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• May

  14

  Letting the Samples Speak: A New Approach for Importance Sampling for Tail Events

  Department of Industrial Engineering and Management Sciences (IEMS)

  11:00 AM ITW 1.350, Ford Motor Company Engineering Design Center

  EVENT DETAILS

  Abstract

  The ability to estimate and control extreme tail risks, besides being an integral part of quantitative risk management, is central to running operations requiring high service levels and cyber-physical systems with high-reliability specifications. Despite this significance, scalable algorithmic approaches have remained elusive: This is due to the rarity with which relevant risky samples get observed, and the critical role experts play in devising variance reduction techniques based on instance-specific large deviations studies. Our goal in this talk is to examine if such tailored variance reduction benefits can be instead achieved by instance-agnostic algorithms capable of scaling well across multitude of tail estimation and optimisation tasks.

  To this end, we identify an elementary transformation whose push-forward automatically induces efficient importance sampling distributions across a variety of models by replicating the concentration properties observed in less rare samples. This obviates the need to explicitly identify a good change of measure, thereby overcoming the primary bottleneck in the use of importance sampling beyond highly stylized models. Our novel approach is guided by developing a new large deviations based stochastic model which brings out the phenomenon of self-similarity of zero variance distributions. Being a nonparametric phenomenon, this self-similarity is manifest in a rich set of objectives modeled with tools such as linear programs, piecewise linear/quadratic objectives, feature maps specified in terms of neural networks, etc., together with a spectrum of light and heavy-tailed multivariate distributions.

  Bio

  Karthyek Murthy serves as an Assistant Professor in the Engineering Systems & Design pillar of Singapore University of Technology and Design. His research interests revolve around data-driven operations research, focussing on models and methods for translating data into large-scale planning and operational decisions that are robustly effective and reliable in the face of uncertainty. His research has been recognized with the biennial INFORMS Applied Probability Society best publication award (2023), Winter Simulation Conference best paper award (2019), and the INFORMS Junior Faculty JFIG paper competition Third Prize (2021). He earned his PhD in Systems Sciences from the Tata Institute of Fundamental Research in 2015 and worked as a postdoctoral researcher in Columbia University’s Industrial Engineering & Operations Research department from 2015 to 2017. He serves on the editorial boards of Operations Research, Stochastic Systems and Operations Research Letters.

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  TIME Tuesday, May 14, 2024 at 11:00 AM - 12:00 PM

  LOCATION ITW 1.350, Ford Motor Company Engineering Design Center    map it

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  CONTACT Kendall Minta    kendall.minta@gmail.com EMAIL

  CALENDAR Department of Industrial Engineering and Management Sciences (IEMS)

• May

  20

  Curious Life Certificate Information Session

  McCormick School of Engineering and Applied Science

  12:00 PM Design Studio 3 (Room 3-210), Ford Motor Company Engineering Design Center

  EVENT DETAILS

  Join leaders from the Northwestern Personal Development StudioLab for a presentation about the new Curious Life Certificate (CLC), a series of courses designed to give you a holistic approach to your performance both academically and in your personal life.

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  TIME Monday, May 20, 2024 at 12:00 PM - 1:30 PM

  LOCATION Design Studio 3 (Room 3-210), Ford Motor Company Engineering Design Center    map it

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  CONTACT Bruce Ankenman    ankenman@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Jun

  10

  Northwestern Engineering PhD Hooding and Master's Degree Recognition Ceremony

  McCormick School of Engineering and Applied Science

  9:00 AM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering PhD Hooding and Master’s Degree Recognition Ceremony

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  TIME Monday, June 10, 2024 at 9:00 AM - 11:00 AM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Jun

  10

  Northwestern Engineering Undergraduate Convocation

  McCormick School of Engineering and Applied Science

  2:00 PM Welsh-Ryan Arena

  EVENT DETAILSmore info

  McCormick School of Engineering Undergraduate Convocation

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  TIME Monday, June 10, 2024 at 2:00 PM - 4:00 PM

  LOCATION Welsh-Ryan Arena   

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  CONTACT Amy Pokrass    amy.pokrass@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Aug

  14

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

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  TIME Wednesday, August 14, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

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  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science

• Aug

  15

  Undergraduate Quantum Summer School

  McCormick School of Engineering and Applied Science

  All Day Ford Motor Company Engineering Design Center

  EVENT DETAILSmore info

  Innovation in Quantum Pedagogy, Application, and its Relation to Culture (IQ-PARC), funded by the Department of Defense — National Defense Education Program, is extending an invitation to underrepresented students nationwide (including military-connected students) to participate in a summer school focused on quantum technologies, to be held at Northwestern University. Join us for presentations by faculty and industry partners introducing quantum technologies, cutting-edge research areas, and related job opportunities particularly in the areas of national security.

  This effort aims to foster an inclusive environment that encourages participation from all corners of the academic community. Successful applicants will receive up to $1,000 USD to cover travel and lodging expenses in Evanston, IL.

  Priority application deadline: May 15, 2024.

  Decisions will be sent by June 15, 2024.

  Register Now

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  TIME Thursday, August 15, 2024

  LOCATION Ford Motor Company Engineering Design Center    map it

  ADD TO CALENDAR

  CONTACT Dongyang Li    lidongyang@northwestern.edu EMAIL

  CALENDAR McCormick School of Engineering and Applied Science