Laurent El Ghaoui
Research Areas
- Control, Intelligent Systems, and Robotics (CIR)
- Robust and convex optimization; Decision-making under uncertainty; Statistical estimation; Air traffic management; Bioinformatics; Finance
Research Centers
Biography
I graduated from Ecole Polytechnique (Palaiseau, France) in 1985, and obtained my Ph.D. in Aeronautics and Astronautics at Stanford University in March 1990. I was a faculty member at the Ecole Nationale Supérieure de Techniques Avancées (Paris, France) from 1992 until 1999 and held part-time teaching appointments at Ecole Polytechnique in the Applied Mathematics Department and at Université de Paris-I (La Sorbonne) in the Mathematics in Economy Program. In 1998, I was awarded the Bronze Medal for Engineering Sciences, from the Centre National de la Recherche Scientifique, France. I joined the UC Berkeley faculty in April 1999 as an Acting Associate Professor, and obtained my tenure in May 2001. I was on leave from UC from July 2003 to 2006 to work for SAC Capital Management, a hedge fund based in New York and Connecticut.
Education
- 1990, Ph.D., Aeronautics and Astronautics, Stanford
- 1985, B.S., Mathematics, Ecole Polytechnique
Selected Publications
- G. Negiar, G. Dresdner, A. Y. Tsai, L. El Ghaoui, F. Locatello, and F. Pedregosa, "Stochastic Frank-Wolfe for Constrained Finite-Sum Minimization," 2020.
- L. El Ghaoui, G. Li, V. Duong, V. Pham, A. Srivastava, and K. Bhaduri, "Sparse Machine Learning Methods for Understanding Large Text Corpora," in Proc.\ Conference on Intelligent Data Understanding, 2011.
- A. d'Aspremont and L. El Ghaoui, "A semidefinite relaxation for air traffic flow scheduling," in Proc. 2007 IEEE Intl. Conf. on Research, Innovation and Vision for the Future (RIVF '07): Information and Communication Technologies, Piscataway, NJ: IEEE Press, 2007, pp. 103-107.
- O. Banerjee, L. El Ghaoui, A. d'Aspremont, and G. Natsoulis, "Convex Optimization Techniques for Fitting Sparse Gaussian Graphical Models," in ICML 2006, 2006, pp. 12--18.
- G. C. Calafiore and L. El Ghaoui, "On distributionally robust chance-constrained linear programs," J. Optimization Theory and Applications, vol. 130, no. 1, pp. 1-22, July 2006.
- A. d'Aspremonte and L. El Ghaoui, "Static arbitrage bounds on basket option prices," Mathematical Programming, Series A, vol. 106, no. 3, pp. 467-489, May 2006.
- G. Natsoulis, L. El Ghaoui, G. R. G. Lanckriet, A. M. Tolley, F. Leroy, S. Dunlea, B. P. Eynon, C. I. Pearson, S. Tugendreich, and K. Jarnagin, "Classification of a large microarray data set: Algorithm comparison and analysis of drug signatures," Genome Research, vol. 15, no. 5, pp. 724-736, Dec. 2005.
- A. Nilim and L. El Ghaoui, "Robust control of Markov decision processes with uncertain transition matrices," Operations Research, vol. 53, no. 5, pp. 780-798, Sep. 2005.
- C. Bhattacharyya, L. R. Grate, M. Jordan, and L. El Ghaoui, "Robust sparse hyperplane classifiers: Application to uncertain molecular profiling data," J. Computational Biology, vol. 11, no. 6, pp. 1073-1089, Dec. 2004.
- A. Abate and L. El Ghaoui, "Robust model predictive control through adjustable variables: An application to path planning," in Proc. 43rd IEEE Conf. on Decision and Control (CDC '04), Vol. 3, Piscataway, NJ: IEEE Press, 2004, pp. 2485-2490.
- A. Nilim and L. El Ghaoui, "Algorithms for air traffic flow management under stochastic environments," in Proc. 2004 American Control Conf., Vol. 4, Piscataway, NJ: IEEE Press, 2004, pp. 3429-3434.
- G. Calafiore and L. El Ghaoui, "Ellipsoidal bounds for uncertain linear equations and dynamical systems," Automatica, vol. 40, no. 5, pp. 773-787, May 2004.
- L. El Ghaoui, M. Oks, and F. Oustry, "Worst-case value-at-risk and robust portfolio optimization: A conic programming approach," Operations Research, vol. 51, no. 4, pp. 543-556, July 2003.
- G. R. G. Lanckriet, L. El Ghaoui, C. Bhattacharyya, and M. Jordan, "A robust minimax approach to classification," The J. of Machine Learning, vol. 3, pp. 555-582, March 2003.
- A. Nilim, L. El Ghaoui, and V. Duong, "Robust dynamic routing of aircraft under uncertainty," in Proc. 21st Digital Avionics Systems Conf. (DASC 2002), Vol. 1, Piscataway, NJ: IEEE Press, 2002, pp. 1A5-1-13.
- L. El Ghaoui and G. Calafiore, "Robust filtering for discrete-time systems with bounded noise and parametric uncertainty," IEEE Trans. Automatic Control, vol. 46, no. 7, pp. 1084-1089, July 2001.
- L. Doherty, K. Pister, and L. El Ghaoui, "Convex position estimation in wireless sensor networks," in Proc. 20th Annual Joint Conf. of the IEEE Computer and Communications Society (INFOCOM 2001), Vol. 3, Piscataway, NJ: IEEE Press, 2001, pp. 1655-1663.
- L. Schenato, W. Wu, L. El Ghaoui, and K. Pister, "Process variation analysis for MEMS design," in Proc. SPIE: Smart Electronics and MEMS II, D. Abbott, V. K. Varadan, and K. F. Boehringer, Eds., Vol. 4236, Bellingham, WA: SPIE, 2001, pp. 264-271.
- J. Chou, S. S. Pradhan, L. El Ghaoui, and K. Ramchandran, "Watermarking based on duality with distributed source coding and robust optimization principles," in Proc. 2000 Intl. Conf. on Image Processing, Vol. 1, Piscataway, NJ: IEEE Press, 2000, pp. 585-588.
- J. C. Chou, S. S. Pradhan, L. El Ghaoui, and K. Ramchandran, "Robust optimization solution to the data hiding problem using distributed source coding principles," in Proc. SPIE: Image and Video Communications and Processing 2000, B. Vasudev, T. R. Hsing, A. G. Tescher, and R. L. Stevenson, Eds., Vol. 3974, Bellingham, WA: SPIE, 2000, pp. 270-279.
