3000, chemin de la Côte-Sainte-Catherine
Canada H3T 2A7
Phone: 514 340-7040
Secretary: 514 340-6472
Fax: 514 340-5634
Curiculum Vita :(pdf)
Welcome to my personal web page. This site will eternally be in evolution, but please enjoy what is currently available.
I am an associate professor at HEC Montréal in the department of Decision Sciences. I graduated in 2009 with a Ph.D. in Electrical Engineering from Stanford University. During my stay at Stanford, I had the opportunity to work with Prof. Andrew Y. Ng, Prof. Shie Mannor, and Prof. Yinyu Ye. My thesis presented new optimization models for taking into account parameter and distribution uncertainty in a range of decision problems where the knowledge of some parameters is limited to historical samples.
Since I joined HEC Montréal, I have entertained a strong interest for quantitative methodologies that can help manage the risks related to market, environmental or physical uncertainty that is present in industrial and financial decision problems. Specifically, my research interests span the areas of optimization, decision analysis, artificial intelligence and applied statistics. I am especially fascinated about how concept of robust optimization can successfully reconcile the design of a decision model with the prevailing ambiguity about outcomes and about how these might be perceived by the decision maker. Applications that have caught my attention include, but are not limited to, portfolio selection, e-commerce, resource allocation, network routing, inventory management and energy production problems.
Delage, E., “Quantitative Risk Management Using Robust Optimization”, offered at HEC Montréal , Fall 2016. (preliminary course outline and lecture notes)
Delage, E., “Analyse de Décision”, offered at HEC , Fall 2016.
Delage, E., “Quantitative Risk Management Using Robust Optimization”, offered at EPFL , Summer 2015.
Editorial work :
E. Delage, D. Iancu, Special Issue: Robust Optimization and Applications, Computational Management Science, March 2016. (link to issue)
E. Delage, D. Kuhn, W. Wiesemann "Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?, working draft. (pdf)
A. Ardestani-Jaafari, E. Delage, Linearized Robust Counterparts of Two-stage Robust Optimization Problem with Applications in Operations Management, working draft. (pdf)
C. Gauvin, E. Delage, M. Gendreau, A Stochastic Program with Tractable Time Series and Affine Decision Rules for the Reservoir Management Problem, working draft. (pdf)
C. Gauvin, E. Delage, M. Gendreau, A Robust Optimization Model for the Risk Averse Reservoir Management Problem, working draft. (pdf)
E. Delage, L. G. Gianoli, B. Sansò, A Practicable Robust Counterpart Formulation for Decomposable Functions: A Network Congestion Case Study, working draft. (pdf)
E. Delage, J. Y. Li, Minimizing Risk Exposure when the Choice of a Risk Measure is Ambiguous, Management Science. (article in advance)
E. Delage, M. Denault, J.-G. Simonato, A Simulation-and-regression Approach for Dynamic Programming, and Its Application to Portfolio Choice, accepted in Optimization and Engineering. (pdf)
A. Ardestani-Jaafari, E. Delage, The Value of Flexibility in Robust Location-transportation Problems, accepted in Transportation Science. (pdf)(*Honorable mention at CORS best student paper competition 2016*)
A. Ardestani-Jaafari, E. Delage, Affinely Adjustable Robust Location Transportation Problem, Proceedings of the 2014 Industrial and Systems Engineering Research Conference. (pdf)
J. Cheng, E. Delage, A. Lisser, Distributionally Robust Stochastic Knapsack Problem, SIAM Journal on Optimization, Vol. 24, No. 3, pp. 1485-1506, 2014. (pdf)
B. Armbruster, E. Delage, Decision Making under Uncertainty when Preference Information is Incomplete, Management Science, Vol. 61, No. 1, pp. 111-128, 2015. (link to article)
E. Delage, S. Arroyo, Y. Ye, The Value of Stochastic Modeling in Two-Stage Stochastic Programs with Cost Uncertainty, Operations Research, Vol. 62, No. 6, pp. 1377-1393, 2014. (link to article, e-companion)
J. G. Carlsson, E. Delage, Robust Partitioning for Stochastic Multi-Vehicle Routing, Operations Research, Vol. 61, No. 3, pp. 727-744, 2013. (link to article)
S. Agrawal, E. Delage, M. Peters, Z. Wang, Y. Ye, A Unified Framework for Dynamic Prediction Market Design, Operations Research, Vol. 59, No. 3, pp. 550-568, 2011. (link to article)
Delage E., Ye Y. Distributionally Robust Optimization under Moment Uncertainty with Application to Data-Driven Problems, Operations Research, Vol. 58, No. 3, pp. 596-612, 2010. 1st place Nicholson Award 2008 (link to article, summary of contribution)
Delage E., Mannor S. Percentile Optimization in Uncertain MDP with Application to Efficient Exploration, ICML 2007. (pdf)
Delage E., Mannor S. Percentile Optimization for MDP with Parameter Uncertainty, Operations Research, Vol. 58, No.1, pp. 203-213, 2010. Finalist for Nicholson Award 2007. (link to article, summary of contribution)
Labs J., Delage E., Ullman R., Beaton G. (2003) “Synchronizing Method and Apparatus” (Patent CA 2433139, US 7352778, US 20040264510).
Labs J., Gagnon S., Delage E. (2003) “Method and apparatus for estimating frequency offsets for an OFDM burst receiver”. (Patent US 20040264584).
Delage, E., “Preference robust optimization for decision making under uncertainty”, presented at ICCOPT 2016, 10th of August 2016.
Delage, E., “The Value of Distribution Information in Distributionally Robust Optimization”, presented at EURANDOM Workshop on Robust Optimization in Applied Probability , 9th of November 2015.
Delage, E., “Linearized Robust Counterparts of Two-Stage Distribution Problems”, presented at EPFL , 22nd of July 2015.
Delage, E., “Addressing Model Ambiguity in the Expected Utility Framework”, presented at BFG Conf. on Opt. (June 2015), at GERAD (February 2015), at OR Center Seminar, MIT (November 2014), and at Rotman School of Management (December 2012).
Delage, E. (joint work with A. Ardestani-Jaafari)“Yet Another Tractable Approximation for Robust Optimization”, presented at INFORMS Annual Meeting, October 2013.
Delage, E. (joint work with S. Arroyo and Y. Ye)“The Value of Stochastic Modeling in Two-Stage Stochastic Programs”, presented at INFORMS Annual Meeting, October 2013.
Delage, E. (joint work with J. Y. Li)“Accounting for Risk Measure Ambiguity when Optimizing Financial Positions”, presented at ICSP, July 2013.
Delage, E., “Untying the Knot between a Stochastic Program and its Distribution”, presented at University of Toronto, August 2011.
Delage, E., “Distributionally Robust Optimization under Moment Uncertainty with Application to Data-Driven Problems”, presented at INFORMS annual meeting 2008.
Delage, E., “Data-Driven Optimization for Portfolio Selection”, presented at INFORMS annual meeting 2008.
Delage, E., “”, presented at INFORMS annual meeting 2008.
Delage, E., “”, presented at INFORMS annual meeting 2007.
Delage, E., “Percentile Optimization in Uncertain MDP with Application to Efficient Exploration”. presented at ICML 2007.
Delage, E., “A dynamic Bayesian network model for autonomous 3d reconstruction from a single indoor image”. Poster presented at CVPR 2006.
Open positions :
I am searching for graduate students that are either interested in developing new applications for techniques that can help handle uncertainty in decision problems or wish to contribute to the development of new methodologies. I have several ideas in mind that are just waiting for the right candidate. Those that are interested should email me their resume and a brief explanation of what they are interested in. (email@example.com, program details)
Updated: October 11, 2013