
Henry
Lam
Department of Mathematics and Statistics
Boston University
111 Cummington Mall
Boston, MA 02215
Phone: 6173582394
Email: khlam (at) bu.edu

My research focuses on building computation tools to analyze decisions
and to manage risk under stochastic environment. The goal is to construct
methodologies that can handle complex dynamics, are modelrobust, and can
effectively incorporate data. Methodologically, I use a combination of Monte
Carlo methods, simulation optimization and statistics. Regarding applications,
I am broadly interested in engineering operations, service systems, and risk
management.
Teaching
·
MA570:
Stochastic Methods in Operations Research: Spring
2014
·
MA569:
Optimization Methods in Operations Research: Fall 2011  Fall
2012  Fall
2013
·
MA116:
Statistical Methods II: Spring 2012  Spring 2013  Spring
2014
·
MA881: Graduate
Seminar in Applied Probability: Fall 2011
Research Projects
Robust
Measurement of Stochastic Model Uncertainty
·
Robust
sensitivity analysis for stochastic systems, under minor revision in Mathematics of
Operations Research. INFORMS Junior
Faculty Interest Group (JFIG) Paper Competition 2012 Finalist.
·
Asymptotic
approximations of input model errors in steadystate estimation, with X. Chen, preprint.
·
A stochastic
optimization approach to assessing model uncertainty, with S. Ghosh, preprint.
Efficient
Monte Carlo Methods for Systems and Risk Management
·
Rareevent simulation for
manyserver queues, with J. Blanchet, Mathematics
of Operations Research, 39(4), 11421178, 2014. Honorable
Mention Prize in INFORMS George Nicholson Paper Competition 2010.
·
Efficient rareevent simulation for
perpetuities, with J. Blanchet and B. Zwart, Stochastic Processes and Their Applications,
122(10), 3361–3392, 2012.
Applied
Probability and Risk Analysis
·
Exact
asymptotics for infiniteserver queues. Preliminary version appeared in Proceedings of the 6th International
Conference on Queueing Theory and Network Applications 2011.
·
Information
dissemination via random walks in ddimensional space, with Z. Liu, M.
Mitzenmacher, X. Sun and Y. Wang, Proceedings
of the ACMSIAM Symposium on Discrete Algorithms (SODA) 2012. Full version.
·
ChernoffHoeffding
bounds for Markov chains: generalized and simplified, with K. M. Chung, Z. Liu
and M. Mitzenmacher, Proceedings of the
Symposium on Theoretical Aspects of Computer Science (STACS) 2012. Full version.
Data
Analysis and Statistical Learning
·
Adaptive
variance reduction algorithms for bid optimization, with G. Zervas, preprint.
Funding
·
National Security Agency (NSA) Young Investigator Grant. Title: “Design of Robust Methodologies
for Efficient Simulation and Sensitivity Analysis for Stochastic
Systems”. Amount: $39,983. Duration: September 2013September 2015. Role:
P.I.
·
National
Science Foundation (NSF) CMMIOR. Title: “A Sensitivity Approach to
Assessing Model Uncertainty for Stochastic Systems”. Amount: $224,947.
Duration: July 2014June 2017. Role: P.I.
·
National Science Foundation (NSF) CMMISES. Title: “Collaborative Research:
Modeling and Analyzing Extreme Risks in Insurance and Finance”. Amount:
$89,750. Duration: September 2014August 2017. Role: coPI (PI: Jose Blanchet,
coPI: Qihe Tang).
Students
Current
Ph.D. Students
·
Alexandrina Goeva
·
Clementine Mottet
·
Jerry Bai (Computer Science;
coadvise with Stan Sclaroff)
On
Thesis Defense Committee
·
Dan Ren
·
Wes Viles
·
Chong Liu
·
Wuyang Dai
(Electrical & Computer Engineering)
·
Jing Qian
(Electrical & Computer Engineering)
·
Yixi Shi
(Operations Research, Columbia University)
·
John Zhang
(Operations Research, Columbia University)
Undergraduate
Students
·
Guy Aridor
(UROP, joint with Rafik B. Hariri Institute for
Computing Summer Research Award)
Experience
Other
Teaching Experience
Teaching Fellow in Harvard
University, Cambridge, MA:
·
STAT104:
Introduction to Quantitative Methods, Fall 2006
·
STAT171:
Stochastic Processes, Spring 2007
·
STAT139/239:
Linear Models, Fall 2007
Industry
Experience
·
Citigroup
Global Markets and Banking, Equity Derivatives Trading, Hong Kong, Summer 2009
·
Lehman
Brothers, InvestmentLinked Insurance Structuring, Hong Kong, Summer 2008
·
Hewitt
Associate LLC, Pension and Compensation Statistical Analyst, Hong Kong, Summer
2005
·
Standard
Chartered Bank, Corporate Banking, Hong Kong, Summer
20012003
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