Work:

Room 207, ORFE buidling,
Princeton University,
Princeton, NJ 08544, USA.
tel. + 1(609)258-8773
fax + 1(609)258-3791

E-mail:

Courses

• ORFE 311, Optimization under Uncertainty. (Fall 2004)
• ORFE 515, Asset Pricing II: Stochastic Calculus and Advanced Derivatives. (Spring 2005)
• ORFE 307, Optimization. (Spring 2006, 2007, 2008, 2010)
• ORFE 523, Nonlinear Optimization. (Spring 2006, 2007, 2010)
• ORFE 569, Optimization Seminar. (Fall 2007, Spring 2009)
• ORFE 522, Linear Optimization. (Fall 2008)

Research Papers

• N. El Karoui, A. d’Aspremont "Second Order Accurate Distributed Eigenvector Computation for Extremely Large Matrices."
  Preprint on ArXiv: 0908.0137, (local pdf file).
• V. Krishnamurthy, A. d’Aspremont "A Pathwise Algorithm for Covariance Selection."
  Preprint on ArXiv: 0908.0143, (local pdf file). NIPS 2009 Workshop on Optimization for Machine Learning.
• M. Cuturi, J-P. Vert, A. d’Aspremont "White Functionals for Anomaly Detection in Dynamical Systems."
  Preprint on ArXiv: 0908.0143, (local pdf file). NIPS 2009.
• A. d’Aspremont "Subsampling Algorithms for Semidefinite Programming."
  Preprint on ArXiv: 0803.1990, (local pdf file, source code).
• R. Luss, A. d’Aspremont "Predicting Abnormal Returns from News using Text Classification."
  Preprint on ArXiv: 0809.2792, (local pdf file).
• A. d’Aspremont "Identifying Small Mean Reverting Portfolios."
  Preprint on ArXiv: 0708.3048, (local pdf file).
• A. d’Aspremont, L. El Ghaoui "Testing the Nullspace Property using Semidefinite Programming."
  Preprint on ArXiv: 0807.3520, (local pdf file, NSProp source code). To appear in Mathematical Programming.
• R. Luss, A. d’Aspremont "Support Vector Machine Classification with Indefinite Kernels."
  Preprint on ArXiv: 0804.0188, (local pdf file, IndefiniteSVM source code). Mathematical Programming Computations, 1(2), pp. 97-118, October 2009.
• A. d’Aspremont, F. Bach, L. El Ghaoui, "Optimal Solutions for Sparse Principal Component Analysis."
  Preprint on ArXiv: 0707.0705, (local pdf file, PathSPCA source code). Journal of Machine Learning Research, 9, pp. 1269-1294, July 2008.
• O. Banerjee, L. El Ghaoui, A. d’Aspremont "Model Selection Through Sparse Maximum Likelihood Estimation."
  Preprint on ArXiv: 0707.0704, (local pdf file, COVSEL source code). Journal of Machine Learning Research, 9, pp. 485-516, March 2008.
• R. Luss, A. d’Aspremont "Clustering and Feature Selection using Sparse Principal Component Analysis."
  Preprint on ArXiv: 0707.0701, (local pdf file, DSPCA source code). To appear in Optimization & Engineering.
• A. d’Aspremont, O. Banerjee, L. El Ghaoui "First-Order Methods for Sparse Covariance Selection."
  Preprint on ArXiv: math.OC/0609812, (local pdf file, COVSEL source code). SIAM Journal on Matrix Analysis and its Applications, 30(1), pp. 56-66, February 2008.
• A. d’Aspremont "Smooth Optimization with Approximate Gradient."
  Preprint on ArXiv: math.OC/0512344, (local pdf file). SIAM Journal on Optimization, 19(3), pp. 1171-1183, December 2008.
• A. d’Aspremont "A Market Test for the Positivity of Arrow-Debreu Prices."
  Preprint on ArXiv: cs.CE/0510027, (local pdf file). In Frontiers in Quantitative Finance: Credit Risk and Volatility Modeling, Wiley, November 2008.
• A. d’Aspremont, L. El Ghaoui, M. I. Jordan, G. R. G. Lanckriet "A Direct Formulation for Sparse PCA Using Semidefinite Programming."
  Preprint on ArXiv: cs.CE/0406021, (local pdf file, DSPCA source code). SIAM Review, 49(3), pp. 434-448, July 2007.
  Received the SIAM Optimization Prize for 2004-2007.
• A. d’Aspremont, L. El Ghaoui "Static Arbitrage Bounds on Basket Option Prices."
  Preprint on ArXiv: math.OC/0302243, (local pdf file, source code). Mathematical Programming, Series A 106(3), pp. 467-489, July 2006.
• A. d’Aspremont "Risk-Management Methods for the Libor Market Model Using Semidefinite Programming."
  Preprint on ArXiv: cs.CE/0302035, (local pdf file). Journal of Computational Finance 8(4), pp. 77-99, Summer 2005.
• A. d’Aspremont "Interest Rate Model Calibration Using Semidefinite Programming."
  Preprint on ArXiv: cs.CE/0302034, (local pdf file). Applied Mathematical Finance 10(3), pp. 183-213, September 2003.

Recent Talks, etc...

• N. El Karoui, A. d’Aspremont "Subsampling, Spectral Methods and Semidefinite Programming."
  CAOA, Les Houches, January 2010 (slides in pdf).
  ORIE colloquium, Cornell University, October 2009.
  
• A. d’Aspremont, F. Bach, L. El Ghaoui "Tractable performance bounds for compressed sensing."
  Neyman Seminar, U.C. Berkeley, November 2009 (slides in pdf).
  Courant Institute, New York, November 2009.
  ISMP, Chicago, August 2009.
  
• A. d’Aspremont "Smooth Semidefinite Optimization." Optima 78, pp. 9-11, November 2008.
  
• A. d’Aspremont, F. Bach, L. El Ghaoui "Tractable Upper Bounds on the Restricted Isometry Constant."
  INFORMS annual meeting, Washington D.C., Oct. 2008.
  SIAM annual meeting, San Diego, July 2008 (slides in pdf).
  Foundations of Computational Mathematics, Hong Kong, June 2008.
• A. d’Aspremont, L. El Ghaoui, M. I. Jordan, G. R. G. Lanckriet "A Direct Formulation for Sparse PCA Using Semidefinite Programming"
  SIAM Optimization conference, Boston, May 2008 (slides in pdf, DSPCA source code).
  CORE seminar, U.C.L., Louvain-la-Neuve, Dec. 2004.
  NIPS 2004, Vancouver, Dec. 2004 (slides in pdf.
  INFORMS annual meeting, Denver, Oct. 2004 (slides in pdf).
• A. d’Aspremont "Subsampling Algorithms for Semidefinite Programming."
  INFORMS annual meeting, Washington D.C., Oct. 2008.
  SIAM Optimization conference, Boston, May 2008 (slides in pdf).
  
• A. d’Aspremont "Identifying Small Mean Reverting Portfolios."
  INFORMS annual meeting, Seattle, November 2007 (slides in pdf).
  Third Cambridge-Princeton conference, Princeton, September 2007.
  
• A. d’Aspremont, F. Bach, L. El Ghaoui,"Full Regularization Path for Sparse Principal Component Analysis."
  INFORMS annual meeting, Seattle, November 2007.
  MPS International Conference on Continuous Optimization, Hamilton, August 2007 (slides in pdf).
  International Congress on Industrial and Applied Mathematics, Zurich, July 2007.
  International Conference on Machine Learning, Corvallis, June 2007.
  
• A. d’Aspremont "Semidefinite Optimization with Applications in Sparse Multivariate Statistics."
  BIRS Workshop on Mathematical Programming in Data Mining and Machine Learning, Banff, January 2007 (slides in pdf).
  
• A. d’Aspremont, L. El Ghaoui "A Semidefinite Relaxation for Air Traffic Flow Scheduling."
  Preprint on ArXiv: cs.CE/0609145, (local pdf file). Proceedings IEEE RIVF 2007.
• A. d’Aspremont "Smooth Optimization for Sparse Semidefinite Programs."
  BIRS Workshop on Optimization and Engineering Applications, Banff, November 2006.
  SIAM annual meeting, Boston, July 2006 (slides in pdf).
  
• O. Banerjee, A. d’Aspremont, L. El Ghaoui "Sparse Covariance Selection via Robust Maximum Likelihood Estimation."
  INFORMS annual meeting, Washington D.C., Oct. 2008.
  SIAM annual meeting, Boston, July 2006 (slides in pdf).
  Workshop on Machine Learning and Optimization, Institute for Statistical Mathematics, Tokyo, August 2006.
  International Conference on Machine Learning, Pittsburgh, June 2006.
  Workshop on Large-Scale Robust Optimization, Sandia Labs, Santa Fe, September 2005 (slides in pdf)
• F. Ferchaud, A. d’Aspremont "Reallocation Time and Resources Occupancy Rate in ATFM."
  IEEE RIVF conference, Ho Chi Minh City, February 2006.
• A. d’Aspremont "A Direct test for the Positivity of Arrow-Debreu Prices."
  4th World Congress of the Bachelier Finance Society, Tokyo, August 2006.
  INFORMS annual meeting, San Francisco, November 2005 (slides in pdf).
  Third Oxford-Princeton Conference on Financial Mathematics, November 2005 (slides in pdf).
  ORFE Stochastic Analysis Seminar, Princeton University, September 2005 (slides in pdf).
  INFORMS Applied Probability Conference, Ottawa, July 2005 (slides in pdf).
• Older Talks, etc.

Thèse (École Polytechnique)

• A. d’Aspremont "Interest Rate Model Calibration and Risk-Management Using Semidefinite Programming."
  Advisor: Nicole El Karoui. (local pdf file, slides in pdf).

PhD Thesis (Stanford University)

• A. d’Aspremont "Shape Constrained Optimization, with Applications in Finance and Engineering."
  Advisor: Stephen Boyd. (local pdf file, slides in pdf).

Students, Postdocs.

• Vijay Krishnamurthy, PhD candidate.
• Ronny Luss, Ph.D. (now at Tel Aviv University).
• Marco Cuturi, Postdoc.
• Selin Damla Ahipasaoglu, Postdoc.

Software, Research Code, etc.

• A commercial implementation of the Libor Market Model calibration algorithm is available from RaisePartner.
• DSPCA: Sparse PCA using semidefinite programming.
• COVSEL: First order algorithm for sparse covariance selection.
• PathSPCA: A fast greedy algorithm for Sparse PCA.
• IndefiniteSVM: Support vector machine classification using indefinite kernels.
• NSProp: Testing the nullspace property using semidefinite programming.

Short Vita

• Lycée Henri IV (1992-1994); École Polytechnique (1994-1997); DEA Proba et Finance, Université de Paris VI (1997-1998);
  École Polytechnique (thèse 1998-2002); Paribas Capital Markets, London (1998-1999); Stanford University (1999-2003);
  U.C. Berkeley (2003-2004); Princeton University (2004-Present).