Research interests: machine learning for operations management; data-driven decision-making; emerging interest in sustainable operations

Working Papers

1. “Model Mis-specification in Newsvendor Decisions: A comparison of Frequentist Parametric, Bayesian Parametric and Nonparametric approaches.” (with Zhenyu Gao & Fabian Taigel) SSRN LINK (NEW!)

Publications

8. "Personalized Dynamic Pricing with Machine Learning: High Dimensional Features and Heterogeneous Elasticity." (with N. Bora Keskin) conditionally accepted in Management Science  SSRN LINK

-Honorable Mention, INFORMS JFIG Paper Competition 2018

-Finalist, INFORMS Data Mining Section Best Paper Award 2019

7. "Confidence Intervals for Data-driven Inventory Policies with Demand Censoring." (2019) accepted for publication in Operations Research  SSRN LINK  

6. "Dynamic Procurement of New Products with Covariate Information: The Residual Tree Method." (with Jeremie Gallien & Adam Mersereau) Articles in Advance 10 Dec 2018 Manufacturing & Service Operations Management  LINK 

5. "The Big Data Newsvendor: Practical Insights from Machine Learning." (with Cynthia Rudin) Operations Research 67(1):90-108   LINK   Matlab Codes

(Note: data used in the paper cannot be shared due to NDA)   

-No. 2 "most read article in Operations Research in the past 12 months" (Nov 2019)

4. "Machine Learning and Portfolio Optimization." (with Noureddine El Karoui and Andrew E.B. Lim) Management Science, March 2018, 64(3):1136-1154.  LINK   

Published in the Optimization Department of Management Science

3. "Robust Portfolio Choice with Learning in the Framework of Regret: Single Period Case." (with Andrew E.B. Lim and J. George Shanthikumar) Management Science, September 2012, 58(9) 1747-1760.  LINK 
Published in the Optimization Department of Management Science

2."Conditional Value-at-Risk in Portfolio Optimization: Coherent but Fragile." (with Andrew E.B. Lim and J. George Shanthikumar) Operations Research Letters 39 (2011) 163-171.  LINK 

1. "Modeling Light Propagation in Photonic Crystal Devices: simplification of the Bloch mode scattering matrix method." (with T. P. White, M. J. Steel, C. M. de Sterke, K. Dossou and L. C. Botten) Journal of Applied Physics 102, 053103:1-7 (2007).  LINK 

 

Work-in-Progress

3. “Structural Estimation of Combinatorial Auctions.'' (with R. Steinberg)

2. “Tail Risk Estimation via Random Forests.” (with Allen S. Li and Stefan Wager)

1. “Complementarity Effects in the Multiproduct Newsvendor Problem.” (with Caleb J.H. Park)

© Gah-Yi Ban