Operations research and optimization

We propose a framework for general probabilistic multi-step time series regression. Specifically, we exploit the expressiveness and temporal nature of Sequence-to-Sequence Neural Networks (e.g. recurrent and convolutional structures), the nonparametric nature of Quantile Regression and the efficiency of Direct Multi-Horizon Forecasting. A new training scheme, forking-sequences, is designed for sequential

Bayesian optimization (BO) has emerged during the last few years as an effective approach to optimizing black-box functions where direct queries of the objective are expensive. In this paper we consider the case where direct access to the function is not possible, but information about user preferences is. Such scenarios arise in problems where human preferences are modeled, such as A/B tests or recommender

Rapidly growing product lines and services require a finer-granularity forecast that considers geographic locales. However the open question remains, how to assess the quality of a spatio-temporal forecast?

Bayesian optimization has been successfully used to optimize complex black-box functions whose evaluations are expensive. In many applications, like in deep learning and predictive analytics, the optimization domain is itself complex and structured. In this work, we focus on use cases where this domain exhibits a known dependency structure. The benefit of leveraging this structure is twofold: we explore

Online optimization is central to display advertising, where we must sequentially allocate ad impressions to maximize the total welfare among advertisers, while respecting various advertiser-specified long-term constraints (e.g., total amount of the ad’s budget that is consumed at the end of the campaign). In this paper, we present the online dual decomposition (ODD) framework for large-scale, online, distributed