LECTURE: 3:00pm - 4:00pm

RECEPTION: 4:00pm - 5:00pm

TITLE: Multivariate statistics and machine learning under a modern optimization lens

SPEAKER: Dr. Dimitris Bertsimas

ABSTRACT:

Key problems of classification and regression can naturally be written as optimization problems. While continuous optimization approaches has had a significant impact in statistics, discrete optimization has played a very limited role, primarily based on the belief that mixed integer optimization models are computationally intractable. While such beliefs were accurate two decades ago, the field of discrete optimization has made very substantial progress.  

Dr. Bertsimas will discuss how to apply modern first order optimization methods to find feasible solutions for classical problems in statistics, and mixed integer optimization to improve the solutions and to prove optimality by finding matching lower bounds.

Specifically, he will report results for the classical variable selection problem in regression currently solved by LASSO heuristically, least quantile regression, and factor analysis.  He will also present an approach to build regression models based on mixed integer optimization. In all cases he will demonstrate that the solutions found by modern optimization methods outperform the classical approaches. Most importantly, he suggests that the belief widely held in statistics that mixed integer optimization is not practically relevant for statistics applications needs to be revisited.

BIO:

Dimitris Bertsimas is currently the Boeing Professor of Operations Research and the co-director of the Operations Research Center at MIT.  He has been with the MIT faculty since 1988.  His research interests include optimization, statistics and applied probability and their applications in health care, finance, operations management and transportation.

He has co-authored more than 150 scientific papers and three graduate level textbooks. His fourth book, The Analytics Edge, will be published this spring.  He is former department editor in Optimization for Management Science and in Financial Engineering in Operations Research. He has supervised 53 doctoral students and he is currently supervising 19 others. 

 He is a member of the National Academy of Engineering since 2005, and has received numerous research awards including the Morse prize (2013), the Pierskalla award (2013), the best paper award in Transportation (2013), the Farkas prize (2008), the Erlang prize (1996), the SIAM prize in optimization (1996), the Bodossaki prize (1998) and the Presidential Young Investigator award (1991-1996). He has co-founded several companies in the areas of financial services, health care, aviation and publishing. 

 He received his SM and PhD in Applied Mathematics and Operations Research from MIT in 1987 and 1988 respectively.