Current Doctoral Students

We are working with six doctoral students in the fall of 2009: Rouba Ibrahim, Yunan Liu, Guodong Pang, Kunsoo Park, Ohad Perry and Rishi Talreja.

• Rouba Ibrahim

  Rouba started in the IEOR doctoral program in 2004. She was one of four IEOR doctoral students to win the fall 2006 SEAS Extraordinary Teaching Assistant Award.

  Here are our first four 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. (with Rouba Ibrahim) [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. (with Rouba Ibrahim) [PDF].

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

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

  • Real-Time Delay Estimation in Call Centers. Proceedings of the 2008 Winter Simulation Conference, S. J. Mason, R. R. Hill, L. Moench, O. Rose (editors), forthcoming. [PDF].

  • Real-Time Delay Estimation Based on Delay History in Many-Server Queues with Time-Varying Arrivals. Submitted to Production and Operations Management. [PDF].

• Yunan Liu

  Yunan started in the IEOR doctoral program in fall 2007, after completing an MS in OR in spring 2007. He passed the qualifying exams before beginning the doctoral program.

  Here is our first completed paper:

  • Stabilizing Customer Abandonment in Many-Server Queues with Time-Varying Arrivals. Submitted to Operations Research. [PDF].

• Guodong Pang

  Guodong started in the IEOR doctoral program in 2006. Guodong is working on stochastic-process limits in a variety of complex queueing models.
  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. (with Guodong Pang) [PDF].

  • Continuity of a Queueing Integral Representation in the M1 Topology. Annals of Applied Probability, forthcoming. [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. Submitted to Queueing Systems (with Guodong Pang) [PDF].
    • Two-Parameter Heavy-Traffic Limits for Infinite-Server Queues: Longer Version. Supporting material for paper above. (with Guodong Pang) [PDF].

  • Heavy-Traffic Extreme-Value Limits for Erlang Models. Queueing Systems, 2009, articles online in advance, DOI 10.1007/s11134-009-9132-y (with Guodong Pang) [PDF].

  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].

  Here is a recent paper by Guodong with Professor Victor de La Pena of the Columbia Statistics Department:

  • Exponential Inequalities for self-normalized processes with applications. Submitted to Annals of Applied Probability (by Victor de la Pena and Guodong Pang) [PDF].

• Kun Soo Park

  Kun Soo started in the IEOR doctoral program in 2005 after completing his MS in OR here in the IEOR Department. We have been conducting research jointly with Professor Emanuel Derman. He has also been doing research with Professor Tim Huh. Kun Soo successfully defended his thesis on October 21, 2009. It contained four essays on his research, including the two papers below. He is currently employed at Bloomberg.

  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 and Kunsoo Park). [PDF].

  • A Stochastic-Difference-Equation Model for Hedge-Fund Relative Returns. Quantitative Finance, forthcoming. (with Emanuel Derman and Kunsoo Park) [PDF].

• Ohad Perry

  Ohad started in the IEOR doctoral program in 2004. Ohad is working on methods to respond to unexpected overloads in large-scale service systems. Toward that end, he is also working on state-space collapse and the heavy-traffic averaging principle in stochastic networks.

  Here are our first three completed papers:

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

  • A Fluid Approximation for Service Systems Responding to Unexpected Overloads. Operations Research, forthcoming. (with Ohad Perry) [PDF].
    • Supplement to "A Fluid Approximation for Service Systems Responding to Unexpected Overloads" Supporting material for paper above. (with Ohad Perry) [PDF].

  • Transient and Stability Analysis of the Many-Server Heavy-Traffic Fluid Limit for the Overloaded X Call-Center Model. Submitted to Mathematics of Operations Research. [PDF].

  • Heavy-Traffic Limits for the Overloaded X Model Via an Averaging Principle. Submitted to Annals of Applied Probability. [PDF].

• Rishi Talreja

  Rishi started in the IEOR doctoral program in 2004. He was one of four IEOR doctoral students to win the fall 2006 SEAS Extraordinary Teaching Assistant Award. He successfully defended his thesis on September 11, 2009. He is employed by Graham Capital Management in Rowayton, CT.

  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, forthcoming. [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 Former Students

• Itay Gurvich

  Itay was in the doctoral program in Division of Decision, Risk and Operations in the Graduate School of Business at Columbia University, starting in 2004. 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.

  In his doctoral work, Itay was also co-advised, and wrote papers with, Mor Armony of 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. (with Itay Gurvich) [PDF]

  • Service-Level Differentiation in Many-Server Service Systems Via Queue-Ratio Routing. Operations Research, forthcoming [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. (with Itay Gurvich) published PDF.

• Wanmo Kang

  Wanmo received his PhD from the IEOR doctoral program in 2005. Professor Perwez Shahabuddin was his principal advisor.

  • 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

  David received his BS from the CS at Columbia in 2006, and is in the Operations Research doctoral program at MIT.
  • 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].