Astonishing recent progress in numerical optimization presents many opportunities and challenges for modern data analysis and scientific inference. Econometrics and statistics offer a valuable angle from which to study optimization problems and, conversely, operations research offers a productive perspective from which to consider many problems in econometrics and statistics, whence the importance of fostering interactions between academic communities.
This conference brought together scholars from economics, applied mathematics, operations research, computer science and statistics to share their experience and expertise on these important issues.
This conference was held in-person at the University of Chicago.
As part of the Optimization-Conscious Econometrics Conference, the Griffin Applied Economics Incubator will also host the Optimization-Conscious Econometrics Summer School. Learn more.
Friday, June 9, 2023
Registration and Breakfast
Distributionally Robust Gaussian Nonparametric Estimation
Jose Blanchet, Stanford University (Presenter)
Jiajin Li, Stanford University (Co-author)
Sirui Lin, Stanford University (Co-author)
Youssef Marzouk, Massachusetts Institute of Technology (Co-author)
Viet Anh Nguyen, University of Hong Kong (Co-author)
Sven Wang, Massachusetts Institute of Technology (Co-author)
Xuhui Zhang, Stanford University (Co-author)
A Coupling-Based Estimator of the Asymptotic Variance in the Central Limit Theorem for Markov Chain Ergodic Averages
Pierre Jacob, École Supérieure des Sciences Economiques et Commerciales
Saturday, June 10, 2023
Kapani Family Lounge
Stochastic Approximation to Generalized Method of Moments
Constrained Optimization of Objective Functions Determined from Random Forests
Rim Hariss, McGill University
The Chritoffel Function: Connections and Applications in Data Analysis and Mining.
Numerical Algebraic Geometry for the Method of Moments and Beyond
Old and New Results About Statistical Inference of Empirical Estimates in Stochastic Optimization
Alexander Shapiro, Georgia Institute of Technology