Probability and Optimization with Applications

Wanmo Kang (강완모)

Associate Professor
Department of Mathematical Sciences
Korea Advanced Institute of Science and Technology (KAIST)
Daejeon, Republic of Korea
wanmo DOT kang AT kaist DOT edu

Ph.D. in Operations Research

Research Interests
  • Applied Probability and Stochastic Simulation
  • Optimization in Stochastic Environments
  • Applications in Risk Analysis and Machine Learning

  1. Mixout: Effective Regularization to Finetune Large-scale Pretrained Language Models  (with Cheolhyoung Lee and Kyunghyun Cho), 8th International Conference on Learning Representations  (ICLR 2020 Poster)  [link]
  2. Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (with Jong Mun Lee),  Mathematics of Operations Research, 44(1): 334-353, 2019 [link]
  3. Directional Analysis of Stochastic Gradient Descent via von Mises-Fisher Distributions in Deep Learning  (with Cheolhyoung Lee and Kyunghyun Cho), "Integration of Deep Learning Theories" Workshop, 32nd Conference on Neural Information Processing Systems (NIPS 2018 Workshop Poster)  [link]
  4. Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (with Chulmin Kang and Jong Mun Lee), Operations Research, 65(5): 1190-1206, 2017 [link]
  5. Design of Informal Finance System: A Case of ROSCA (with Dohyun Ahn, Kyoung-Kuk Kim, and Hayong Shin), The Engineering Economist, 62(3):197-230,  2017 [link]
  6. Risk Propagation through a Platform: the Failure Risk Perspective on Platform Sharing (with Yoo S. Hong, Woonghee Tim Huh, and Changmuk Kang),  IEEE Transactions on Engineering Management, 62(3):372-383, 2015 [link]
  7. Stress Scenario Selection by Empirical Likelihood (with Paul Glasserman and Chulmin Kang), Quantitative Finance, 15(1):25-41, 2015 [link], also available at OFR Working Paper Series
  8. Design of Risk Weights (with Paul Glasserman), Operations Research, 62(6):1204-1220, 2014 [link], also available at OFR Working Paper Series. See also an article introducing this paper by Edieal J. Pinker [pdf]. Comment by Darrell Duffie [pdf] and Jean-Charles Rochet [pdf]
  9. Information on Jump Sizes and Hedging (with Kiseop Lee), Stochastics, 86(6):889-905, 2014 [link]
  10. Robustness of Order-up-to Policies in Lost Sales Inventory Systems  (with Marco Bijvank, Woonghee Tim Huh, and Ganesh Janakiraman),  Operations Research, 62(5):1040-1047, 2014 [link]
  11. Large Deviations for Affine Diffusion Processes on R+× Rn (with Chulmin Kang), Stochastic Processes and their Applications, 124(6):2188–2227, 2014 [link]
  12. Fairing the Gamma: An Engineering Approach to Sensitivity Estimation (with Kyoung-Kuk Kim and Hayong Shin),  IIE Transactions, 46(4):374-396, 2014 [link]
  13. Transform Formulae for Linear Functionals of Affine Processes and their Bridges on Positive Semidefinite Matrices (with Chulmin Kang), Stochastic Processes and their Applications123(6):2419–2445, 2013 [link]
  14. Denoising Monte Carlo Sensitivity Estimates (with Kyoung-Kuk Kim and Hayong Shin), Operations Research Letters40(3):195–202, 2012 [link]
  15. Fast Simulation of Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin), Operations Research56(5):1200–1217, 2008 [link]
  16. Large Deviations in Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin),  Mathematical Finance17(3):345–379, 2007 [link]
  17. Exploiting Regenerative Structure to Estimate Finite Time Averages Via Simulation (with Perwez Shahabuddin and Ward Whitt), ACM Transactions on Modeling and Computer Simulation (TOMACS), 17(2):Article 8, 2007 [link]
  18. Price Competition with the Attraction Demand Model: Existence of Unique Equilibrium and Its Stability (with Guillermo Gallego, Woonghee Tim Huh,  and Robert Phillips), Manufacturing and Service Operations Management (M&SOM)8(4):359–375, 2006 [link]
  19. Inverse Conic Programming with Applications (with Garud Iyengar), Operations Research Letters, 33(3):319–330, 2005 [link]
  20. Fast Simulation of Multifactor Portfolio Credit Risk in the t-Copula Model (with Perwez Shahabuddin), Proc. Winter Simulation Conf.1859–1868, 2005 [link]

Working Papers
  1. Exact simulation for first passage time times of Brownian bridges and application to diffusion bridges (with Jong Mun Lee)

  • Dohyun Ahn (SEEM department at Chinese University of Hong Kong, Hong Kong)
  • Kyunghyun Cho (CS department at New York University, USA)
  • Guillermo Gallego (IEDA department at Hong Kong University of Science and Technology, Hong Kong)
  • Paul Glasserman (Columbia Business School, USA)
  • Woonghee Tim Huh (Sauder School of Business, UBC, Canada)
  • Garud Iyengar (IEOR department at Columbia University, USA)
  • Changmuk Kang (IISE department at Soongsil University, South Korea)
  • Chulmin Kang (NIMS, Republic of Korea, South Korea)
  • Kyoung-Kuk Kim (ISysE department at KAIST, South Korea)
  • Cheolhyoung Lee (Ph.D. student, KAIST, South Korea)
  • Jong Mun Lee (Meritz Fire & Marine Insurance Co., Ltd, South Korea)
  • Kiseop Lee (Statistics department at Purdue University, USA)
  • Robert Phillips (Amazon, USA)
  • Perwez Shahabuddin (deceased)
  • Hayong Shin (ISysE department at KAIST, South Korea)
  • Ward Whitt (IEOR department at Columbia University, USA)

Industrial Collaborations