Sikandar Samar -- Research

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Research Interests

Trending and forecasting via convex optimization for automated trading and aerospace diagnostics
Convex optimization approaches to derivative pricing, robust portfolio optimization and risk management
Moving horizon estimation framework for recursive estimation algorithms in high frequency time series
Distributed optimization methods for state estimation via sensor fusion, and portfolio risk management
Convex optimization-based algorithms for machine learning and statistical data mining
Modeling and control of multidimensional systems

My Ph.D. work was supervised by Prof. Stephen Boyd and Dr. Dimitry Gorinevsky. We developed scalable algorithms for optimal state estimation from noisy sensor measurements, with applications to the aerospace and financial industry. My other interests include statistical data mining and machine learning algorithms; econometrics, modeling, control and complexity reduction of large scale systems.

Papers

Distributed Estimation via Decomposition Methods. With S. Boyd. 9th European Control Conference, Island of Kos, Greece, July 2007. To Appear
Embedded Estimation of Fault Parameters in an Unmanned Aerial Vehicle. With D. Gorinevsky and S. Boyd. In Proc. 15th IEEE Conference on Control Applications, Munich, Germany, October 2006. (ps, pdf) 2006 IEEE CCA Best Student Paper.
Pareto Optimal Linear Classification. With S.-J Kim, A. Magnani and S. Boyd. In Proc. 23rd International Conference on Machine Learning, Pittsburgh, Pennsylvania, June 2006. (ps, pdf)
Model Predictive Estimation of Evolving Faults. With D. Gorinevsky. In Proc. 25th American Control Conference, Minneapolis, Minnesota, June 2006. (ps, pdf)
Likelihood Bounds for Constrained Estimation with Uncertainty. With D. Gorinevsky and S. Boyd. In Proc. 44th IEEE Conference on Decision and Control, Seville, Spain, December 2005. (ps, pdf)
Integrated Diagnostics of Rocket Flight Control. With D. Gorinevsky, J. Bain, G. Aaseng. In Proc. 26th IEEE Aerospace Conference, Big Sky, MT, March 2005. (ps, pdf)
Moving Horizon Filter for Monotonic Trends. With D. Gorinevsky and S. Boyd. In Proc. 43rd IEEE Conference on Decision and Control, Paradise Island, Bahamas, December 2004. (ps, pdf,)
Model Reduction of Spatially Invariant-Array Systems. With C. L. Beck. In Proc. 42nd IEEE Conference on Decision and Control, Maui, Hawaii, December 9-12, 2003. (ps, pdf)
Model Reduction of Heterogeneous Distributed Systems. With C. L. Beck. In Proc. 42nd IEEE Conference on Decision and Control, Maui, Hawaii, December 9-12, 2003. (ps, pdf)

Ph.D. Thesis

Statistical Estimation via Convex Optimization for Trending and Performance Monitoring, Sikandar Samar. Ph.D. Thesis, Stanford University, September 2006. (ps, pdf)

M.S. Thesis

Model Reduction Error Bounds for Spatial Array Systems, Sikandar Samar. M.S. Thesis, University of Illinois at Urbana-Champaign, August 2003. (ps, pdf)

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Sikandar Samar (sikandar@gmail.com) / January 2007.