Henry Lam

Department of Mathematics and Statistics

Boston University

111 Cummington Street

Boston, MA 02215

Phone: 617-358-2394

Email: khlam (at) bu.edu

I am currently an Assistant Professor in the Department of Mathematics and Statistics in Boston University.

My research focuses on computational and analytical approximation in stochastic systems, including Monte Carlo methods, large deviations and diffusion approximation, and stochastic optimization. The goal is to aid decision-making in risk and operations management via sound mathematical analysis. I received my Ph.D. degree in statistics at Harvard University in 2011, under the supervision of Professor Jose Blanchet.

I am also affiliated with the Center for Information Systems and Engineering, and a Croucher scholar in Hong Kong.

My recent work and CV.

Papers

Working papers

Robust sensitivity analysis for stochastic systems, submitted. INFORMS Junior Faculty Interest Group (JFIG) Competition 2012 Finalist.

Iterative methods for robust estimation with bivariate model inputs, with S. Ghosh, submitted.

Robust dynamic pricing, with Z. Liu, submitted.

Two-parameter sample path large deviations for infinite server queues, with J. Blanchet and X. Chen, recommended for acceptance to Stochastic Systems.

Rare-event simulation for many-server queues, with J. Blanchet, recommended for acceptance to Mathematics of Operations Research. Honorable Mention Prize in INFORMS George Nicholson Paper Competition 2010.

A heavy traffic approach to modeling large life insurance portfolio, with J. Blanchet, to appear in Insurance Mathematics and Economics.

Why Steiner-tree algorithms work for community detection, with M. Chiang, Z. Liu and V. Poor, to appear in Journal of Machine Learning Research W & CP (AISTATS).

Exact asymptotics for infinite-server queues, preliminary version appeared in Proceedings of the 6th International Conference on Queueing Theory and Network Applications 2011.

Uniform large deviations for heavy-tailed single-server queues under heavy traffic, with J. Blanchet. Earlier version appeared in Chapter 2 of my Ph.D. thesis 2011.

Published papers and proceedings

Efficient rare-event simulation for perpetuities, with J. Blanchet and B. Zwart, Stochastic Processes and Their Applications, 122(10), 3361–3392, 2012.

Statistical platform to discern spatial and temporal coordination of endothelial sprouting, with W. Yuen, N. Du, D. Shvartsman, P. Arany, and D. Mooney, Integrated Biology, 4(3), 292-300. 2012.

Information dissemination via random walks in d-dimensional space, with Z. Liu, M. Mitzenmacher, X. Sun and Y. Wang, Proceedings of the ACM-SIAM Symposium on Discrete Algorithms (SODA) 2012, full version available at http://arxiv.org/pdf/1104.5268v2.pdf.

Chernoff-Hoeffding 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 available at http://arxiv.org/pdf/1201.0559v1.pdf.

State-dependent importance sampling for rare-event simulation: recent advances, with J. Blanchet, Surveys in Operations Research and Management Science, 17(1), 38-59, 2012. Shortened version appeared in Proceedings of the Winter Simulation Conference (WSC) 2011.

Efficient importance sampling with partial information, Proceedings of the Winter Simulation Conference (WSC) 2012.

Corrections to the Central Limit Theorem for heavy-tailed probability densities, with J. Blanchet, M. Z. Bazant and D. Burch, Journal of Theoretical Probability, 24(4), 895-927, 2011.

Importance sampling for actuarial cost analysis under a heavy traffic model, with J. Blanchet, Proceedings of the Winter Simulation Conference (WSC) 2011.

Rare-event simulation for a slotted time M/G/s model, with J. Blanchet and P. Glynn, Queueing Systems: Theory and Applications, 63, 33-57, 2009.

Experience

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

Course Instructor in Boston University, MA:

· MATH569: Optimization Methods in Operations Research, Fall 2011, 2012

· MATH881: Graduate Seminar in Applied Probability, Fall 2011

· MATH116: Statistical Methods II, Spring 2012, 2013

Industry Experience

· Citigroup Global Markets and Banking, Equity Derivatives Trading, Hong Kong, Summer 2009

· Lehman Brothers, Investment-Linked 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 2001-2003

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