2012New results in stochastic moving boundary problemsPhang University of Science and Technology (POSTECH)
Chetan PahlajaniPh.D.Mathematics2007Stochastic Averaging Correctors for a Noisy Hamiltonian System With Discontinuous StatisticsIIT Gandhinagar
O'Bryant, Natella Ph.D.Mathematics2002A Problem From Hamiltonian Mechanics With Time -Periodic Coefficients, Small Noise, and DegeneracyBarclays
Yang, JianPh.D.Mathematics2002Stochastic Volatility Models: Option Price Approximation, Asymptotics and Maximum Likelihood EstimationGoldman Sachs
Qin, WeiPh.D.Mathematics2017Dynamics of Takeover ProcessesNCSA

Most of my current research involves looking at data from a quantitative perspective and with a socially-important goal.    If you are interested in working with me, be prepared for getting your hands dirty.

  • Undergraduates:  Often, some aspects of the projects and data analytics are appropriate for undergraduates.   Sometimes a graduate student (Master’s or Ph.D.) might be the project lead.  Hopefully, these projects will help you develop a compelling story for the next stage of your career.  The average GPA of students who work with me is above 3.75; if your GPS is below 3, you should probably focus on getting your GPA up and understanding how to manage expectations and your time before delving into a research project.
    • Letters of recommendation:
      • I am happy to write a letter of recommendation if you did research with me as an undergraduate.  Since my notes are not perfect, please remind me when (which semesters) you worked with me, what project you worked on and what you did within the project, and what your goals are.  That will help me tailor the letter.  I will ask any graduate students involved in the project for additional context about your contributions.  Please tell me where you end up going; existing good students having bright career paths helps me recruit future good students.
      • Since I try to write the strongest letters for those students who have helped push the edge of knowledge through research, I am unlikely to write strong letters for students with whom my only contact is in the classroom.
  • Potential Master’s students: Often, some aspects of the projects and data analytics are appropriate for a Master’s thesis.  Often, one can take some ideas off the shelf and apply them in interesting ways.   Undergraduates can often do part of the work, and this gives Master’s students experience in managing a STEM team.  A conference paper is often an appropriate publishable outcome.
  • Potential Ph.D. students: I would like to start out working on a project at the level of a Master’s student for about 6 months.   This way we are sure that we can work together and at least produce some type of research deliverable before committing to a Ph.D. thesis.