Deadline : october 28, 2011
---
Position 1
Numerical methods for optimal control of
piecewise
deterministic Markov processes
Post-Doctoral Position
INRIA Bordeaux Sud-Ouest
Authors of the post-doctoral research subject:
B. de Saporta and F. Dufour,
Equipe Projet INRIA: CQFD
saporta@math.u-bordeaux1.fr
dufour@math.u-bordeaux1.fr
This Post-Doctoral position is funded by ARPEGE program
of the French National Agency of
Research (ANR), project ”FAUTOCOES”, number
ANR-09-SEGI-004.
Title of the post-doctoral research subject:
Numerical methods for optimal control of piecewise
deterministic Markov processes.
Required Knowledge and background: PhD in applied
probability or related area, skills in
continuous-time stochastic processes, Markov processes,
optimal stochastic control,
numerical probability.
Keywords: Markov processes. Optimal control. Numerical
probability.
Duration: one year.
Scientific Research context:
In 1980, M.H.A. Davis [1] introduced in probability
theory Piecewise Deterministic Markov
Processes (PDMP) as a general class of models suitable
for formulating optimization
problems in queuing and inventory systems,
maintenance-replacement models, investment
scheduling and many other areas of operation research.
In the continuous-time context, stochastic control
theory has from the numerical point of
view, been mainly concerned with Stochastic
Differential Equations (SDEs in short). From
the practical and theoretical point of view, the
numerical developments for this class of
processes are extensive and largely complete. It
capitalizes on the connection between
SDEs and second order partial differential equations
(PDEs in short) and the fact that the
properties of the latter equations are very well
understood. It is, however, hard to deny that
the development of computational methods for the
control of PDMPs has received little
attention. One of the main reasons is that the role
played by the familiar PDEs in the diffusion
models is here played by certain systems of
integro-differential equations for which there is
not (and cannot be) a unified theory such as for PDEs
as emphasized by M.H.A. Davis in his
book. To the best of our knowledge, there is only one
attempt to tackle this difficult problem
by O.L.V. Costa and M.H.A. Davis. The originality of
this project consists in studying this
unexplored area.
Post-doctoral researcher work description:
An impulse control strategy consists in a sequence of
single interventions introducing a jump
of the process at some controller-specified stopping
time and moving the process at that time
to some new point in the state space. The impulse
control problem consists in choosing a
strategy (if it exists) that minimizes the expected sum
of discounted running and intervention
costs up to infinity, and computing the optimal cost
thus achieved. Many applied problems
fall into this class, such as inventory problems in
which a sequence of restocking decisions is
made, or optimal maintenance of complex systems with
components subject to failure and
repair.
The candidate will develop numerical methods for
impulse control of PDMP’s. The proposed
approach will be based on quantization techniques for
the underlying Markov chain defined
by the post jump location and inter-arrival time such
as developed in [2]. Convergence
results will be expected and numerical examples will be
investigated.
References:
[1] M.H.A. Davis. Markov Models and Optimization.
Chapman and Hall, London, 1993.
[2] B. de Saporta, F. Dufour, K. Gonzalez. Numerical
method for optimal stopping of
piecewise deterministic Markov processes, Annals of
Applied Probability, 2010, vol. 20, no 5,
p. 1607-1637.
---
Position 2:
Numerical methods for optimal quantization
Post-Doctoral Position
INRIA Bordeaux Sud-Ouest
Author of the post-doctoral research subject:
B. de Saporta and F. Dufour,
Equipe Projet INRIA: CQFD
saporta@math.u-bordeaux1.fr
dufour@math.u-bordeaux1.fr
This Post-Doctoral position is funded by ARPEGE
program of the French National Agency of
Research (ANR), project ”FAUTOCOES”, number
ANR-09-SEGI-004.
Title of the post-doctoral research subject:
Numerical methods for optimal quantization.
Required Knowledge and background: PhD in applied
probability, optimization or related
area, skills in probability, optimization,
numerical probability.
Keywords: Quantization, Numerical probability.
Duration: one year.
Scientific Research context:
Quantization techniques [4,5] consist in
approximating a continuous state space random
variable by a random variable taking only finitely
many values such that the difference
between the original random variable and its
discrete approximation is minimal for some
wellchosen
norm. Quantization methods have been developed
recently in numerical probability
for numerical integration to solve nonlinear
filtering or optimal stochastic control problems
with applications in finance or signal processing
[1,6-9]. In particular, this technique has been
successfully used to solve optimal stopping and
impulse control problems for various classes
of stochastic processes such as stochastic
differential equations, Markov chains, piecewise
deterministic Markov processes [1,2,3]. Therefore,
the development of numerical techniques
for providing (quasi) optimal quantization is
crucial.
Post-doctoral researcher work description:
Given a random variable X, a quantization algorithm
should provide a finite grid G and the
quantized approximation of X is then defined by the
closest-neighbor projection of X onto G.
One of the main challenges is to compute the
optimal grid ensuring that the distance
between X and its quantized approximation is
minimal for a Lp norm. There already exist
algorithms for such purposes such as Lloyd’s Method
and the competitive learning vector
quantization procédure [1,5,9].
The candidate will study the existing methods by
reviewing their advantages and drawbacks
and develop new numerical methods for computing
optimal grids.
References:
[1] Bally, V. and Pagès, G. (2003). A quantization
algorithm for solving multi-dimensional
discrete-time optimal stopping problems. Bernoulli
9 1003–1049.
[2] Bally, V. , Pagès, G. and Printems, J . (2005).
A quantization tree method for pricing and
hedging multidimensional American options. Math.
Finance 15 119–168
.
[3] de Saporta, B. , Dufour, F. and Gonzalez, K.
(2010). Numerical method for optimal
stopping of piecewise deterministic Markov
processes, Annals of Applied Probability, 20
1607-1637.
[4] Graf, S. and Luschgy, H. (2000) Foundations of
Quantization for Probability Distributions,
Lecture Notes in Math. 1730. Berlin:
Springer-Verlag.
[5] Gray, R. and Neuhoff, D. (1998). Quantization,
IEEE Trans. On Information Theory 44
2325-2382.
[6] Pagès , G. (1998). A space quantization method
for numerical integration. J. Comput.
Appl. Math. 89 1–38
.
[7] Pagès , G. and Pham, H. (2005). Optimal
quantization methods for nonlinear filtering with
discrete-time observations. Bernoulli 11 893–932
.
[8] Pagès, G. , Pham, H. and Printems, J . (2004).
An optimal Markovian quantization
algorithm for multi-dimensional stochastic control
problems. Stoch. Dyn. 4 501–545.
[9] Pagès, G. , Pham, H. and Printems, J . (2004).
Optimal quantization methods and
applications to numerical problems in finance. In
Handbook of Computational and Numerical
Methods in Finance 253–297. Birkhäuser, Boston, MA.
University of Waterloo. Waterloo, Ontario, Canada
Date: Sept 21, 2011
DEPARTMENT OF STATISTICS & ACTUARIAL SCIENCE
UNIVERSITY OF WATERLOO
Open Positions in Statistics
The Department of Statistics and Actuarial Science at the University
of Waterloo invites applications for one or more tenure-track or
tenured positions in Statistics. These may be at the ranks of
Assistant, Associate, or, in very special cases, Full Professor.
Applicants should have a PhD in an area of the statistical,
mathematical or actuarial sciences, must have potential or proven
ability to develop an internationally recognized research program in
Statistics, have excellent communication skills, and a strong
commitment to teaching at the graduate and undergraduate levels.
The Department of Statistics and Actuarial Science is one of the top
academic units for the statistical and actuarial sciences in the
world and is home to more than 40 research active full-time faculty.
It offers a vibrant research environment for a wide range of areas
including mathematical statistics, applied probability, longitudinal
data analysis, event history analysis, statistical learning,
computational statistics, finance and risk management, survey
methods, industrial statistics, and interdisciplinary collaborative
work. The Department benefits from close relationships with many
research groups on campus including the Survey Research Centre, the
Business and Industrial Statistics Research Group, the Computational
Statistics Research Group, the Waterloo Research Institute in
Insurance, Securities, and Quantitative Finance, the School of Public
Health and Health Systems, the Propel Centre for Population Health
Impact, the Interdisciplinary Centre on Climate Change and Centre for
Theoretical Neuroscience. The Department is also home to over 150
graduate students in programs including Statistics, Biostatistics,
Actuarial Science, and Quantitative Finance.
Applications will be accepted until positions are filled, with all
applications received by December 1, 2011 being fully considered.
However, completed applications will be reviewed on an ongoing basis
before this deadline. The salary offered will be commensurate with
qualifications and experience. Please submit a detailed cover letter,
a curriculum vitae, and arrange for at least three letters of
reference to be sent directly to
Professor Paul Marriott, Chair
Department of Statistics and Actuarial Science
University of Waterloo
200 University Avenue West
Waterloo ON N2L 3G1, CANADA
pmarriot@uwaterloo.ca
All qualified candidates are encouraged to apply; however, Canadians
and permanent residents will be given priority. The University of
Waterloo encourages applications from all qualified individuals,
including women, members of visible minorities, native peoples, and
persons with disabilities.
New York University.
Date: Setp. 12, 2011
Faculty Positions in Operations Management
New York University
Leonard N. Stern School of Business
Department of Information, Operations and Management
Sciences
The Operations Management Group in the Department of
Information, Operations & Management Sciences at the
Stern School of Business, New York University, invites
applications for tenure-track, tenured and visiting
faculty positions starting in the 2012-2013 academic
year. Appointments at all levels will be considered
(assistant, associate and full professor).
Operations Management is a multidisciplinary program at
the Stern School. Ideal candidates will have
boundary-spanning interests across fields that have
significant interfaces with Operations, such as
Information Systems, Statistics, Economics, Finance,
Marketing, Strategy and Technology Management. The OM
faculty at NYU Stern have diverse interests and
expertise, and share a strong commitment to analytical
and field-based research relating to Operations
Management.
The candidate should demonstrate a strong competence in
research and an interest in teaching Operations
Management, and Decision Models or Statistics courses
at undergraduate and graduate levels. A candidate
should have a Ph.D. or be assured of its completion
within one year. Experience in classroom teaching is
highly desirable. Candidates with significant
experience in teaching may also be considered for a
one-year contract appointment as visiting faculty at
the assistant, associate or full professor level.
The deadline to submit all application materials is
November 22, 2011. To apply, please go to Stern’s New
Faculty Application system at
http://newapplicant.stern.nyu.edu/applicant/login.asp.
A number of NYU Stern faculty will be available to meet
with prospective applicants at the November 13-16,
2011, INFORMS annual meeting in Charlotte, North
Carolina. To express an interest in a meeting at
INFORMS, please contact Ms. Danielle Benzaken
(dbenzake@stern.nyu.edu) via email by October 25, 2011.
Interested individuals attending the November
conference are encouraged to submit a curriculum vitae,
a research abstract, and any supporting materials by
October 25, 2011, to Stern’s online application system
at
http://newapplicant.stern.nyu.edu/applicant/login.asp.
For information about the Operations Management program
at the Leonard N. Stern School of Business, visit our
website at http://w4.stern.nyu.edu/ioms/.
New York University is an Affirmative Action/Equal
Opportunity Institution.
University of Alberta
Date: September 8, 2011
University of Alberta
Department of Mathematical and Statistical Sciences
Assistant Professor - Applied Mathematics
Competition No. - A113315000
Closing Date - Will remain open until filled.
The Department of Mathematical and Statistical Sciences at the University of Alberta invites applications for a tenure-track
position in Applied Mathematics at the Assistant Professor level. An appointment at a higher level may be possible under
exceptional circumstances. The Department offers an excellent research environment with a normal teaching load of two-and-a-half
courses per year.
The successful candidate will establish his/her own research program, supervise graduate students and teach at both graduate and
undergraduate levels. Applicants will have a PhD or international equivalent, demonstrated accomplishments and outstanding promise
in research as well as a strong commitment to graduate and undergraduate teaching. Preferential consideration will be given to
applicants showing clear potential to complement and extend the Department's current strengths in Applied Mathematics.
The University of Alberta has one of the leading Mathematics Departments in Canada, with strong connections to other mathematical
institutes, such as the Pacific Institute for the Mathematical Sciences (PIMS), Mathematics of Information Technology and Complex
Systems (MITACS), the Mathematical Sciences Research Institute (MSRI), and the Banff International Research Station (BIRS). For
more information about the Department, please visit www.math.ualberta.ca.
Applicants should submit their curriculum vitae, a research statement, teaching profile outlining experience and interests, and at
least three confidential letters of reference. Review of applications will begin November 10, 2011, however the competition will
remain open until filled. Early applications are encouraged.
Interested applicants may apply online at: http://www.careers.ualberta.ca/Competition/A113315000
Arturo Pianzola, Chair
Mathematical and Statistical Sciences
632 Central Academic Building
University of Alberta
Edmonton, AB T6G 2G1
All qualified candidates are encouraged to apply; however, Canadians and permanent residents will be given priority. The University
of Alberta hires on the basis of merit. We are committed to the principle of equity in employment. We welcome diversity and
encourage applications from all qualified women and men, including persons with disabilities, members of visible minorities, and
Aboriginal persons.
Stanford University
Date: Sept. 2, 2011
STANFORD UNIVERSITY
GRADUATE SCHOOL OF BUSINESS
Faculty Positions in Operations, Information and
Technology
The Operations, Information and Technology (OIT) area
at the Graduate School of Business, Stanford
University, is seeking qualified applicants for
full-time, tenure-track positions, starting in the
2012-2013 academic year. All ranks and relevant
disciplines will be considered. Applicants are
considered in all areas of Operations, Information and
Technology (OIT) that are broadly defined to include
the analytical and empirical study of technological
systems, in which technology, people, and markets
interact. It thus includes operations, information
systems/technology, and management of technology.
Applicants are expected to have rigorous training in
management science, engineering, computer science,
economics, and/or statistical modeling methodologies.
The appointed will be expected to do innovative
research in the OIT field, to participate in the
school's PhD program and to teach both required and
elective courses in the MBA program. Junior applicants
should have or expect to complete a PhD by September 1,
2012.
Applicants are strongly encouraged to submit their
applications electronically by visiting the web site
http://www.gsb.stanford.edu/recruiting and uploading
their curriculum vitae, research papers and
publications, and teaching evaluations, if applicable,
on that site. Alternatively, all materials may be sent
by e-mail to faculty_recruiter@gsb.stanford.edu, or by
postal mail (non-returnable) to Office of Faculty
Recruiting, Graduate School of Business, Stanford
University, 655 Knight Way Way, Stanford, CA
94305-7278. However, submissions via e-mail and postal
mail can take 4-6 weeks for processing. For an
application to be considered complete, each applicant
must have three letters of recommendation emailed to
the preceding email address, or sent via postal mail.
The application deadline is November 15, 2011.
Stanford University is an equal opportunity employer
and is committed to increasing the diversity of its
faculty. It welcomes nominations of and applications
from women and members of minority groups, as well as
others who would bring additional dimensions of
diversity to the University's research, teaching and
clinical missions.
University of Western Ontario
Date: August 23, 2011
The Richard Ivey School of Business seeks candidates
for a tenure-track
Assistant Professor, tenured Associate Professor or
Professor position in the Management Science teaching
group. This position is available as of July 2012.
The successful candidate will demonstrate a strong
commitment to the practice of management in both
research and teaching and will have a Ph.D. (or
equivalent) in MS/OR, statistics or a closely related
field.
Ability to teach the core HBA and MBA management
science and statistics
course (including data analysis, excel modeling and
management science) is essential. Ability to offer
elective courses is highly desired.
The candidate's research should have strong potential.
The Management
Science group supports research in all applied areas of
management
science. The School supports high quality
managerially-oriented research targeted at top tier
academic journals in all management disciplines. The
ideal candidate will contribute to the group's research
focus, as well as to one of the school's four
cross-enterprise centres
(http://www.ivey.ca/cel/centres.htm).
The Richard Ivey School of Business is Canada's premier
business school
and is recognized worldwide for the quality of its
management education
and research. The School's major activities include: a
highly regarded
MBA program and undergraduate program; a well
established doctoral program active in most major
areas of management; as well as an expanding portfolio
of programs for executives, including an expanding
Executive MBA delivered in Canada and Hong Kong. The
School is internationally oriented in terms of
curricula, research, faculty, and student exchanges.
This position is subject to budget approval. Applicants
should have fluent written and oral communication
skills in English. All qualified candidates are
encouraged to apply; however, Canadian citizens and
permanent residents will be given priority. The Richard
Ivey School of Business and The University of Western
Ontario are committed to employment equity and welcome
applications from all qualified women and men,
including visible minorities, aboriginal people and
persons with disabilities.
Submission deadline is November 30, 2011, although
applications will be
accepted until the position has been filled.
For information on how to apply, please visit our
website at
www.ivey.uwo.ca/faculty/Career_Opps.htm.
University of Ulm, Germany
date: August 22, 2011
Announcement of PostDoc-position
Within in the DFG (German Science Foundation) Research
Training Group (Graduiertenkolleg)
Modeling, Analysis and Simulation in Economic
Mathematics“ at the Faculty of Mathematics
and Economics of the University of Ulm there is
1 Postdoctorial Position (E13)
available for two years starting December, 15th 2011 or
later.
The scope of the research training group is the
investigation of economic questions by means of
mathematical modeling, analysis and simulation. These
questions are developed in cooperation
with partners from outside the University and arise
from the following areas:
1. Evaluation of complex financial products
2. Risk analysis und management
3. Optimal Strategies
4. Econometric analysis und strategies
5. Knowledge discovery and data mining
To solve such problems, the scholarship holders will
work in the following mathematical disciplines:
1. Stochastical models, their analysis and
simulation
2. Statistical inference und data analysis
3. Stochastical control and optimization
4. Partial differential equations and functional
analysis
5. Financial mathematical modeling and analysis
6. Numerical analysis and simulation
7. Methods in the development and quality management of
software
Further information is found on:
http://www.uni-ulm.de/einrichtungen/gradkoll1100
The University of Ulm is committed to increase the
share of women in research and teaching
positions and therefore explicitely encourages female
scientists to apply.
Doctors of mathematical based courses of studies are
asked to send their significant application
documents (copies of certificates, CV, photo) up to
September 30th 2011 to the speaker:
Prof. Dr. Karsten Urban
University of Ulm
Institut for Numerical Analysis
Helmholtzstrasse 18
89069 Ulm
Phone: +49-731-502-3535
Fax: +49-731-502-3548
email: petra.hildebrand@uni-ulm.de
Please note the reference number 98 on the envelope.
Full-time positions are basically divisible.
Physically disabled applicants receive favourable
consideration in the event of equal qualification.
The recruitment is carried out by the administration of
the University.
UNIVERSITY OF OTTAWA / UNIVERSITÉ D'OTTAWA
Date: August 18, 2011
UNIVERSITY OF OTTAWA / UNIVERSITÉ D'OTTAWA
Department of Mathematics and Statistics
Département de mathématiques et de statistique
With its strategic location at the heart of Canada's
capital, its broad variety of teaching and research
initiatives offered in the two official languages, the
cosmopolitan environment, and its national perspective,
the University of Ottawa is truly Canada's University.
The Department of Mathematics and Statistics of the
University of Ottawa invites applications to fill one
tenure-track position in statistics at the Assistant
level starting July 1, 2012. We are seeking a candidate
who has a proven track-record in research and teaching
at both the undergraduate and graduate level, and will
be willing and able to supervise graduate students upon
arrival. Preference will be given to bilingual
candidates.
Conditions of employment are set by a collective
agreement. Information about the department can be
found at http://www.mathstat.uottawa.ca/
Applicants should forward a curriculum vitae, provide a
research plan, and arrange for four confidential
letters of recommendation, with one addressing
teaching, through the AMS Mathjobs web site,
https://www.mathjobs.org/. Applicants are also
encouraged to include copies of up to three of their
most significant publications. The closing date for
receipt of applications is November 15, 2011 or until
the position is filled.
All qualified candidates are encouraged to apply;
however, Canadians and permanent residents will be
given priority. Equity is a University of Ottawa
policy; women, aboriginal peoples, members of visible
minorities and persons with disabilities are encouraged
to apply.
The University of Ottawa is justly proud of its
150-year tradition of bilingualism. Through its Second
Language Institute, the University provides training to
staff members and to their spouses in their second
official language.
Dalhousie
University, Halifax, Canada.
Date: August 16, 2011.
The Department of Industrial Engineering at Dalhousie
University invites
applications for a 3-year limited term position at the
Assistant Professor
level. See Dalhousie University website for more
information.
Kimberly-Clark Corporation, Latin American Operations
Date: July 14, 2011.
Kimberly-Clark Corporation, Latin American Operations,
invites applications for Operations Research Analysts
and Specialists. The selected applicant will be member
of the Strategic Operations Research Team (SORT). The
candidate should have strong analytical skills, and
leadership qualities. A Masters or Ph.D. degree in
Operations Research or related field is desired.
The SORT team is an internal consulting group that
supports the operation in Latin America, especially in
Supply Chain. The team also serves as a liaison between
Kimberly-Clark and top universities to conduct research
projects. In the past, SORT members have worked in
projects in the field of Facilities Design, Facilities
Location, Production Planning, Transportation and
Marketing Engineering. Kimberly-Clark is convinced that
Analytics is indeed a competing tool, and the SORT team
is currently receiving a lot of attention and support
from top Management in the Latin American Region. The
group has attained visibility outside the Company since
it was nominated as a finalist in the prestigious
Daniel H. Wagner Award.
Desired skills for this job include knowledge of an
optimization modeling language like OPL, Xpress or
Ampl; a simulation tool like Arena or Promodel; a
statistics package like R or SAS; at least some basic
database knowledge (SQL) and a general-purpose
programming language like Java or Visual Basic.
Command of the English language is required, as well as
either Spanish or Portuguese.
These positions will be available anywhere in Latin
America or the Caribbean, including Puerto Rico (except
Mexico). Latin American candidates graduated from top
American universities who are willing to return to
their native countries are particularly encouraged to
apply.
The specific position and compensation will depend on
the experience and formation of the candidate, and will
be very competitive for the specific country where the
candidate is hired. Interested candidates should send
their resumes to German.Riano@kcc.com.
Job opening at UPS in Atlanta GA
Date: June 30, 2011
Advanced Analytics Manager/Senior Analyst
Job Description: The Advanced Analytics Manager/Senior Analyst will work
in the Data Mining and Advanced Analytics competency
group building mathematical, statistical and decision
support models.
This Analyst will act as an internal consultant to
various managers in the formulation of business
decisions, action plans, and improved operations.
Consequently, the candidate must demonstrate a track
record of successful implementation of quantitative
applications to solve business problems. He/she must
have excellent communication skills and the ability to
interface with diverse groups.
Minimum Requirements:
-Candidate with PhD in Mathematics, Statistics or
Engineering is strongly preferred (experienced
candidate with Masters degree considered).
-Must have demonstrated a high proficiency with
statistical packages such as SAS, SPSS, Stata or
Minitab.
-Five years or more of job related post graduate
experience.
-Ability to program in at least 2 of the following:
Visual Basic, SQL, C++, Matlab, CPLEX
-Strong communication skills
Majors Preferred: Mathematics, Statistics, Engineering, Operations
Research
Degree Preferred: PhD
APPLY AT
https://ups.managehr.com/screening/professional/jobdetail.aspx?jobreqid=20885
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