L. EL GHAOUI'S PUBLICATIONS

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Recent Publications & Talks

• G. Calafiore, L. El Ghaoui, U. Topcu.  Parameter Estimation with Expected and Residual-at-Risk Criteria.  To appear in Systems and Control Letters, 2009.

• A. d'Aspremont, F. Bach and L. El Ghaoui. Optimal Solutions for Sparse Principal Component Analysis, Journal of Machine Learning Research., 9(Jul):1269--1294, 2008. [.pdf] (Preprint on ArXiv here.)

• Onureena Banerjee, Laurent El Ghaoui, Alexandre d'Aspremont.  Model Selection Through Sparse Maximum Likelihood Estimation for Multivariate Gaussian or Binary Data. Journal of Machine Learning Research 9 (2008) 485-516. [.pdf]

• L. El Ghaoui.  A convex upper bound on the log-partition function for binary graphical models.  Technical report UC/EECS-2007-146, December 2007. [.pdf]

• A. d'Aspremont, L. El Ghaoui, M. Jordan, and G. Lanckriet. A Direct Formulation of Sparse PCA using Semidefinite Programming.  SIAM Review, vol. 49, no. 3, 2007. [.pdf] (This paper just won the SIAG Optimization Prize.)

• Alexandre d'Aspremont, Onureena Banerjee, and Laurent El Ghaoui.  First-Order Methods for Sparse Covariance Selection.   SIAM. J. Matrix Anal. & Appl. 30, 56 (2008). [.pdf]

• G. C. Calafiore and L. El Ghaoui. On Distributionally Robust Chance-Constrained Linear Programs. Jour. of Optimization Theory and Applications, vol. 130, no. 1, July 2006. [.pdf]

Talks & Tutorial Talks

• Statistical Analysis of Online News, talk given at the Information Systems Laboratory Colloquium, Stanford, November 2007.

• The curse of uncertainty in dynamic programming---and how to fix it, talk given at the LIDS Colloquium at MIT, November 2004 (a similar talk was given at the 4-th Columbia Optimization Day).

• Robust option pricing, talk given at the IMA workshop on Robust Optimization and Semidefinite Programming, March 12-19, 2003.

• A tutorial on robust optimization (.ppt or .pdf), given at the IMA, March 11, 2003. A similar talk was given at MOPTA '03 (.ppt).

• Convex optimization in classification problems. Talk given at New trends in Optimization and Computational algorithms (NTOC 2001), December 9-13, 2001, Kyoto, Japan.  For another version of this talk, given at MIT's Operations Research Center Seminar, click here.

• Semidefinite Programming and Relatives. Tutorial talk given at the 6th Kernel Workshop, Neural Information Processing Systems Conference, Whistler, Canada, December 14, 2002.

Selected journal articles

• Onureena Banerjee, Laurent El Ghaoui, Alexandre d'Aspremont.  Model Selection Through Sparse Maximum Likelihood Estimation for Multivariate Gaussian or Binary Data. Journal of Machine Learning Research 9 (2008) 485-516. [.pdf]

• A. d'Aspremont and L. El Ghaoui, Static Arbitrage Bounds on Basket Option Prices. Math. Programming, Series A, vol. 106, no. 3, May 2006. [.pdf]

• A. Nilim and L. El Ghaoui.  Robust Solutions to Markov Decision Problems with Uncertain Transition Matrices. Oper. Research, Vol. 53, No. 5, September - October, 2005 [.pdf].  To view the related Technical report, click here; for a NIPS conference version, click here.

• Natsoulis, G., El Ghaoui, L., Lanckriet, G.R.G., Tolley, A.M., Leroy, F., Dunlea, S., Eynon, B.P., Pearson, C.I., Tugendreich, S., Jarnagin, K. (2005). Classification of a large micro-array dataset. Algorithm comparison and analysis of drug signatures. Genome Research, 15:724-736, 2005. [.pdf]

• Lanckriet, G.R.G., Cristianini, N., Bartlett, P., El Ghaoui, L., Jordan, M.I. (2004). Learning the Kernel Matrix with Semidefinite Programming. Journal of Machine Learning Research, 5, 27-72, 2004. [.pdf]

• S. Bhattachrrya, L. Grate, S. Mian, L. El Ghaoui, M. Jordan. Robust sparse hyperplane classifiers: application to uncertain molecular profiling data. Journal of Computational Biology, December 2004, Vol. 11, No. 6, Pages 1073-1089. [.pdf]

• Lanckriet, G. R. G., El Ghaoui, L., Bhattacharyya, C. and Jordan, M. I.. A Robust Minimax Approach to Classification. Journal of Machine Learning Research, 3, pp. 555-582, 2002. [.pdf]

• G. Calafiore, L. El Ghaoui. Ellipsoidal bounds for uncertain linear equations and dynamical systems. Automatica, vol. 40, 773-787. [.pdf]

• Laurent El Ghaoui, Maksim Oks, Francois Oustry. Worst-Case Value-at-Risk and Robust Portfolio Optimization: A Conic Programming Approach.  Operations Research, July-August 2003, volume 51, number 4, pp. 543-556. [.pdf]


• L. El Ghaoui. Inversion Error, Condition Number, and Approximate Inverses of Uncertain Matrices.  Linear Algebra and its Applications, vol. 342, no. 1-3, Feb. 2002. [.pdf]

• G. Scorletti, J.P. Folcher, L. El Ghaoui. Output feedback control with input saturations: LMI design approaches. European Jour. Control, Vol. 7, No. 6, January 2002.

• L. El Ghaoui and G. Calafiore. Robust filtering for discrete-time systems with structured uncertainty. IEEE Trans. Aut. Control, July 2001.

• G. Calafiore, L. El Ghaoui. Worst-Case Maximum Likelihood Estimation in the Linear Model, Automatica, 37(4), April 2001.

• L. El Ghaoui, F. Oustry and H. Lebret. Robust Solutions to Uncertain Semidefinite Programs SIAM J. Optimization, volume 9, no. 1, 1998.

• G. Scorletti and L. El Ghaoui. Improved Linear Matrix Inequalities Conditions for Gain-Scheduling. International Journal of Robust and Nonlinear Control , August 1998.

• S. Dussy, L. El Ghaoui. Measurement-scheduled control for the RTAC problem: an LMI approach.International Journal of Robust and Nonlinear Control , April 1998.

• L. El Ghaoui and H. Lebret. Robust Solutions to Least-Squares Problems with Uncertain Data. SIAM Journal Matrix Analysis and Applications, October 1997.

• M. Ait Rami and L. El Ghaoui. LMI Optimization for Nonstandard Riccati Equations Arising in Stochastic Control.IEEE Transaction and Automatic Control , July 1997.

• L. El Ghaoui and F. Oustry and M. Ait Rami. A cone complementary linearization algorithm for static output-feedback and related problems IEEE Transaction and Automatic Control, August 1997.

• L. El Ghaoui and M. Aitrami. Robust State-feedback Stabilization of Jump Linear Systems via LMIs. International Journal Robust and Nonlinear Control, 1997.

• L. El Ghaoui and J.P. Folcher. Multiobjective Robust Control of LTI Systems subject to Unstructured Perturbations. Systems and Control Lett., 1996.

• L. El Ghaoui. State-feedback control of systems with multiplicative noise via LMIs. Systems and Control Letters, February 1995.

Conference Papers

• A. d'Aspremont and L. El Ghaoui, A Semidefinite Relaxation for Air Traffic Flow Scheduling,  RIVF 2007, September 2006.
• A. Nilim, L. El Ghaoui. Robust Markov Decision processes. Workshop on Learning and Planning in Markov Processes -- Advances and Challenges,American Association for Artificial Intelligence, San Jose, July 2004.
• A. Nilim, L. El Ghaoui.   Air Traffic Control under Stochastic Environments, American Control Conference, July 2004.
• d'Aspremont, A., El Ghaoui, L., Jordan, M.I., Lanckriet, G.R.G. (2004). A Direct Formulation for Sparse PCA using Semidefinite Programming. Advances in Neural Information Processing Systems 17, Cambridge, MA: MIT Press.
• A. Abate and L. El Ghaoui. Robust model predictive control through adjustable variables: an application to path planning. CDC 2004.
• El Ghaoui, L. and A. Nilim, Robust Solutions to Markov Decision Problems with Uncertain Transition Matrices. NIPS, 2003.
• A. Nilim, L. El Ghaoui, V. Duong. Algorithims for flow management under Uncertainty. International Conference on Information Research, Hanoi, Vietnam, February 2004.
• Nilim, A., L. El Ghaoui, and V. Duong, "Multi-Aircraft Routing and Traffic Flow Management under Uncertainty." in 5th USA/Europe A.T.M. R&D Conference, 2003.
• Nilim, A. and L. El Ghaoui, "A general framework to model the dynamic nature of the convective weather in the aircraft routing algorithms." in IEEE 22nd Digital Avionics Systems Conferences, 2003.
• Lanckriet, G. R. G., El Ghaoui, L. and Jordan, M. I. "Robust Novelty Detection with Single-Class MPM" in Advances in Neural Information Processing Systems 15, 2002.
• Lanckriet, G. R. G., Cristianini, N., Bartlett, P., El Ghaoui, L. and Jordan, M. I., "Learning the Kernel Matrix with Semi-Definite Programming." in 19th International Conference on Machine Learning, 2002.
• A. d'Aspremont and L. El Ghaoui, "Static Arbitrage Bounds on Basket Option Prices. INFORMS Atlanta, 2003 and ArXiv: math.OC/0302243.
• Nilim, A., L. El Ghaoui, and V. Duong, "Robust Dynamic Routing of Aircraft under uncertainty." in IEEE 21st Digital Avionics Systems Conference, 2002.
• Calafiore, G. and L. El Ghaoui, "Bounding Ellipsoids for Uncertain Linear Equations and Dynamical Systems: the Convex Optimization Approach." in 15th International Symposium on Mathematical Theory of Networks and Systems (MTNS), University of Notre Dame, 2002.
• Calafiore, G. and L. El Ghaoui, "Bounded Uncertainty Models in Finance: Parameter Estimation and Forecasting." in Proceedings of IFAC 2002 World Congress, Barcelona, Spain, 2002.
• Calafiore, G., M.C. Campi, and L. El Ghaoui, "Identification of reliable predictor models for unknown systems: a data-consistency approach based on learning theory." in Proceedings of IFAC 2002 World Congress, Barcelona, Spain, 2002.
• Learning the kernel matrix with semidefinite programming.  G. Lanckriet, N. Cristianini, P. Bartlett, L. El Ghaoui,  M. I. Jordan. Submitted to ICML2002.
• Minimax probability machine. G. Lanckriet, L. El Ghaoui, C. Bhattacharyya, & M. I. Jordan. Advances in Neural Information Processing Systems 14, 2001.
• G. Calafiore and L. El Ghaoui. Minimum variance estimation with uncertain statistical model. To appear in Proc. Conf. Decision and Control, December 2001.
• A. Nilim, L. El Ghaoui, Vu Duong, Mark Hansen. "Trajectory-based Air Traffic Management (TB-ATM) under weather uncertainty", to appear in Proc. 4th USA/EUROPE ATM R&D Seminar, Santa Fe, New Mexico, December 2001.
• L. Schenato, W.-C. Wu, L. El Ghaoui, K. S. J. Pister, Process variation analysis for MEMS design. Proc. SPIE Symposium on Smart Materials and MEMS, Melbourne, Australia, December 2000. Journal version submitted to J. MEMS, July 2000.
• L. Doherty, K. S. J. Pister, L. El Ghaoui. Convex Position Estimation in Wireless Sensor Networks. Proc. IEEE Infocom 2001, Anchorage AK, April 2001.
• J. Chou, S. Sandeep Pradhan, L. El Ghaoui, K. Ramchandran. Watermarking based on duality with distributed source coding techniques and robust optimization principles. Proc. ICIP Conference, Vancouver, Canada, October 2000.
• L. El Ghaoui, G. Calafiore. Identification of ARX Models with Time-Varying Bounded Parameters: A Semidefinite Programming Approach. In Proc. IFAC Symposium on System Identification (SYSID'2000), Santa Barbara, California, June 2000 (Proceedings published in May 2001).
• J. Chou, S. Pradhan, L. El Ghaoui, K. Ramchandran. A robust optimization solution to the data hiding problem using distributed coding techniques. Proc. SPIE conference, San Jose, CA, Jan. 2000.
• L. El Ghaoui and G. Calafiore. Confidence Ellipsoids for Uncertain Linear Equations with Structure. Proc. Conf. Decision and Control, December 1999.
• L. El Ghaoui and G. Calafiore. Worst-Case State Prediction under Structured Uncertainty. American Control Conference, June 1999.
• S. Dussy, L. El Ghaoui. Multiobjective Robust Control of Lur'e Systems: An LMI Approach.IAIAA Conference,  1997.
• L. El Ghaoui and J.P. Folcher. Robust Multiobjective LTI Control Design for Systems with Structured PerturbationsProceedings IEEE of the International Federation of Automatic Congress,1996.
• L. El Ghaoui and H. Lebret. Robust Least Squares and ApplicationsIEEE Conference on Decision and Control, December 1996.
• S. Dussy and L. El Ghaoui. Robust gain-scheduled control of non-linear parameter-dependent systems: application to an uncertain inverted pendulum. Proceedings Conference Control and Applications, September 1996.
• G. Scorletti and L. El Ghaoui. Improved Linear Matrix Inequalities Conditions for Gain-Scheduling. Proceedings IEEE Conference on Decision and Control, December 1995.
• L. El Ghaoui, R. Nikoukhah and F. Delebecque. LMITOOL: a Package for LMI Optimization. Proceedings IEEE Conference on Decision and Control, December 1995.
• M. Ait Rami and L. El Ghaoui. Solving Non-standard Riccati Equations using LMI OptimizationProceedings IEEE Conference on Decision and Control, December 1995.
• M. Ait Rami and L. El Ghaoui. H-infinity State-feedback Control of Jump Linear Systems. Proceedings IEEE Conference on Decision and Control, December 1995.
• L. El Ghaoui and G. Scorletti. Performance Control of Rational Systems Using Linear-Fractional Representations and LMIs.Proceedings IEEE Conference on Decision and Control, December 1994.
• L. El Ghaoui and V. Balakrishnan. Synthesis of fixed-structure controllers via numerical optimization.Proceedings IEEE Conference on Decision and Control, December 1994.
• L. El Ghaoui and G. Scorletti. Control of rational systems using linear-fractional representations and LMIs.Proceedings IFAC Symposium on Robust Control, September 1994.
• M. Ait Rami and L. El Ghaoui. Robust stabilization of jump linear systems using linear matrix inequalities.Proceedings IFAC Symposium on Robust Control, September 1994.
• J. P. Folcher and L. El Ghaoui. State-Feedback Design via Linear Matrix Inequalities: Application to a Benchmark ProblemProceedings Conference Control and Applications, August 1994.
• L. El Ghaoui. State-feedback control of rational systems using linear-fractional representations and LMIs.Proceedings American Control Conference, Juin 1994.
• L. El Ghaoui and P. Gahinet. Rank minimization under LMI constraints: a framework for output-feedback problems.Proceedings European Control Conference, July 1993.
• V. Balakrishnan, E. Feron, S. Boyd, and L. El Ghaoui. Solving interpolation problems via generalized eigenvalue minimization. Proceedings American Control Conference, June 1993.
• L. El Ghaoui. Reduced-order multimodel control using LMIs: sufficient conditions. Proceedings American Control Conference, June 1993.
• S. Boyd, V. Balakrishnan, E. Feron, and L. El Ghaoui. Control System Analysis and Synthesis via Linear Matrix Inequalities.Proceedings American Control Conference, June 1993.
• L. El Ghaoui and V. Balakrishnan and E. Feron and S. Boyd. On Maximizing a Robustness Measure for Structured Nonlinear Perturbations.Proceedings of American Control Conference, June 1992.
• V. Balakrishnan and E. Feron and S. Boyd and L. El Ghaoui. Computing Bounds for the Structured Singular Value via an Interior Point Algorithm. Proceedings of American Control Conference, June 1992.
• E. Feron and V. Balakrishnan and S. Boyd and L. El Ghaoui. Numerical Methods for H2 Related Problems. Proceedings of American Control Conference June 1992.
• L. El Ghaoui and P. A. Bliman. Factorization and smallest-norm roots of multivariable polynomials in robustness analysis. Proceedings IEEE Conference on Decision and Control, December 1991.
• L. El Ghaoui. A Measure of Parametric Robustness in H2 Performance Proceedings European Control Conference, 1991.
• L. El Ghaoui and S. Boyd. Stability Robustness of Linear Systems to Real Parametric Perturbations. Proceedings IEEE Conference on Decision and Control, December 1990.

            Books, edited books, and book chapters

• S. Boyd, L. El Ghaoui, E. Feron, and V. Balakrishnan. Linear Matrix Inequalities in System and Control Theory, SIAM, 1994.
• L. EL Ghaoui and S.-I. Niculescu, editors. Advances on Linear Matrix Inequality Methods in Control, SIAM, 1999. 
• A. Ben-Tal, L. El Ghaoui, and A. Nemirovskii. Robust Semidefinite Programming. In R. Saigal, L. Vandenberghe, H. Wolkowicz, editors, Handbook of Semidefinite Programming, Kluwer Academic Publishers, Waterloo, Canada. March 2000.
• L. El Ghaoui and G. Calafiore. Worst-Case Simulation of Uncertain Systems. Robustness in Identification and Control, A. Garulli, A. Tesi and A. Vicino, Eds., Springer, 1999.

Technical Reports

• L. Schenato, W.-C. Wu, L. El Ghaoui, K. Pister. Process variation analysis for MEMS design. Electronics Research Laboratory Memorandum No. UCB/ERL M00/44, August 2000.
• A. Nilim and L. El Ghaoui.  Robust Solutions to Markov Decision Problems with Uncertain Transition Matrices. (A journal version is to appear in Oper. Research, 2005.)
• A Lanckriet, G.R.G., Cristianini, N., Bartlett, P., El Ghaoui, L., Jordan, M.I. (2002). Learning the Kernel Matrix with Semi-Definite Programming. Technical Report CSD-02-1206, Division of Computer Science, University of California, Berkeley.
• L. El Ghaoui.  A convex upper bound on the log-partition function for binary graphical models.  Technical report UC/EECS-2007-146, December 2007.

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Last updated 10/13/05