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Michael Chen
Industrial Engineering and Management Science
Northwestern University
2145 Sheridan Road IEMS Room C229
Evanston IL 60201
(847) 467-2043
michael-chen[at]northwestern.edu
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EDUCATION
RESEARCH INTERESTS
PUBLICATIONS
SERVICES
PRESENTATIONS
PROFESSIONAL AFFILIATIONS
HONORS
GRADUATE COURSES
COMPUTER SKILLS
TEACHING EXPERIENCE
HOBBIES
NORTHWESTERN UNIVERSITY
Ph.D. Industrial Engineering and Management Science, (expected) 2008
Advisor Professor Sanjay
Mehrotra
UNIVERSITY OF BRITISH COLUMBIA
M.S. Management Science, 2004
JILIN UNIVERSITY
B.S. Management Science, 1997
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Stochastic Programming
Interior Point Method
Monte Carlo, Quasi Monte Carlo and Sparse Grid Methods
Portfolio Selection and Hedge
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S. Mehrotra and M. Chen. 2006.
M. Chen and S. Mehrotra. 2007. Epi-convergent
High Dimensional Scenario Generation Method for Stochastic Programming via
Sparse Grid. Submitted to SIAM
Journal on Optimization.
M. Chen, S. Mehrotra. 2007.
Self-concordant Tree and Decomposition Based Interior Point Methods for
Stochastic Convex Optimization Problem. Submitted to Mathematical
Programming, preview available at Stochastic Programming E-print
Series, 8.
M. Chen, M. Braveman,
N. Gätner and M. Gamerio. 2004. Methods to Localize Shorts between
Power and Ground Circuits. Canadian Applied Math Quarterly, 12, 1,
pp. 87-103.
M. Chen, M. Braveman,
N. Gätner and Y. Wu. 2003.
Stability of Hybrid Systems using a Sum of Squares Programming Approach:
VCCR System. Proceeding of 6th PIMS Graduate Student Math Camp, 2003 Banff Canada .
M. Chen and S. Mehrotra. 2007.
Numerical Study of High Dimensional Scenario Generation Method via Sparse
Grid. Working paper.
M. Chen and S. Mehrotra. 2007. An
Efficient Method for Computing CVaR
Optimal Portfolio. Working paper.
M. Chen and S. Mehrotra. 2007. Revenue
Management via Stochastic Programming Approach with Piecewise Linear
Control. Working paper.
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Referee, Mathematical Programming.
Program Committee, INFORMS Midwest
Regional Conference, 2007.
Session Chair, Stochastic Optimization/Large Scale
Optimization II,
INFORMS Annual Conference, 2007.
Session Chair, Interior Point Method, Finite Element Method, and
Inverse
Optimization in Stochastic Programming, INFORMS Annual
Conference, 2007.
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M. Chen. 2007. Self-concordant Tree and Decomposition Based Interior
Point Methods for Stochastic Convex Optimization Problem. INFORMS
Annual Conference, Seattle,
USA.
M. Chen. 2007. Epi-convergent High
Dimensional Scenario Generation
Method Using Sparse Grid. INFORMS Annual Conference, Seattle,
USA.
M. Chen. 2007. Self-concordant Tree and Decomposition Based Interior
Point Methods
for Stochastic Convex Optimization Problem. International Conference
on Continuous Optimization (ICCOPT), Hamilton,
Canada.
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Member of Institute for Operations Research and Management Science
(INFORMS)
Member of Society for Industrial and Applied Mathematics ( SIAM
)
Member of Mathematical Programming Society (MPS)
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Selected to attend Informs 2007 Future Academician Colloquium.
Fellowship, University of British Columbia, 2002 - 2004
Fellowship, Jilin
University,
1993 - 1996
Student Leadership Awards, Jilin
University,
1995
Student Chief Editor Awards, Jilin
University
School
Paper, 1996
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Measure
theory; Real analysis; Abstract algebra.
Linear,
integer, nonlinear, large scale, parallel and stochastic optimization.
Business statistics I, II; Forecasting; Intermediate statistics;
Advanced statistical methodology; Survey sampling.
Simulation; Advanced simulation; Stochastic modeling I, II; Markov
decision process; Artificial intelligence; Probabilistic machine learning.
Economics and decision analysis; Production and logistics I, II;
Advanced transportation; Management science best practice.
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Programming: C, Java, SML
Parallel programming: OpenMP and MPI
Database: SQL, Access, Excel and VBA
Optimization: CPLEX Java API, AMPL and GAMS
Statistics: SAS
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Grader, Operations Management,Kellogg School
of Management, Spring 2007
Teaching assistant, Deterministic Optimization, IEMS, Fall 2007
Teaching assistant, Introduction to statistics, IEMS, Spring 2006
English Teacher, Beijing,
1997 - 2000
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Table-tennis, tennis, movie, travel
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last updated on 11/15/2007