Berkeley–Columbia Meeting in Engineering and Statistics

The Berkeley-Columbia Meeting provides a biennial, interdisciplinary forum for research in Engineering, Finance, Mathematics and Statistics. The first meeting was held at UC Berkeley in 2016. The second meeting is hosted by Columbia on April 6 and 7, 2018. Registration is not necessary. However, seating is limited—first come, first served.

Note: On Saturday, only the campus level entrance is open. Please enter campus on 116th Street.

09:00-09:30 Breakfast at lecture hall

09:30-09:40 Richard Davis: Opening

09:40-10:10 Nicolae Garleanu: Active versus Passive Investment

10:15-10:35 Florian Stebegg: Robust Pricing and Hedging of Averaging Options

10:40-11:10 Daniel Lacker: Local Dynamics for Large Sparse Networks of Interacting Processes

Coffee Break

11:30-12:00 Anil Aswani: Statistics with Set-valued Functions: Applications to Inverse Approximate Optimization

12:05-12:25 Renyuan Xu: Stochastic Game of Finite Fuel Problem

12:30-01:00 Sumit Mukherjee: Joint Estimation of Parameters in Ising Model

Lunch for speakers: at the Faculty House (map)

02:40-03:10 Will Fithian: AdaPT: An Interactive Procedure for Multiple Testing with Side Information

03:15-03:35 Matteo Basei: Nonzero-Sum Stochastic Differential Games with Impulse Controls

03:40-04:10 Dylan Possamai: Open Problems in Contract Theory

Coffee Break

04:30-05:00 Cindy Rush: Sparse Regression Codes: Communications via High-dimensional Linear Regression

05:05-05:25 Yuansi Chen: Stability and Convergence Trade-off of Iterative Optimization Algorithms

05:30-06:00 Philipp Strack: A Prior Free Approach to Experimentation

(Please enter Mudd Building through the campus level entrance on Saturday.)

09:00-09:30 Breakfast at lecture hall

09:30-10:00 Paul Glasserman: Information-Driven Price and Volatility Cycles

10:05-10:25 Tianyi Lin: Relaxed Wasserstein and Applications to GANs

10:30-11:00 Arian Maleki: A Fair Comparison of Estimators in High-dimensions

Coffee Break

11:20-11:50 Adityanand Guntuboyina: Hypothesis Testing in the Gaussian Sequence Model with Cone Constraints

11:55-12:15 Wenda Zhou: Approximate Leave-one-out for Fast Parameter Tuning in High Dimensions

12:20-12:50 Jing Dong: A New Approach to Sequential Stopping for Stochastic Simulation

Lunch catered light lunch at lecture hall

02:00-02:30 Paul Grigas: Smart "Predict, then Optimize''

02:35-02:55 Marko Weber: Can Swing Pricing Prevent Mutual Fund Runs and Fire Sales?

03:00-03:30 Ton Dieker: Simulation Algorithms and the Change-of-measure Technique

03:35-03:45 Xin Guo: Closing