Department of Mathematics and Statistics Phone: Boston University, Boston, Massachusetts Department of Mathematics and Statistics

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1 Henry Lam Contact Information Research Interest Department of Mathematics and Statistics Phone: Boston University Cummington Street Boston, MA Analysis and Monte Carlo methods for large-scale stochastic systems, model uncertainty and simulation output analysis, stochastic optimization Employment Boston University, Boston, Massachusetts Department of Mathematics and Statistics Assistant Professor January 2011 Present Education Harvard University, Cambridge, Massachusetts Ph.D. Statistics January 2011 A.M. Statistics June 2006 Overall GPA: 4.0/4.0 The University of Hong Kong, Hong Kong B.S. Actuarial Science (First Class Honors) June 2005 Overall GPA: 3.9/4.0 Awards INFORMS Junior Faculty Interest Group (JFIG) Best Paper Award, Finalist, 2012 INFORMS George Nicholson Best Student Paper Honorable Mention Prize, 2010 Harvard Statistics Department Post-Qualifying Talk Award, 2008 Croucher Foundation Scholarship, (full tuition and stipend support for the best Ph.D. students in scientific discipline in Hong Kong) Harvard GSAS Fellowship, , Hong Kong Chiu Chow Chamber of Commerce Scholarship, 2004, 2005 HKU Worldwide Student Exchange Scholarship, 2004 Provost Honors, 2004 Dean s Honors, 2002, 2003, 2005 Travel Grants: SAMSI Workshop on Uncertainty Quantification NSF Travel Award 2012, Applied Probability Society Meeting NSF Travel Award 2011, Simulation of Stochastic Network Conference, Isaac Newton Institute for Mathematical Sciences, NSF Travel Award 2010 Teaching Experience Boston University, Boston, Massachusetts Instructor, MA 569: Optimization Methods in Operations Research Fall Instructor, MA 116: Statistics II Spring 2012, 2013 Instructor, MA 881: Graduate Seminar in Applied Probability Fall of 7

2 Harvard University, Cambridge, Massachusetts Teaching fellow, STAT 139/239: Linear Models Fall 2007 Teaching fellow, STAT 171: Stochastic Processes Spring 2007 Teaching fellow, STAT 104: Introduction to Quantitative Methods Fall 2006 Grants Awarded National Security Agency (NSA) Young Investigator Grant. Title: Design of Robust Methodologies for Efficient Simulation and Sensitivity Analysis for Stochastic Systems. Amount: $39, 983. Duration: September 2013 September Role: P.I. National Science Foundation (NSF) CMMI. Title: A Sensitivity Approach to Assessing Model Uncertainty for Stochastic Systems. Amount: $224, 947. Duration: July 2014 June Role: P.I. National Science Foundation (NSF) CMMI. Title: Collaborative Research: Modeling and Analyzing Extreme Risks in Insurance and Finance. Amount: $89, 750. Duration: September 2014 August Role: co-pi (PI: Jose Blanchet, co-pi: Qihe Tang). Journal Publications Lam, H., Sensitivity to serial dependency in input processes: a robust approach, under review. Lam, H., Robust sensitivity analysis for stochastic systems, under minor revision in Mathematics of Operations Research. INFORMS JFIG Best Paper Award Finalist, Brinton, C., Chiang, M., Jain, S., Lam, H., Liu, Z., and Wong, F., Learning about social learning in MOOCS: from statistical analysis to generative model, under review. Blanchet, J. and Lam, H., Uniform heavy-tailed asymptotics for queues in heavy traffic, under review. Lam, H. and Liu, Z., Robust dynamic hedging, under review. Blanchet, J., Chen, X., and Lam, H., Two-parameter sample path large deviations for infinite server queues, to appear in Stochastic Systems, Blanchet, J., and Lam, H., Rare-event simulation for many-server queues, to appear in Mathematics of Operations Research, INFORMS Nicholson Best Student Paper Honorable Mention Prize, Chiang, M., Lam, H., Liu, Z., and Poor, V., Why Steiner-tree type algorithms work for community detection, Journal of Machine Learning Research W & CP (AISTATS), Blanchet, J., and Lam, H., A heavy traffic approach to modeling large life insurance portfolio, Insurance Mathematics and Economics, 53(1), , Blanchet, J., Lam, H., and Zwart, B., Efficient rare-event simulation for perpetuities, Stochastic Processes and Their Applications, 122(10), , Yuen, W., Du, N., Shvartsman, D., Arany, P., Lam, H., and Mooney, D., Statistical platform to discern spatial and temporal coordination of endothelial sprouting, Integrated Biology, 4(3), of 7

3 Lam, H., Blanchet, J., Bazant, M. Z., and Burch, D., Corrections to the Central Limit Theorem for heavy-tailed probability densities, Journal of Theoretical Probability, 24(4), , Blanchet, J., Glynn, P., and Lam, H., Rare-event simulation for a slotted time M/G/s model, Queueing Systems: Theory and Applications, 63, 33-57, Conference Publications Goeva, A., Lam, H. and Zhang, B., Reconstructing input model via simulation optimization, to appear in Proceedings of the Winter Simulation Conference (WSC), Blanchet, J., Dolan, C. and Lam, H., Robust rare-event performance analysis with natural non-convex constraints, to appear in Proceedings of the Winter Simulation Conference (WSC), Bai, Q., Lam, H. and Sclaroff, S., A Bayesian framework for online classifier ensemble, International Conference on Machine Learning (ICML), Lam, H. and Ghosh, S., Iterative method for robust estimation under bivariate uncertainty, Proceedings of the Winter Simulation Conference (WSC), Lam, H., Efficient importance sampling under partial information, Proceedings of the Winter Simulation Conference (WSC), 41 53, Chung, K. M., Lam, H., Liu, Z., and Mitzenmacher, M., Chernoff-Hoeffding bounds for finite Markov chains: generalized and simplified, Proceedings of the Symposium on Theoretical Aspects of Computer Science (STACS), Lam, H., Liu, Z., Mitzenmacher, M., Sun, X., and Wang, Y., Information dissemination via random walks in d-dimensional space, Proceedings of the ACM-SIAM Symposium on Discrete Algorithms (SODA), , Lam, H., Exact asymptotics for infinite-server queues, ACM Proceedings of the 6th International Conference on Queueing Theory and Network Applications, , Blanchet, J. and Lam, H., Importance sampling for actuarial cost analysis under a heavy traffic model, Proceedings of the Winter Simulation Conference (WSC), , Survey Articles Blanchet, J. and Lam, H., State-dependent importance sampling for rare-event simulation: recent advances, Surveys in Operations Research and Management Science, 17(1), 38-59, Blanchet, J., and Lam, H., Rare-event simulation techniques, Proceedings of the Winter Simulation Conference (WSC), Tutorial Paper, Papers in Preparation Adaptive variance reduction algorithms for bid optimization, with G. Zervas, working paper. Asymptotic approximations of input model errors in steady-state estimation, with X. Chen, working paper. Exact asymptotics for infinite-server queues, working paper. Preliminary version appeared in Proceedings of the 6th International Conference on Queueing Theory and Network Applications Efficient rare-event simulation for Markov-modulated random walks, with J. Blanchet, working paper. 3 of 7

4 Optimality of pricing schemes for access service under market segmentation, with G. Gallego, working paper. Computing worst-case model error via iterative importance sampling, with S. Ghosh, working paper. Preliminary version appeared in Proceedings of the Winter Simulation Conference Conference and Workshop Presentations Mini-Symposium on High-Dimensional Discontinuity/Edge Detection and Rare Events, SIAM Conference on Uncertainty Quantification, Atlanta, GA (upcoming). Winter Simulation Conference, Washington D.C., 12/2013. Contributed talk (with selection). Title: Iterative Method for Robust Estimation of Stochastic Systems. INFORMS Annual Meeting, Minneapolis, MN, 10/2013. Invited talk. Title: Robust Assessment of Dependency. BU/Keio Workshop on Probability and Statistics, Boston, MA, 9/2013. Invited talk. Title: A Robust Approach to Assessing Model Uncertainty. Applied Probability Society Conference, San Jose, Costa Rica, 7/2013. Contributed talk. Title: Iterative Method for Robust Estimation under Bivariate Uncertainty. Second Cambridge Area Economics and Computation Day, MIT, Cambridge, MA, 5/2013. Contributed talk (with selection). Title: Robust Dynamic Hedging. New England Statistics Symposium, University of Connecticut, CT, 4/2013. Invited talk. Title: Robust Sensitivity Analysis for Stochastic Systems. Winter Simulation Conference, Berlin, Germany, 12/2012. Contributed talk (with selection). Title: Importance Sampling under Partial Information. Workshop on Computational Methods in Applied Sciences, Department of Statistics, Columbia University, NY, 12/2012. Invited talk. Title: Robust Sensitivity Analysis for Stochastic Systems. INFORMS Annual Meeting, Phoenix, AZ, 10/2012. Invited talk. Title: Robust Sensitivity Analysis for Stochastic Systems. SAMSI Rare-Event Simulation Workshop, Research Triangle Park, NC, 3/2012. Invited talk. Title: Rare-Event Simulation for Measure-Valued Processes. Winter Simulation Conference, Phoenix, AZ, 12/2011. Invited talk. Title: Importance Sampling for Actuarial Cost Analysis under a Heavy Traffic Model. INFORMS Annual Meeting, Charlotte, NC, 10/2011. Invited talk. Title: Modeling and Simulation for Actuarial Risk with Infinite-Server Queues. INFORMS Annual Meeting, Austin, TX, 10/2010. Invited talk. Title: Large Deviations Computations for Large Loss Systems: A Point Process Approach. INFORMS Annual Meeting, Austin, TX, 10/2010. Invited talk. Title: Rare-Event Simulation for Many-Server Queues. INFORMS Annual Meeting, Austin, TX, 10/2010. Contributed talk. Title: A Heavy Traffic Approach to Emerging Cost Analysis in Insurance Risk Management. Simulation of Networks Conference, Issac Newton Institute, University of Cambridge, U.K., 6/2010. Invited talk. Title: Efficient Rare-Event Simulation for Markov- Modulated Perpetuities. 4 of 7

5 Winter Simulation Conference, Austin, TX, 12/2009. Invited talk (Ph.D. Colloquium). Title: Rare-Event Simulation for Many-Server Loss Systems. Northeast Probability Seminar, New York, NY, 11/2009. Contributed talk. Title: Corrections to the Central Limit Theorem for Heavy-Tailed Probability Densities. INFORMS Annual Meeting, San Diego, CA, 10/2009. Contributed talk. Title: A Heavy Traffic Approach to Insurance Portfolio Modeling. INFORMS Annual Meeting, San Diego, CA, 10/2009. Invited talk. Title: Sharp Asymptotics for Heavy-Tailed Single-Server Queues under Heavy Traffic. Applied Probability Society Conference, Ithaca, NY, 7/2009. Invited talk. Title: Corrected Diffusion Approximation for the Cumulants of GI/G/1 Queue under Heavy Traffic. Applied Probability Society Conference, Ithaca, NY, 7/2009. Invited talk. Title: Uniform Large Deviations for Single-Server Queues. INFORMS Annual Meeting, Washington D.C., 10/2008. Invited talk. Title: Beyond Edgeworth Expansion for Regularly Varying Random Walk. Other Invited Talks Department of Risk Management and Insurance, Georgia State University, GA, 12/2013. Invited talk. Title: A Robust Approach to Measuring Asymptotic Model Risk. Ph.D. Seminar, Department of Statistics, Columbia University, NY, 10/2013. Invited talk. Title: A Robust Approach to Computing Asymptotic Model Errors. Machine Learning Seminar, Department of Electrical and Computer Engineering, Boston University, MA, 10/2013. Invited talk. Title: A Robust Approach to Computing Asymptotic Model Errors. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, 12/2012. Invited talk. Title: A Heavy Traffic Approach to Modeling Large Life Insurance Portfolios. Department of Mathematics, Penn State University, PA, 11/2012. Invited talk. Title: Robust Sensitivity Analysis for Stochastic Systems. Business Analytics and Mathematical Sciences Group, IBM Research, Yorktown Heights, NY, 8/2012. Invited talk. Title: Robust Sensitivity Analysis for Stochastic Systems. Department of Statistics, The Chinese University of Hong Kong, Hong Kong, 12/2011. Invited talk. Title: Rare-Event Simulation for Many-Server Queues. Department of Mathematics, University of Wisconsin at Madison, WI, 6/2009. Invited talk. Title: Corrections to the Central Limit Theorem for Heavy-Tailed Probability Densities. DRO Student Seminar, Columbia Business School, New York, NY, 10/2008. Invited talk. Title: A Heavy Traffic Approach to Insurance Portfolio Modeling. Industry Experience Citigroup Global Markets and Banking, Hong Kong July August 2009 Summer Quantitative Analyst, Equity Derivatives Trading 5 of 7

6 Lehman Brothers, Hong Kong June August 2008 Summer Senior Associate, Investment-Linked Insurance Structuring Hewitt Associate LLC, Hong Kong June July 2005 Summer Consultant Standard Chartered Bank, Hong Kong Summer Quantitative Analyst Services Boston University (within Department of Mathematics and Statistics): Organizer for Probability and Statistics Seminar Series, , , Graduate Admission Committee for Statistics, Spring Organizing committee for New England Statistics Symposium (NESS), Spring Boston University (outside Department of Mathematics and Statistics): Affiliate faculty member, Center for Information and Systems Engineering, Boston University, 2012 Present. Affiliate faculty member, Hariri Institute for Computing and Computational Science & Engineering, Boston University, 2011-Present. Harvard University (within Department of Statistics): Student organizer for Harvard Statistics Department Quantitative Finance Workshop Student organizer for Harvard Statistics Department Monte Carlo Workshop Outside universities: Session Chair, Applied Probability Society Conference Session Co-Chair, INFORMS Annual Meeting Reviewer for Annals of Applied Probability, Operations Research, Stochastic Processes and Their Applications, IEEE Transactions on Automatic Control, Statistica Sinica, Stochastic Systems, Bernoulli Journal, Journal of Applied Probability, Journal of Theoretical Probability, ACM Transactions on Modeling and Computer Simulation, Performance Evaluation, Winter Simulation Conference, Applied Mathematics Letters, Applied Stochastic Models in Business and Industry, Journal of Applied Statistics, Communications in Mathematical Sciences. 6 of 7

7 Students Ph.D. Students: Alexandrina Goeva (Current), Clementine Mottet (Current), Jerry Bai (Current), Dan Ren (Defense Committee, Math & Stat, BU), Wes Viles (Defense Committee, Math & Stat, BU), Chong Liu (Defense Committee Chair, Math & Stat, BU), Wuyang Dai (Prospectus Defense Committee, ECE, BU), Jing Qian (Prospectus Defense Committee, ECE, BU), Yixi Shi (Thesis Committee, Columbia), John Zhang (Thesis Committee, Columbia). Undergraduate Students: Nicolas Kim (Honors Thesis Adviser), Guy Aridor (UROP, Joint with Rafik B. Hariri Institute for Computing and Computational Science & Engineering Summer Research Award). Professional Qualifications Passed Society of Actuaries Exam P, FM, MFE, MLC and C. 7 of 7