• Itai Gurvich: at Kellogg and personal

  Itay received his PhD degree from Columbia University in May 2008 and joined the Kellogg School of Management at Northwestern University in the following summer. Itay was in the doctoral program in the Division of Decision, Risk and Operations in the Graduate School of Business at Columbia University, starting in 2004.

  While I served as Itay's principal dissertation advisor, Itay was also co-advised, and wrote papers with, Mor Armony from NYU and Costis Maglaras and Assaf Zeevi in the Division of Decision, Risk and Operations in the Graduate School of Business at Columbia University. Before coming to Columbia, Itay completed a masters degree at the Technion in Haifa, Israel, writing a thesis with Avishai Mandelbaum. In November 2006 Itay won the Manufacturing and Services Operations Management (MSOM) student paper competition for his work with Mor Armony on cross selling and its effect on call center performance.

  Here are our completed papers:

  • Queue-and-Idleness-Ratio Controls in Many-Server Service Systems. Mathematics of Operations Research, vol. 34, No. 2, May 2009, pp. 363-396. [PDF]

  • Service-Level Differentiation in Many-Server Service Systems Via Queue-Ratio Routing. Operations Research, vol. 58, No. 2, March-April 2010, 316-328. (with Itay Gurvich) [PDF].

  • Scheduling Flexible Servers with Convex Delay Costs in Many-Server Service Systems. Manufacturing and Service Operations Management), vol. 11, No. 2, Spring 2009, pp. 237-253. published PDF.

• Rouba Ibrahim

  Rouba received her Ph.D. from the IEOR Department at Columbia in 2010. She completed postdoctoral fellowships with Pierre L'Ecuyer at the University of Montreal in 2010-20111 and in the CREATE program at McGill University with Vedat Verter in 2011-2012.

  Here are our completed papers (and supplements):

  • Real-Time Delay Estimation Based on Delay History. Manufacturing and Service Operations Management, vol. 11, No. 3, Summer 2009, pp. 397-415. [PDF]. Articles in Advance from MSOM

    • Journal Online Appendix to "Real-Time Delay Estimation Based on Delay History." Supporting material for paper above maintained on journal web page. [PDF].

    • Supplement to "Real-Time Delay Estimation Based on Delay History." Supporting material for paper above. [PDF].

  • Real-Time Delay Estimation in Overloaded Multiserver Queues with Abandonment. Management Science, vol. 55, No. 10, October 2009, pp. 1729-1742. [PDF].

    • e-Companion to Real-Time Delay Estimation in Overloaded Multiserver Queues with Abandonment. Management Science, 15 pages. [PDF].

    • Supplement to "Real-Time Delay Estimation in Overloaded Multiserver Queues with Abandonment" Supporting material for paper above. [PDF].

  • Real-Time Delay Estimation in Call Centers. Proceedings of the 2008 Winter Simulation Conference, Miami, Fl., December 7-10, 2008, S. J. Mason, R. R. Hill, L. Moench, O. Rose (editors), vol. I, 2009, pp. 2876-2883. [PDF].

  • Real-Time Delay Estimation Based on Delay History in Many-Server Queues with Time-Varying Arrivals. Production and Operations Management, forthcoming (with Rouba Ibrahim). [early online PDF].

  • Delay Predictors for Customer Service Systems with Time-Varying Parameters. Proceedings of 2010 Winter Simulation Conference}, December 2010 . [PDF].

  • Wait-Time Predictors for Customer Service Systems with Time-Varying Demand and Capacity. Operations Research, vol. 59, September-October 2011, pp. 1106-1118. [PDF]

• Song-Hee Kim

  Song-Hee (also known as Hailey) began her doctoral studies at Columbia in 2008. She has been focusing on service systems with special attention to healthcare operations management. She is being co-advised by Carri Chan and Marcelo Olivares from the Decision, Risk and Operations (DRO) Division of the Columbia Business School.

  Here are our completed papers:

  • Statistical Analysis with Little's Law. Submitted to Operations Research (with Song-Hee Kim) [PDF].
    • Statistical Analysis with Little's Law, Supplementary Material: More on the Call Center Data. (with Song-Hee Kim) [PDF].

• Yunan Liu

  Yunan completed his thesis defense in July 2011 and joined the faculty of the Department of Industrial Engineering at the North Carolina State University in Raleigh in August 2011.

  Here are our completed papers:

  • The G_t/GI/s_t+GI Many-Server Fluid Queue. Queueing Systems, forthcoming (with Yunan Liu) [PDF].
    • The G_t/GI/s_t+GI Many-Server Fluid Queue: Longer Online Version with Appendix. [PDF].

  • Stabilizing Customer Abandonment in Many-Server Queues with Time-Varying Arrivals. Submitted to Operations Research (with Yunan Liu). [PDF].
    • Longer version with additional appendix. [PDF].

  • A Network of Time-Varying Many-Server Fluid Queues with Customer Abandonment. Operations Research, vol. 59, July-August 2011, pp. 835-846. [PDF].
    • e-companion. [PDF].

    • Longer version with additional appendix. [PDF].

  • Large-Time Asymptotics for the G_t/M_t/s_t+GI_t Many-Server Fluid Queue with Abandonment. Queueing Systems, vol. 67, 2011, pp. 145-182. [PDF].

  • A Fluid Approximation for Large-Scale Service Systems: Extended Abstract. Performance Evaluation Review, Special issue on 2010 MAMA conference. [PDF].

  • Nearly Periodic Behavior in the The Overloaded G/D/S+GI Queue. Stochastic Systems, vol. 1, No. 2, 2011, p. 340-410. [PDF].

  • Many-Server Heavy-Traffic Limits for Queues with Time-Varying Parameters. Submitted to Annals of Applied Probability. [PDF].

  • A Many-Server Fluid Limit for the G_t/GI/s_t+GI Queueing Model experiencing Periods of Overloading. Submitted to Operations Research Letters. [PDF].

  • Algorithms for Time-Varying Networks of Many-Server Fluid Queues. Submitted to Informs Journal on Computing (with Yunan Liu). [PDF].

  Here are slides from talks based on our work.

  • Multi-Server Queues with Time-Varying Arrival Rates, Markov Lecture, INFORMS Applied Probability Society, presented at the INFORMS national conference, Austin, TX, November 8, 2010. (with Yunan Liu). [PDF].

  • Queueing Models for Large-Scale Service Systems Experiencing Periods of Overloading, Seminar at MIT Operations Research Center, April 5, 2012 [PDF].

• Guodong (Gordon) Pang: at Penn State and personal

  . Guodong received his Ph.D. form the IEOR Department at Columbia in 2010. Guodong joined the faculty of the Department of industrial Engineering at the Pennsylvania State University in August 2010.
  Here are our completed papers:
  • Martingale Proofs of Many-Server Heavy-Traffic Limits for Markovian Queues. Probability Surveys, vol. 4, 2007, pp. 193-267. (with Rishi Talreja) [PDF]. Alternative sources: DOI link. arXiv link.

  • Service Interruptions in Large-Scale Service Systems. Management Science, vol. 55, No. 9, September 2009, pp. 1499-1512. [PDF].

  • Continuity of a Queueing Integral Representation in the M1 Topology. Annals of Applied Probability, vol. 20, No. 1, January 2010, pp. 214-237. [PDF].

  • Heavy-Traffic Limits for Many-Server Queues with Service Interruptions. Queueing Systems, vol. 61, pp. 167-202. [PDF].

  • Two-Parameter Heavy-Traffic Limits for Infinite-Server Queues. Queueing Systems, vol. 65, 2010, pp. 325-364. (with Guodong Pang) [PDF].
    • Two-Parameter Heavy-Traffic Limits for Infinite-Server Queues: Longer Version. Supporting material for paper above. [PDF].

  • Heavy-Traffic Extreme-Value Limits for Erlang Models. Queueing Systems, vol. 63, 2009, pp. 13-32. [PDF].

  • Two-Parameter Heavy-Traffic Limits for Infinite-Server Queues with Dependent Service Times. Queueing Systems, forthcoming (with Guodong Pang). [PDF].
    • earlier version. Heavy-Traffic Limits for Infinite-Server Queues in Series with Time-Varying Arrival Rates and Splitting, Allowing Dependent Service Times at Each Queue. (with Guodong Pang). [PDF].

  • The Impact of Dependent Service Times on Large-Scale Service Systems. Manufacturing and Service Operations Management, Articles in Advance (with Guodong Pang). [PDF].

  • Infinite-Server Queues with Batch Arrivals and Dependent Service Times. Probability in the Engineering and Information Sciences, vol. 26, 2012, pp.197-220 (with Guodong Pang). [PDF].
    • Prepublished version with correct references to our previous papers; reference [17] missing in published version.

  Here is a previous paper by Guodong with Professor Martin Day from VPI:

  • Fluid Limits for Optimally Controlled Queueing Networks. Journal of Applied Mathematics and Stochastic Analysis, vol. 2007, paper ID 68958, 19 pages, doi:10.1155/2007/68958 (by Guodong Pang and Martin Day) [PDF].

• Kunsoo Park

  Kunsoo successfully defended his thesis on October 21, 2009, after which he received his Ph.D. from the IEOR Department at Columbia. We conducted research on stochastic models in finance jointly with Professor Emanuel Derman. Kunsoo also was co-advised and did research with Professor Tim Huh, now at the University of British Columbia. Kunsoo is now on the faculty of the Graduate School of Management in the the Korean Advanced Institute for Science and Technology (KAIST) Business School in Seoul.

  Here are our two completed papers with appendices:

  • Markov Chain Models to Estimate the Premium for Extended Hedge Fund Lockups. Wilmott Journal, vol. 1, No. 5-6, October-December 2009, pp. 263-293 (with Emanuel Derman). [PDF].

  • A Stochastic-Difference-Equation Model for Hedge-Fund Relative Returns. Quantitative Finance, vol. 10, 2010, pp. 701-733, (with Emanuel Derman) [PDF].

  • New Markov Chain Models to Estimate the Premium for extended Hedge Fund Lockups. Submitted to Journal of Derivatives (with Kunsoo Park). [PDF].

• Ohad Perry

  Ohad received his Ph.D. from the IEOR Department in Columbia in 2010. In 2010-2011 Ohad was a postdoctoral fellow with Bert Zwart at the C.W.I. in Amsterdam. In August 2011 Ohad joined the faculty of the Department of Industrial Engineering and Management Sciences at Northwestern University.

  Here are our completed papers:

  • Responding to Unexpected Overloads in Large-Scale Service Systems. Management Science, vol. 55, No. 8, August 2009, pp. 1353-1367. [PDF].

  • A Fluid Approximation for Service Systems Responding to Unexpected Overloads. Operations Research, vol. 59, September-October 2011, pp. 1159-1170 (with Ohad Perry). Journal version: [PDF]. Longer version: [PDF].

  • An ODE for an Overloaded X Model Involving a Stochastic Averaging Principle. Stochastic Systems, vol. 1, No. 1, 2011, pp. 59-108. [PDF].
    • Longer version with additional appendix. [PDF].

  • A Fluid Limit for an Overloaded X Model Via an Averaging Principle. Mathematics of Operations Research, forthcoming. (with Ohad Perry). [PDF].

  • Diffusion Approximation for an Overloaded X Model Via an Averaging Principle. (with Ohad Perry). Submitted to Queueing Systems [PDF].

• Rishi Talreja

  Rishi successfully defended his thesis on September 11, 2009, after which he received his Ph.D. for the IEOR Department at Columbia. Rishi is currently a vice president, quantitative strategist in the Electronic Trading Group of Knight Equity Markets.

  Here are our three completed papers and supplements to two:

  • Fluid Models for Overloaded Multi-Class Many-Server Queueing Systems with FCFS Routing. Management Science, vol. 54, No. 8, 2008, pp. 1513-1527. [PDF].
    • Fluid Models for Overloaded Multi-Class Many-Server Queueing Systems with FCFS Routing: Internet supplement. Supporting material for paper with same title. [PDF].

  • Martingale Proofs of Many-Server Heavy-Traffic Limits for Markovian Queues. Probability Surveys, vol. 4, 2007, pp. 193-267. (with Guodong Pang) [PDF]. Alternative sources: DOI link. arXiv link.

  • Heavy-Traffic Limits for Waiting Times in Many-Server Queues with Abandonments. Annals of Applied Probability, vol. 19, No. 6, December 2009, pp. 2137-2175 [PDF].

  Here is a paper by Rishi on distribution-valued heavy-traffic limits for the G/GI/infinity queue with Professor Josh Reed from NYU:

  • Distribution-valued heavy-traffic limits for the G/GI/infinity queue. (by Josh Reed and Rishi Talreja). Submitted to Annals of Applied Probability [PDF].

  Here is a paper by Rishi on order book dynamics with Professor Rama Cont from Columbia and Dr. Sasha Stoikov from Cornell:

  • A Stochastic Model for Order Book Dynamics. (by Rama Cont, Sasha Stoikov and Rishi Talreja) [SSRN link].

Papers with Other Students

• Wanmo Kang

  Wanmo received his PhD from the IEOR Department at Columbia in 2005. Professor Perwez Shahabuddin was his principal advisor. Wanmo is on the faculty in the Mathematical Science Department at the Korean Advanced Institute for Science and Technology (KAIST) in Korea.

  • Exploiting Regenerative Structure to Estimate Finite Time Averages via Simulation. ACM Transactions on Modeling and Computer Simulation (TOMACS), Special Issue Honoring Perwez Shahabuddin, vol. 17, No. 2, April 2007, Article 8, pp. 1-38. (with Perwez Shahabuddin). [PDF]
    • Exploiting Regenerative Structure to Estimate Finite Time Averages via Simulation: Supplementary Material. working paper, 2005. Supporting material for paper with same title. (with Perwez Shahabuddin). [PDF]

• David Goldberg: at Georgia Tech and personal

  . David received his BS in CS at Columbia in 2006, and his PhD in the Operations Research from MIT in 2011 advised by David Gamarnik.
  • Two-Moment Approximations for Maxima. Operations Research, vol. 55, No. 3, May-June 2007, pp. 532-548. (with Chuck Crow). [PDF]
    • Two-Moment Approximations for Maxima: supplement. working paper, 2005. Supporting material for paper with same title. (with Chuck Crow). [PDF]

  • The Last Departure Time from an Mt/G/infinity Queue with a Terminating Arrival Process. Queueing Systems, vol. 58, 2008, pp. 77-104. journal site [PDF]

• Charles Crow, IV

  Chuck received his MS from IEOR in 2005.
  • Chuck is co-author on the first paper above with David Goldberg.

• Efstathios Avdis

  Efstathios (Stathi) received his MS in IEOR at Columbia in 2006. He is in the doctoral program in Finance at Wharton.
  • Power Algorithms for Inverting Laplace Transforms. Informs Journal on Computing, vol. 19, No. 3, Summer 2007, pp. 341-355. [PDF]
    • Supplement to "Power Algorithms for Inverting Laplace Transforms." Supporting material for paper above. [PDF].

Papers with Other Students

• Varun Gupta

  Varun is a doctoral student in CS at CMU working with Professor Mor Harchol-Balter.
  • Analysis of Join-the-Shortest-Queue Routing for Web Server Farms. Performance Evaluation, vol. 64, October 2007, pp. 1062-1081. IFIP 7.3 International Symposium on Computer Performance, Modeling, Measurements and Evaluation (Performance 2007), Cologne, Germany, October 2007. (with Mor Harchol-Balter and Karl Sigman) [PDF].
    • Simulation Results for JSQ Server Farms with Processor Sharing Servers. Supporting material for the paper above. (with Mor Harchol-Balter and Karl Sigman) [PDF].

• Zohar Feldman

  Zohar is a graduate student at the Technion working with Professor Avishai Mandelbaum.

  • Staffing of Time-Varying Queues to Achieve Time-Stable Performance. Management Science, vol. 54, No.2, February 2008, pp. 324-338. (with Avishai Mandelbaum and William A. Massey) [published PDF] [e-companion]
    • Staffing of Time-Varying Queues to Achieve Time-Stable Performance, Unabridged Version: Internet Supplement. working paper, 2005. (with Avishai Mandelbaum and Bill Massey) [PDF].