Yilun Chen

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Ph.D Candidate
The School of Operations Research and Information Engineering, Cornell University
Email: yc2436@cornell.edu
[Curriculum Vitae]

About Me

Hi! I am currently a Ph.D candidate in Operations Research at Cornell University, where I am fortunate to be advised by David Goldberg. Before joining Cornell, I was a Ph.D student in the H. Milton Stewart School of Industrial and Systems Engineering at Georgia Tech. I received my bachelor's degree in Mathematics from Peking University in 2014. I spent the summer of 2020 as a research intern at IBM Research.

Research Interests

Applied Probability, Sequential Decision-Making, Stochastic Control, Optimal Stopping and Option Pricing, Multiarmed Bandits, Inventory Control

Papers

Selected Talks

  • Beating the Curse of Dimensionality in Optimal Stopping:
    INFORMS Annual Meeting, Seattle, WA, October 2019

  • New Approaches to High-Dimensional Online Decision-Making:
    INFORMS Revenue Management&Pricing Conference, Stanford University, CA, June 2019
    INFORMS MSOM Conference, Singapore, July 2019
    INFORMS APS Conference, Brisbane, Australia, July 2019
    Kellogg OM Workshop, Virtual, July 2020

  • An Efficient Approximation Algorithm for Online Maximum Weighted Independent Set:
    INFORMS Annual Meeting, Virtual, November 2020

Teaching Experience

  • Instructor, Monte Carlo Methods in Financial Engineering, Spring 2021 (scheduled)

    • ORIE 5582: Master Financial

  • Co-Instructor and Head Teaching Assistant, Engineering Probability and Statistics II, Fall 2019

    • Enrollment: 149 (combined course for undergrad and grad students)

    • Final Evaluation: 4.8/5

  • Graduate Teaching Assistant, Engineering Probability and Statistics II Fall 2018

  • Graduate Teaching Assistant, Optimization I, Fall 2017

Service

Co-President, Operations Research Graduate Student Association (ORGA),
Cornell University, 2019-2020