Challenging Optimal Transport Solvers With Global Sensitivity Analysis

Monday, July 18, 2022 - 3:00pm to 4:00pm

Event Calendar Category

Other LIDS Events

Speaker Name

Emanuele Borgonovo

Affiliation

Bocconi University

Building and Room Number

32-D677

Abstract

The theory of optimal transport (OT) has recently proven successful to create measures of statistical association for application in data science and computer simulations. In particular, the work of Borgonovo, Figalli, Plischke and Savarè (2022) shows that OT based sensitivity measures possess desirable properties such as zero-independence, continuity with respect to the quality of information and max-functional. For estimation, the use of efficient algorithms is essential. In this work, we explore alternative implementations, considering a network-flow solver based on Kuhn intuition, a pairwise comparison approach introduced by Puccetti in 2017, entropic solvers, as well as a recently developed gradient-descent based algorithm. The solvers are challenged through experiments of increasing dimensionality that require the sequential solution of tenths of OT problems.

Biography

Emanuele Borgonovo is Full Professor at the Department of Decision Sciences of Bocconi University. He holds a Ph.D. in Nuclear Science and Engineering from the Massachusetts Institute of Technology. , He is director of the Bachelor in Economics, Management and Computer Science of Bocconi University, co-editor-in-chief of the European Journal of Operational Research, and advisor of Springer International Series in Operations Research and Management Science. He is the current President of the INFORMS Decision Analysis Society. He is recipient of several national and international awards, among which the 2017 Chinese Academy of Sciences President’s Visiting Professor Fellowship, the 2015 IBM Faculty Award, the honorary memberships of “, The Scientific Research Society of North America”, “The Honorary Society of the American Nuclear Society,” the “McCormack fellowship of the Westinghouse Corporation,” at MIT as well as several best paper and excellence in refereeing awards. He is also a member of the editorial boards of numerous journals among which Risk Analysis, Reliability Engineering and System Safety, the Journal of Financial Data Science and he is associate editor of the Journal of Risk and Reliability. He has published more than 100 scientific papers and worked in international research projects with institutions such as DARPA, the Idaho National Laboratory, the DOE, the US Nuclear Regulatory Commission, Electricité de France, Charles Rivers Analytics, The Marie Technimont Group, the Campari Group, etc.. The Differential Importance Measure, a sensitivity technique he introduced in 2000, has been inserted in NASA’s Guide for Risk Managers and Practitioners. He is author of the book: “Sensitivity Analysis: An Introduction for the Management Scientist”, http://www.springer.com/gp/book/9783319522579