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Lehigh ISE Spencer C. Schantz Distinguished Lecture - Public Lecture

Speaker: Jose Blanchet

Title: Professor of Management Science and Engineering at Stanford University

Lecture: On Highly Parameterized Controls and Fusion of Generative Diffusions

Location: Perella Auditorium, Room 184, Rauch Business Center, 621 Taylor Street, Bethlehem, PA

Abstract:

We discuss two recent projects which touch on first order methods in connection with two very active research areas in operations research and artificial intelligence. 

The first one involves the design of efficient gradient estimators for dynamic optimization problems based on highly parameterized controls. The motivation is the application of stochastic gradient descent for the numerical solution of stochastic control problems using neural networks. Our estimator has at least a linear speed-up in the dimension of the parameter space compared to infinitesimal perturbation analysis and it can be applied on situations in which the likelihood ratio estimator may not be applicable (e.g. If the diffusion matrix depends on the parameter of interest). We show very substantial gains in high-dimensional control problems based on experiments.  
 
The second result involves the development of an efficient approach for merging diffusion-based generative models. We assume the existence of several auxiliary models that have been trained with abundance of data. These models are assumed to contain features that, combined, can be useful to enhance the training of a generative diffusion model for a target distribution (with limited data). We merge the models using a Kullback-Leibler (KL) Barycenter given set of weights representing the importance of the auxiliaries. In turn, we optimize the weights to improve the overall performance of the fused model in order to fit the target. While the double optimization problem (KL Barycenter and optimizing over weights) is challenging to solve, we show that diffusion based generative modeling significantly reduce the complexity of the overall optimization problem, making the approach practical. This approach also provides a mechanistic interpretation of popular fine-tuning approaches used in the literature.
 
The results are based on two papers, the first one (on gradient estimators) with Peter Glynn and Shengbo Wang, and the second one (on fusion) with Hao Liu, Nian Si, and Tony Ye.
 

Bio:

Jose Blanchet is a Professor of Management Science and Engineering (MS&E) at Stanford University. Before joining MS&E, he was a professor at Columbia University in the Departments of Industrial Engineering and Operations Research, and Statistics (2008-2017). Prior to that, he was a professor in the Statistics Department at Harvard University (2004-2008). In 2010, he received the Presidential Early Career Award for Scientists and Engineers. Jose is the co-winner of the 2010 Erlang Prize, awarded every two years by the INFORMS Applied Probability Society. Several of his papers have been recognized by the biennial Best Publication Award given by the INFORMS Applied Probability Society (2007, 2023). His work has also received the Outstanding Simulation Publication Award from the INFORMS Simulation Society (2021) and other best publication awards from the Operations Management (2019) and Revenue Management Societies (2021) at INFORMS. Previously, he worked as an analyst at Protego Financial Advisors, a leading investment bank in Mexico. His research interests include Applied Probability, Stochastic Optimization, and Monte Carlo methods. He is the Area Editor of Stochastic Models in Mathematics of Operations Research and has served on the editorial boards of Advances in Applied Probability, Bernoulli, Extremes, Insurance: Mathematics and Economics, Journal of Applied Probability, Queueing Systems: Theory and Applications, and Stochastic Systems, among others.

Spencer C. Schantz Distinguished Lecture Series: This lecture series is endowed in the name of the late Spencer C. Schantz, who graduated from Lehigh in 1955 with a B.S. in Industrial Engineering. Following progressive responsibilities with several electrical manufacturing companies, in 1969 he founded U.S. Controls Corporation and became its first CEO and President. The Spencer C. Schantz Distinguished Lecture Series was established by his wife Jerelyn as a valuable educational experience for faculty, students, and friends of Lehigh’s Industrial and Systems Engineering department.

 

 

Past Schantz Lectures:

 

Christine Burke
Morgan Stanley
Thursday, May 3, 2024
"Resilience, the Art of Surviving and Thriving" 
 
Robert M. Freund
MIT Sloan School of Management
Thursday, April 11, 2024
"Level-Set Geometry and the Performance of Restarted-PDHG for Conic LP" 
 
Julie Ivy
North Carolina State University
Friday, August 18, 2023
"Learning from Data for Decision Making in Health and Humanitarian Logisitics: Insights and Challenges in a World with Increasing AI" (ISE-COH-HSE Public)
 
Anna Grassellino
Fermilab, National Quantum Information Science SQMS Center
Monday, July 31, 2023
"Enabling Scientific Discovery in Quantum Information Science at the Superconducting Quantum Materials and Systems (SQMS) Center" (Public)
 
Paul Camuti
Trane Technologies plc
Thursday, May 4, 2023
"A Purpose Driven Innovation System, Delivery ESG Impact" (Public)
 
Lorenz (Larry) T. Biegler
Carnegie Mellon University
Thursday, April 27, 2023
"Optimization Strategies for Integrated Process Design and Operations" (Technical)
 
Michael Carter
University of Toronto; Founding Director of the Center for Healthcare Engineering
Thursday, November 3, 2022
"How Can We Make a Real Difference in Healthcare? The Challenges of Implementation" (ISE-COH-HSE Public)
 
Stephen J. Wright
University of Wisconsin-Madison
Thursday, July 28, 2022
Perella Auditorium, Rauch Business Center
"Primal-Dual Optimization Methods for Robust Machine Learning and Generalized Linear Programming" (Technical)
 
Tais O'Dwyer
Microsoft
Thursday, May 12, 2022
Mohler Laboratory, Room 355
"Technology as the Competitive Differentiator in Financial Services" (postponed)
 
Michael Pinedo
New York University
Wednesday, May 4, 2022
Mohler Laboratory, Room 453
"Scheduling Applications in Industry - Steelmaking and Microelectronics" (Technical)
 
David Burdakin
President, JBT Aero Tech
Thursday, October 21, 2021
Wood Dining Room, Iacocca Hall
"Great Businesses...How do they do it?" (Public)
 
Jorge Nocedal
Northwestern University
Tuesday, September 14, 2021
Mohler Laboratory, Room 453
"Constrained Optimization in the Presence of Noise" (Technical)
 
Yurii Nesterov
University of Louvain
Monday, August 2, 2021
Zoom Presentation
"Inexact High-Order Proximal-Point Methods with Auxiliary Search Procedure" (Technical)
 
Stacey Cunningham '96
President, NYSE Group
Thursday, May 2, 2019
Neville Auditorium
"Engineering the 21st Century Stock Exchange" (Public)
 
Dr. R. Tyrrell Rockafellar
Professor Emeritus, University of Washington
Wednesday, April 24, 2019
Mohler Laboratory, Room 451
"Risk and Reliability in Optimization Under Uncertainty" (Technical)
 
Mikell Groover
Professor Emeritus, Lehigh University
Thursday, May 3, 2018
Wood Dining Room, Iacocca Hall
“The Evolution of Lehigh University’s Industrial and Systems Engineering Department” (Public)
 
William J. Cook
University of Waterloo
Wednesday, November 29, 2017
Sinclair Laboratory Auditorium
“In Pursuit of the Traveling Salesman: Mathematics at the Limits of Computation” (Public)
 
William J. Cook
University of Waterloo
Thursday, November 30, 2017
Mohler Lab, Room 453
“Guiding the Cutting-Plane Method” (Technical)
 
Sunil A. Misser '88G
CEO, Accountability
Thursday, April 20, 2017
Sinclair Auditorium
“Responsible Business – Rebuilding Trust and Creating Value” (Public)
 
Alain Haurie
Professor Emeritus, University of Geneva, Switzerland
Tuesday, April 18, 2017
Mohler Lab, Room 453
“Modeling Energy Transition to Sustainability in a Smart Grid/Smart City Environment” (Technical)
 
Richard R. Verma '90
U.S. Ambassador to India
Thursday, April 28, 2016
Neville Hall, Room 001
“Technology, Innovation, and American Diplomacy in the 21st Century” (Public)
 
Dr. Ronald G. Askin '75
Professor of Industrial Engineering and Director of the School of Computing, Informatics, and Decision Systems Engineering
Wednesday, April 27, 2016
Mohler Lab, Room 451
"Industrial Engineering: Key Principles and Paradigms Developed to Date and the Opportunities and Challenges for the Future" (Technical)
 
Dr. Robert Bixby
Noah Harding Professor Emeritus of Computational and Applied Mathematics at Rice University and visiting Professor in the Department of Mathematics at Universitat Erlangen
Thursday, September 24, 2015
Sinclair Auditorium
“Computational Progress in Linear and Mixed Integer Programming” (Public)
 
Dr. Radhika Kulkarni
Vice President of Advanced Analytics R&D at SAS Institute Inc
Tuesday, September 30, 2014
Sinclair Auditorium
"Succeeding with Business Analytics - Key Challenges" (Public)
"Big Data and Big Analytics - Opportunities for Interdisciplinary Innovation" (Technical)
 
Brenda Dietrich
IBM Fellow and VP, IBM Watson Group
Thursday, April 17, 2014
Lewis Laboratory, Room 270
"Cognitive Computing: Behind and Beyond Jeopardy!" (Public)
"Business Analytics: Making Operations Research Ubiquitous" (Technical)
 
Ralph E. Gomory
Research Professor, New York University
Thursday, April 18, 2013
Sinclair Auditorium
"New Goals for American Corporations" (Public)
"Problems Create Mathematics" (Technical)
 
Arthur F. Veinott Jr. ’56
Professor Emeritus of Operations Research, Stanford University
Thursday, April 19, 2012
Neville Auditorium 001
"Optimal and Near Optimal Supply Policy for Deterministic Multiperiod Supply Networks" (Public)
"Polytime Computation of Strong and n-Present-Value Optimal Policies in Markov Decision Chains" (Technical)
 
Leon F. McGinnis, Ph.D.
Eugene C. Gwaltney Chair in Manufacturing Systems and Professor, Georgia Institute of Technology
Thursday, April 28, 2011
Sinclair Auditorium
"Industrial Engineering - Quo Vadis? One Man’s Idiosyncratic View of His Profession" (Public)
"Model Based Industrial Engineering" (Technical)
 
Irwin Young ’50
DuArt Films Laboratories
Friday, March 18, 2011
Sinclair Auditorium
"How an Engineering Education Affected My Career" (Public)
 
Dr. Stephen P. Boyd
Stanford University
Tuesday, December 7, 2010
Perella Auditorium, Rauch Business Center
"The Role of Embedded Optimization in Smart Systems and Products" (Public)
"Real-Time Embedded Convex Optimization" (Technical)
 
Dr. John T. Betts
Boeing Company
Friday, April 16, 2010
Perella Auditorium, Rauch Business Center
"What Does a Rocket Scientist Really Do?" (Public)
"Algorithmic Choices When Solving an Optimal Control Problem" (Technical)
 
Dr. Cynthia Barnhart
Massachusetts Institute of Technology (MIT)
Friday, August 8, 2008
Perella Auditorium, Rauch Business Center
“Unraveling the Mysteries of the Airline Industry"