Laurent El Ghaoui

Associate Professor

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

• Berkeley Center for New Media (BCNM)
• Center for Intelligent Systems (CIS)

Teaching Schedule (Spring 2008)

• CS H196B-3. Senior Honors Thesis, UNSCHED
• EE 120. Signals and Systems, TT 10:00-12:00p, 106 Stanley

Biography

I graduated from Ecole Polytechnique (Palaiseau, France) in 1985, and obtained my PhD in Aeronautics and Astronautics at Stanford University in March 1990. I was a faculty member of the Ecole Nationale Supérieure de Techniques Avancées (Paris, France) from 1992 until 1999, and held part-time teaching appointments at Ecole Polytechnique within the Applied Mathematics department and 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 Berkeley faculty in April 1999 as an Acting Associate Professor, and obtained my tenure in May 2001. I have been on leave from UC from July 2003 to 2006 to work for SAC Capital Management, a hedge fund based in New York and Connecticut.

Selected Publications

• A. D'Aspremont, L. El Ghaoui, M. Jordan, and G. Lanckriet, "A direct formulation for sparse PCA using semidefinite programming," SIAM Review, vol. 49, pp. 434-448, July 2007.
• 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.
• L. El Ghaoui and H. Lebret, "Robust solutions to least-squares problems with uncertain data," SIAM J. Matrix Analysis and Applications, vol. 18, no. 4, pp. 1035-1064, Oct. 1997.