Probability and Optimization with Applications

Research Interests

• Applied Probability and Stochastic Simulation

• Optimization in Stochastic Environments

• Applications in Risk Analysis and Machine Learning

Papers

1. Distilling Dataset into Neural Field  (with Donghyeok Shin, Heesun Bae, Gyuwon Sim, and Il-Chul Moon), ICLR (13th, Poster Presentation), 2025 [link]

2. Diffusion Rejection Sampling  (with Byeonghu Na, Yeongmin Kim, Minsang Park, Donghyeok Shin, and Il-Chul Moon), ICML (41st, Poster Presentation), 2024 [link]

3. Label-Noise Robust Diffusion Models (with Byeonghu Na, Yeongmin Kim, Heesun Bae, Junghyun Lee, Se Jung Kwon, and Il-Chul Moon), ICLR (12th, Poster Presentation), 2024 [link]

4. Training Unbiased Diffusion Models from Biased Datasets (with  Yeongmin Kim,  Byeonghu Na, Minsang Park, JoonHo Jang, Dongjun Kim, and Il-Chul Moon), ICLR (12th, Poster Presentation), 2024 [link] 

5. Refining Generative Process with Discriminator Guidance in Score-based Diffusion Models  (with Dongjun Kim, Yeongmin Kim, Se Jung Kwon, and Il-Chul Moon), ICML (40th, Oral Presentation), 2023 [link]

6. SAAL: Sharpness-Aware Active Learning (with Yoon-Yeong Kim, Youngjae Cho, JoonHo Jang, Byeonghu Na, Kyungwoo Song, and Il-Chul Moon), ICML (40th, Poster Presentation), 2023 [link]

7. Sequential Likelihood-Free Inference with Neural Proposal  (with Dongjun Kim, Kyungwoo Song, Yongjin Shin, Il-Chul Moon, and Weongyoung Joo), Pattern Recognition Letters, 169(May):102-109, 2023 [link]

8. Maximum Likelihood Training of Implicitly Nonlinear Diffusion Models  (with Dongjun Kim, Byeonghu Na, Se Jung Kwon, Dongsoo Lee, and Il-Chul Moon), NeurIPS (36th, Poster Presentation), 2022 [link]

9. Soft Truncation: A Universal Training Technique of Score-based Diffusion Model for High Precision Score Estimation  (with Dongjun Kim, Seungjae Shin, Kyungwoo Song, and Il-Chul Moon), ICML (39th, Poster Presentation), 2022 [link]

10. Improved Regret Bounds of Bilinear Bandits using Action Space Analysis (with Kyoungseok Jang, Kwang-Sung Jun,  and Se Young Yun), ICML (38th, Poster Presentation), 2021 [link]

11. Counterfactual Fairness with Disentangled Causal Effect Variational Autoencoder (with Hyemi Kim, Seungjae Shin, JoonHo Jang, Kyungwoo Song, Weonyoung Joo, and Il-Chul Moon), AAAI Conference (35th, Poster Presentation), 2021 [link]

12. Mixout: Effective Regularization to Finetune Large-scale Pretrained Language Models (with Cheolhyoung Lee and Kyunghyun Cho), ICLR (8th, Poster Presentation), 2020 [link]

13. Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes (with Jong Mun Lee), Mathematics of Operations Research, 44(1):334-353, 2019 [link]

14. Directional Analysis of Stochastic Gradient Descent via von Mises-Fisher Distributions in Deep Learning (with Cheolhyoung Lee and Kyunghyun Cho), NeurIPS (32nd, Workshop Presentation), 2018 [link]

15. Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model (with Chulmin Kang and Jong Mun Lee), Operations Research, 65(5): 1190-1206, 2017 [link]

16. Design of Informal Finance System: A Case of ROSCA (with Deung-Geon Ahn, Kyoung-Kuk Kim, and Hayong Shin), The Engineering Economist, 62(3):197-230,  2017 [link]

17. 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]

18. 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

19. 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]

20. Information on Jump Sizes and Hedging (with Kiseop Lee), Stochastics, 86(6):889-905, 2014 [link]

21. 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]

22. Large Deviations for Affine Diffusion Processes on R+m × Rn (with Chulmin Kang), Stochastic Processes and their Applications, 124(6):2188–2227, 2014 [link]

23. Fairing the Gamma: An Engineering Approach to Sensitivity Estimation (with Kyoung-Kuk Kim and Hayong Shin),  IIE Transactions, 46(4):374-396, 2014 [link]

24. Transform Formulae for Linear Functionals of Affine Processes and their Bridges on Positive Semidefinite Matrices (with Chulmin Kang), Stochastic Processes and their Applications, 123(6):2419–2445, 2013 [link]

25. Denoising Monte Carlo Sensitivity Estimates (with Kyoung-Kuk Kim and Hayong Shin), Operations Research Letters, 40(3):195–202, 2012 [link]

26. Fast Simulation of Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin), Operations Research, 56(5):1200–1217, 2008 [link]

27. Large Deviations in Multifactor Portfolio Credit Risk (with Paul Glasserman and Perwez Shahabuddin),  Mathematical Finance, 17(3):345–379, 2007 [link]

28. 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]

29. 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]

30. Inverse Conic Programming with Applications (with Garud Iyengar), Operations Research Letters, 33(3):319–330, 2005 [link]

31. 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. Collaborative Filtering via User Feedbacks (with Kihui Lee and Se-Young Yun)

Coauthors

• Guillermo Gallego (IEOR department at Columbia University)

• Paul Glasserman (Columbia Business School)

• Woonghee Tim Huh (Sauder School of Business, UBC)

• Garud Iyengar (IEOR department at Columbia University)

• Kyoungseok Jang (Department of AI, Chung-Ang University) 

• Chulmin Kang (Shinyoung Securities Co., Ltd)

• Kyoung-Kuk Kim (Business School at KAIST)

• Cheolhyoung Lee (Samsung Electronics Co., Ltd)

• Jong Mun Lee (Meritz Fire & Marine Insurance Co., Ltd)

• Kiseop Lee (Statistics Department at Purdue University)

• Il-Chul Moon (ISysE department at KAIST)

• Robert Phillips (Columbia Business School)

• Perwez Shahabuddin (deceased)

• Hayong Shin (ISysE department at KAIST)

• Ward Whitt (Retired)

Industrial Collaborations

• Hana Bank

• Kakao Corporation

• MERITZ Fire and Marine Insurance 

• Samsung Securities Co. Ltd.

• NH Investment & Securities Co. Ltd.

• Korea Investment Management Co. Ltd.

• FnPricing Inc.

• HanhwaLife Insurance

• Kim & Chang (law firm)

• Lee & Ko (law firm)