David D. Yao is the Piyasombatkul Family Professor of Industrial Engineering and Operations Research at Columbia University, where he is the founding chair of the Financial and Business Analytics Center at Columbia Data Science Institute. Author/co-author of over 200 scientific publications, he is a principal investigator of over thirty grants and contractsfrom government agencies and industrial sources, and a holder of eight U.S. patents. Professor Yao's teaching and research interests are in operations research, applied probability and financial engineering, focusing on the analysis, design and control of stochastic systems, such as health care systems, communication networks, production systems and supply chains, and related resource control and risk management issues.
His honors and awards include the Presidential Young Investigator Award from the National Science Foundation, Guggenheim Fellowship from the John Simon Guggenheim Foundation, Franz Edelman Award from the Institute for Operations Research and Management Sciences, SIAM Outstanding Paper Prize from the Society for Industrial and Applied Mathematics, Outstanding Technical Achievement Award from IBM Research, Great Teacher Award from the Society of Columbia Graduates, and the IBM Faculty Award.
He is an IEEE Fellow, an INFORMS Fellow, and a member of the U.S. National Academy of Engineering. He currently serves on the Board of Mathematical Sciences and Analytics of the U.S. National Academies of Science, Engineering and Medicine.
Professor Mu-Fa Chen
School of Mathematical Sciences, Beijing Normal University
Mu-Fa Chen is a professor at Beijing Normal University, Beijing,China. His major interest is probability theory, especially Markov chains, Markov jump processes, and interacting particle systems. He has worked on several interacting fields of probability theory with other subjects including statistical physics, Riemannian geometry, spectral theory, harmonic analysis, computational mathematics, and optimization theory.
Chen’s awards include the co-recipient of the Ministry of Education's prize in Scientific Progress (the first grade) and the National Prize of Natural Sciences (the third grade) in 1999, jointed with Feng-Yu Wang. He also received the HO LEUNG HO LEE's prize for scientific and technological progress, 2009.
Chen is an elected member of the Chinese Academy of Science, fellow of the World Academy of Sciences, and fellow of the American Mathematical Society.
Professor Guy Latouche
Department of Informatics, Université Libre de Bruxelles, Belgium
Guy Latouche received the Ph.D. degree in Mathematics from the Université Libre de Bruxelles (ULB) in 1976. He has mostly taught classes on stochastic processes and their applications at ULB, and he has extensively visited colleagues abroad: at the University of Adelaide, Bellcore, Central South University, the University of Delaware, the University of Melbourne, the University of Pisa, and the Tokyo Institute of Technology.
His research activity includes various aspects of computational probability: he has participated in the development of matrix-analytic methods for the analysis of Markov models, with applications in queueing theory, telecommunication systems, fluid queues, branching processes and ruin theory. He has also shown a minor, but recurrent, interest for nearly completely decomposable systems.
He has co-authored three books, edited ten monographs, and has more than 100 scientific papers published in the refereed literature; he has successfully supervised 10 PhD students and been co-chair of the programme committee for several international conferences of high standing.
He has been Dean of the Facult Libre des Sciences at ULB.
Professor Zhisheng Niu
Department of Electronic Engineering, Tsinghua University, China
Zhisheng Niu graduated from Beijing Jiaotong University, China, in 1985, and got his M.E. and D.E. degrees from Toyohashi University of Technology, Japan, in 1989 and 1992, respectively. During 1992-94, he worked for Fujitsu Laboratories Ltd., Japan, and in 1994 joined with Tsinghua University, Beijing, China, where he is now a professor at the Department of Electronic Engineering. He was a Visiting Researcher at National Institute of Information and Communication Technologies (NICT), Japan, during Oct. 1995 to Feb. 1996, and a Visiting Senior Researcher at Hitachi Central Research Laboratory, Japan, from Feb. 1997 to Feb. 1998. His major research interests include queueing theory, traffic engineering, mobile Internet, radio resource management of wireless networks, and green communication and networks.
Dr. Niu has been an active volunteer for various academic societies, including Director for Asia-Pacific Board (2008-09), Director for Conference Publications (2010-11), and Chair of Emerging Technology Committee (2014-15) of IEEE Communication Society. He has served as associate editor-in-chief of IEEE/CIC joint publication China Communications (2012-16) and editor of IEEE Wireless Communication (2009-13), and currently serving as area editor of IEEE Trans. Green Commun. & Networks. He also served as a distinguished lecturer (2012-15) of IEEE Communication Society and a distinguished lecturer (2014-16) of IEEE Vehicular Technologies Society. Dr. Niu received the Outstanding Young Researcher Award from Natural Science Foundation of China in 2009 and the Best Paper Award from IEEE Communication Society Asia-Pacific Board in 2013. He was the Chief Scientist of the National Basic Research Program (so called "973 Project") of China on "Fundamental Research on the Energy and Resource Optimized Hyper-Cellular Mobile Communication System" (2012-2016), which is the first national project on green communications in China.
He is a fellow of both IEEE and IEICE.
Keynote Speech 1: A network model for financial systemic risk
Speaker: David D. Yao, Columbia University, New York, USA.
Abstract: We study default and contagion dynamics in a financial system modeled as a high dimensional dynamic complementarity problem, also known as Skorohod problem. An algorithm that solves the Skorohod problem will generate all possible default times over any given horizon, along with the evolution dynamics of each bank's asset values, liabilities and payment flows. The results inform the development of new risk measures for default clustering and contagion concentration.
It is known that the contagion effect during a financial crisis materializes through two mutually enhancing channels of interconnectedness. The first one is the direct connection among the banks via their respective on- and off-balance-sheets activities. The second channel for contagion arises from the banks' interconnectedness indirectly through the market. Fire sales at a distressed bank to raise cash to meet debt obligations will create a serious negative externality for the rest of the system. The last financial crisis (of 2007-09) shows that the two channels of contagion may form a vicious circle to reinforce each other leading to systemic catastrophe. Our dynamic network model clearly brings out the prominence of the market effect, which makes the financial network qualitatively different from say, social networks --- the market can spread contagion much faster and wider than the diffusion through neighboring nodes that is typical in social networks.
Keynote Speech 2: Trilogy on computing maximal eigenpair
Speaker: Mu-Fa Chen, Beijing Normal University, China
Abstract: The eigenpair here means the twins of eigenvalue and corresponding eigenvector. The talk introduces the three steps of our study on computing the maximal eigenpair. In the first two steps, we construct efficient initials for a known but dangerous algorithm, first for tridiagonal matrices and then for the irreducible matrices, having nonnegative off-diagonal elements. In the third step, we present two global algorithms which are still efficient and work well for a quite large class of matrices, even complex for instance.
Keynote Speech 3: A matrix-analytic approach to Markov-modulated Brownian motion
Speaker: Guy Latouche, Université Libre de Bruxelles, Belgium
Abstract: Ramaswami has shown in 2013 that standard Brownian motion is the limit of a family of two-phase fluid queues with increasing rates of transition from one phase to the other. This has motivated us to investigate Markov-modulated Brownian motions (MMBMs) from a matrix-analytic point of view, starting from a Markov-regenerative approach and using fast-switching fluid queues as a tool to determine the required characteristics.
Fluid queues, are a particular family of MMBMs characterized by the fact that the evolution is piecewise linear without Brownian noise. A key consequence is that stochastic fluid queues are amenable to Kolmogorov-type analysis. We present here a summary of the idea behind the technique and of the results obtained so far.
Keynote Speech 4: A two-threshold optimal sleeping policy for a single server queue with bursty traffic
Speaker: Zhisheng Niu, Tsinghua University, Beijing, China
Abstract: Making idle servers sleep is considered to be a key approach to reduce energy consumption of various information and communication systems. Optimal sleeping policies for a single server have been derived only for non-bursty traffic in prior work. In this talk, for the first time, we study the optimal sleeping policy for a single server queue with bursty traffic. Key factors including switch-over energy consumption as well as delay performance are considered. We formulate the problem as a POMDP (partially observable Markov decision process), and show that it can be solved by observing the time elapsed since the last arrival (TESLA). The optimal sleeping policy is shown to be a wait-and-see two-threshold policy and the simulation results show the effectiveness of the policy. Numerical results also show that traffic burstiness can help to enhance the system performance in terms of weighted sum of the energy-efficiency and delay.
Academy of Mathematics and Systems Science, Chinese Academy of Sciences