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.