# Prof. Raphael Hauser

Associate Professor in Numerical Mathematics, Mathematical Institute, University of Oxford.

Director of Graduate Studies - Teaching, Mathematical Institute, University of Oxford.

Tanaka Fellow in Applied Mathematics, Pembroke College Oxford

University of Oxford

Andrew Wiles Building

Radcliffe Observatory Quarter

Woodstock Road

Oxford

OX2 6GG

R.A. Hauser and A. Eftekhari. ``PCA by Optimisation of Symmetric Functions has no Spurious Local Optima''. arXiv:1805.07459 [math.OC]. 2018. Accepted for publication in SIAM Journal on Optimization 2019.

R.A. Hauser and H. Matzinger. ``Microscopic path structure of optimally aligned random sequences''. Bernoulli 26 (1), 2020, pages 1-30. https://doi.org/10.3150/18-BEJ1053.

R.A. Hauser and H. Matzinger. ``Supplement: Microscopic Path Structure of Optimally Aligned Random Sequences''. Bernoulli 26 (1), 2020, 15 pages.

J. Vaes and R.A. Hauser.``Optimal Execution Strategy Under Price and Volume Uncertainty''. arXiv:1810.11454 [q-fin.TR]. Under review, 2019.

A. Eftekhari, R.A. Hauser and A. Grammenos. ``MOSES: A Streaming Algorithm for Linear Dimensionality Reduction''. Accepted for publication in IEEE Transactions on Pattern Analysis and Machine Intelligence, May 2019. DOI 10.1109/TPAMI.2019.2919597. arXiv:1806.01304 [cs.IT].

R.A. Hauser, J. Lember, H.F. Matzinger, and R. Kangro. ``Quantifying the Estimation Error of Principal Components''. Information and Inference: A Journal of the IMA. https://doi.org/10.1093/imaiai/iaz014. Published: 11 July 2019. arXiv:1710.10124[math.ST].

G. Simoes, M. McDonald, S. Williams, D. Fenn, R.A. Hauser. ``Robust Portfolio Optimisation with Benchmark Regret''. Quantitative Finance, 2018, 18, 1-13. https://doi.org/10.1080/14697688.2018.1453940.

R.A. Hauser, I. Popescu and H.F. Matzinger. ``An Upper Bound on the Convergence Rate of a Second Functional in Optimal Sequence Alignment''. arXiv:1409.7713. Bernoulli 2018, Vol. 24, No. 2, 971-992. DOI 10.3150/16-BEJ823.

R.A. Hauser, A. Eftekhari and H. Matzinger. ``PCA by Determinant Optimization has no Spurious Local Optima''. KDD 2018. DOI: 10.1145/3219819.3220069.

R. Hauser and M. Klodt. ``Nonlinear Compressed Sensing for Multi-Emitter X-Ray Imaging''. Springer International Publishing AG 2016, E. Hancock et al. (Eds.): EMMCVPR 2017 Revised Selected Papers. LNCS 10746, 189-204, 2018. DOI: 10.1007/978-3-319-78199-0.

R. Kovacs, O. Gunluk and R.A. Hauser. ``Low-Rank Boolean Matrix Approximation by Integer Programming''. NIPS 2017, Optimization in Machine Learning Workshop. arXiv:1803.04825 [cs.LG].

R.A. Hauser and M. Klodt. ``3D Image Reconstruction from X-Ray Measurements with Overlap''. Springer International Publishing AG 2016, B. Leibe et al.(Eds.): ECCV 2016, Part VI, LNCS 9910, 19--33, 2016. DOI: 10.1007/978-3-319-46466-4 2.

R.A. Hauser, M. Klodt. ``A medical imaging system for producing a digital 3-dimensional image from measurements with overlap on a single fixed array of X-ray detectors, emitted from multiple X-ray sources. US patent application 15230501, priority filing August 2016. Publication No WO/2018/029439.

R.A. Hauser, K. Patel and G. Travish. ``Medical imaging system with a fixed array of X-ray detectors and a fixed array of X-ray emitters for producing a digital 3-dimensional image''. US Patent application PCT/IB2016/000119, priority filing December 2015. International Application No PCT/IB2016/000637, filing date 25 Jan 2016. Publication No WO/2017/130018, publication date 03 Aug 2017.

Data science, numerical optimisation, medical imaging, distributed computing, applied probability and statistics.

Oxford University Teaching Award, 2007.

2005 SIAM Activity Group on Optimization Prize for the paper, ''The Nesterov-Todd Direction and Its Relation to Weighted Analytic Center'' (Foundations of Computational Mathematics, 1-40, 2004).

2000 SIAM Student Paper Prize for the paper "Target Directions for Primal-Dual Interior-Point Methods for Self-Scaled Conic Programming''.

*Hauser, R*

*Matzinger, H*

*Bernoulli*

*volume 26*

*issue 1*

*1-30*

*(26 Nov 2019)*

*Eftekhari, A*

*Hauser, R*

*Grammenos, A*

*IEEE Transactions on Pattern Analysis and Machine Intelligence*

*volume 42*

*issue 11*

*2901-2911*

*(28 May 2019)*

*Hauser, R*

*Eftekhari, A*

*Matzinger, H*

*24th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining 2018, 19 - 23 August, 2018, London*

*1504-1511*

*(19 Jul 2018)*

*Klodt, M*

*Hauser, R*

*11th International Conference on Energy Minimization Methods in Computer Vision and Pattern Recognition (EMMCVPR 2017)*

*(01 Jan 2018)*

*Troha, M*

*Hauser, R*

*The Journal of Energy Markets*

*volume 8*

*issue 4*

*23-68*

*(Dec 2015)*

*Hauser, R*

*Matzinger, H*

*Journal of Statistical Physics*

*volume 153*

*issue 3*

*512-529*

*(05 Nov 2013)*

*Cucker, F*

*Hauser, R*

*Lotz, M*

*Journal of Complexity*

*volume 26*

*255-262*

*(2010)*

*Hauser, R*

*Müller, T*

*Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics*

*volume 9*

*335-358*

*(2009)*

*Hauser, R*

*Martínez, S*

*Matzinger, H*

*Advances in Applied Probability*

*volume 38*

*827-852*

*(2006)*

*Amaldi, E*

*Belotti, P*

*Hauser, R*

*Integer programming and combinatorial optimization*

*volume 3509*

*249-264*

*(2005)*

*Amaldi, E*

*Hauser, R*

*Mathematics of Operations Research*

*volume 30*

*939-955*

*(2005)*

*Cheung, D*

*Cucker, F*

*Hauser, R*

*SIAM Journal on Optimization*

*volume 15*

*1237-1261 (electronic)*

*(2005)*

*Hauser, R*

*Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics*

*volume 4*

*1-40*

*(2004)*

*Hauser, R*

*Güler, O*

*Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics*

*volume 2*

*121-143*

*(2002)*

*Hauser, R*

*Matzinger, H*

*Proceedings of the American Mathematical Society*

*volume 123*

*3379-3384*

*(1995)*

*https://www.maths.ox.ac.uk/people/raphael.hauser*

*Argyriou, A*

*HAUSER, R*

*Micchelli, C*

*Pontil, M*

*Proceedings of the 23rd International Con- ference on Machine Learning, Pittsburgh, PA, 2006*

*volume 148*

*issue ACM 2006*

*41-48*

*https://www.maths.ox.ac.uk/people/raphael.hauser*

MSc in Mathematical Finance: Optimisation (HT19 & HT20)

InFoMM CDT Discrete Optimisation (MT19)

Part B Integer Programming (MT18 & MT19)

Part A Numerical Analysis (HT19)

Prelims Constructive Mathematics (TT18)

Tutorials in Nonphysical Applied Mathematics (Pembroke College)

**Short Biography**

I grew up in Lucerne, Switzerland, and studied Mathematics and Theoretical Physics at EPFL Lausanne and ETH Zurich, graduating with an MSc in Pure Mathematics. After teaching for two years, I moved to Cornell University in Ithaca, USA, and started doctoral studies in Operations Research and Industrial Engineering with a minor in Computer Science. In 1999 I earned a doctorate in Operations Research and moved to the Department of Applied Mathematics and Theoretical Physics at the University of Cambridge in the UK to take up a postdoctoral position. Two years later I became a University Lecturer at the Oxford Computing Laboratory (now the Computer Science Department) and a Tutorial Fellow in Applied Mathematics at Pembroke College Oxford. I am now an Associate Professor at the Oxford Mathematical Institute.

**Research Interests**

I am a member of the Data Science, Numerical Analysis and Mathematical and Computational Finance Groups at the Oxford Mathematical Institute, as well as a Fellow at the Alan Turing Institute. My research interest lie in data science, numerical optimisation, medical imaging, distributed computing, and in applied probability and statistics.

**Current and Former Postdocs:**

*Jaroslav Fowkes*. Postdoctoral Research Fellow at the Oxford Emirates Data Laboratory, Sep 2016 – present.

*Maria Klodt*. Postdoctoal Research Fellow on EPSRC Platform Grant co-funded by Radius Diagnostics Ltd. Jan 2015 – Apr 2017. Joined the Engineering Department of the University of Oxford as a postdoc.

*Martin Lotz*. Research Fellow on the DFG Grant “Geometric Methods in the Probabilistic Analysis of Condition Numbers”. 14 Months starting from June 2008. Joined the University of Edinburgh as a postdoc, followed by an Assistant Professorship at Manchester University. Now an Associate Professor at Warwick University.

*Coralia Cartis*. Postdoctoral research associate on EPSRC funded project “Stiffness in Optimisation”. Joined Edinburgh University as a University Lecturer, now an Associate Professor at the University of Oxford.

**Current and former DPhil Students:**

*Ioan Alexandru Puiu*, CDT in Industrially Focussed Mathematical Modelling (InFoMM), Oxford Mathematical Institute, Oxford, UK, 2019 - present. ``A Simulation Framework for Electricity Markets''. Joint supervision with Graham Allsop, Chris Doyle, Vincent Guffens and Ben Readman (Macquarie Group, London, U.K.)

*Mario Lezcano*, Numerical Analysis Group, Oxford Mathematical Institute, Oct 2018 - present. ``Optimisation on Riemannian manifolds with application to machine learning".

*Melanie Beckerleg*, CDT in Industrially Focussed Mathematical Modelling, Mathematical Institute, Oxford, UK, 2018 - present. ``Bioactivity prediction from chemical and protein structure''. Co-supervised with Andrew Thompson (National Physics Laboratory) in collaboration with E-Therapeutics.

*Reka Kovacs*, Alan Turing Institute, London, UK, Sep 2018 – present. “Low rank Boolean matrix approximation”.

*Giancarlo Antonucci,* CDT in Industrially Focussed Mathematical Modelling, Mathematical Institute, Oxford, UK, Sep 2018 – present. “Time parallel algorithms for tokamak simulation”. In collaboration with the Culham Centre for Fusion Energy, Culham, UK.

*Julien Vaes*, Alan Turing Institute, London, UK, Sep 2017 – present. “Power network optimization”.

*Jonathan Peters*, CDT in Industrially Focussed Mathematical Modelling, Mathematical Institute, Oxford, UK, Sep 2017 – present. “Steam turbine optimization”. In collaboration with Siemens Power Systems, Muelheim an der Ruhr, Germany.

*Joseph Field*, CDT in Industrially Focussed Mathematical Modelling, Mathematical Institute, Oxford, UK, Sep 2017 – present. “Compressed sensing reconstruction of dynamic Xray imaging”. In collaboration with Adaptix Imaging Ltd, Begbroke, UK.

*Goncalo Simoes Matos*, Mathematical Finance Group, Mathematical Institute, Oxford, UK, 2018. ”Robust portfolio optimisation with filtering uncertainty”.

*Sheng Fang*, Numerical Analysis Group, Mathematicdal Institute, Oxford, UK, 2018. “Distributed computing of large-scale singular value decompositions”.

*Miha Troha*, Numerical Analysis Group, Mathematical Institute, Oxford, UK, 2015. “Fundamental model for dynamics of electricity prices”.

*Sergey Shahverdyan*, Mathematical Finance Group, Mathematical Institute, Oxford, UK, 2015. “Model free optimisation in risk management”.

*Denis Zuev*, Oxford Centre for Industrial and Applied Mathematics, UK, 2009. “Robust portfolio optimisation with structured uncertainty”.

*Nachiketa Gupta*, Oxford University Computing Laboratory, UK, 2008. “Constrained Kalman filtering and complex systems”.

*Daniel Goodman*, Oxford University Computing Laboratory, UK, 2007. “A service oriented architecture and language for abstracted distributed algorithms”. Jointly supervised with Andrew Martin (OUCL).

*Jelena Nedic*, Oxford University Computing Laboratory, UK, 2004. “On the dynamics of unconstrained optimisation methods".

**Current and former MSc Students:**

*David Clarke*, Mathematical Institute, University of Oxford, UK, Dec 2018--Apr 2019. ``Stochastic Gradient Descent Methods for Convex Optimisation''. Oxford Masters of Mathematical Sciences / Part C.

*Kieran Wood*, Mathematical Institute, University of Oxford, UK, Dec 2018--Apr 2019. ``Stochastic Gradient Descent Methods for Training Deep Neural Networks''. Oxford Masters of Mathematical Sciences / Part C.

*Badr-Eddine Abdallaoui*, Mathematical Institute, University of Oxford, UK, Dec 2018--Apr 2019. ``Modern Stochastic Gradient Descent Methods''. Oxford Masters of Mathematical Sciences / Part C.

*Thom Fronik*, University of Oxford, UK, May 2019 -- Sep 2019. ``Passenger Forecasting via LSTM Neural Networks''. MSc in Mathematical Modelling and Scientific Computing. Co-supervised with Jaroslav Fowkes.

*Joshua Hyde*, University of Oxford, UK, May 2019 -- Sep 2019. ``Demand Models for Revenue Management in the Airline Industry''. MSc in Mathematical Modelling and Scientific Computing. Co-supervised with Jaroslav Fowkes.

*Saksham Jain*, University of Oxford, UK, May 2019 -- Sep 2019. ``Sequential Quadratic Programming in Network Revenue Management''. MSc in Mathematical Modelling and Scientific Computing. Co-supervised with Jaroslav Fowkes.

*Julien Bruno*, MSc in Mathematical Modelling and Scientific Computing, Oxford Mathematical Institute, UK, May–Sep 2018. “Risk Averse Dynamic Pricing in Revenue Management of Network Carriers.” Co-supervised with Jaroslav Fowkes.

*Ningzhi Tang,* MSc in Mathematical Modelling and Scientific Computing, Oxford Mathematical Institute, UK, May–Sep 2018. “Medium-Term Forecasting of Airport Passenger Numbers”. Co-supervised with Jaroslav Fowkes.

*Reka Kovacs*, MSc in Mathematical Modelling and Scientific Computing, Oxford Mathematical Institute, UK, May–Sep 2017. “Integer Programming Models for Boolean Matrix Factorization”.

*Ilan Price*, MSc in Mathematical Modelling and Scientific Computing, Oxford Mathematical Institute, UK, May– Sep 2017. “Demand Unconstraining in Revenue Management”. Co-supervised with Jaroslav Fowkes.

*Alexis Nortier,* Part-time MSc in Mathematical Finance. Oxford Mathematical Institute, UK, 2016. “Robust Optimization of Portfolios with Factor Exposure”.

*Andraz Erzin*, MSc in Mathematical and Computational Finance, Oxford Mathematical Institute, UK, Jun 2015. “Applying Machine Learning Techniques to Portfolio Optimization”.

*Islam Hassouna*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2014. ``Flight Survey Path Optimization''. Industrial project sponsored by Arkex Ltd.

*Bruno Rosetto*, MSc in Mathematical and Computational Finance, June 2014. ``Multi-period Minimum EntropyConditional Portfolio Updating and Allocation''.

*Fangyuan Cao*, MSc in Mathematical Modelling and Scientific Computing. ``Optimal Toothbrush Design''. Sept 2013. Industrial Project sponsored by Philips.

*Kevin Ngan*, MSc in Mathematical and Computational Finance, Jun 2013. ``LCS and Data Cleaning in High Frequency Trading.''

*Naveed Ausaf*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2013. ``Optimal Sequence Alignment by Distributional Information''.

(Co-Supervisor of) *Benjamin Timmerman*, MSc in Mathematical Finance, University of Oxford, Dec 2012. ``Pricing CMS Spread Options under different Copulas''.

*Andrew Taylor*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``Dynamic Lap Time Simulation of Circuit Racing Cars''.

*Kishan Patel*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``Imaging with X-Ray Emitter Arrays''. Graduated with Distinction. Industrial project sponsored by Radius Diagnostics Ltd. Winner of the 2014 Hansjoerg Wacker Memorial Prize.

*Kirat Dhillon*, MSc in Mathematical Modellling and Scientific Computing, University of Oxford, Sept 2012. ``Knapsack Problems''. Industrial project sponsored by NAG Ltd.

*Ben Wang,* MSc in Mathematical Modelling and Scientific Computing, University of Oxford, Sept 2012. ``Multi-Objective Optimization''.

*Ekta Golchha*, MSc in Mathematical and Computational Finance, Jun 2012. ``Portfolio Optimization with Drawdown Constraints''.

*Marcello Mezzedimi*, MSc in Mathematical Finance, May 2011. ``Alpha Return on Portfolios Hedged with Short ETFs''.

*Bo Guan,* MSc in Mathematical and Computational Finance, Jun 2011. ``Parameter Shrinkage in Covariance Estimation''.

*Yijun Liu*, MSc in Mathematical and Computational Finance, Jun 2011. ``Optimal Trade Execution''.

*Sally Hutchings,* Mathematics and Foundations of Computer Science, Sept 2011. ``The Behaviour of Modularity-Optimizing Community Detection Algorithms''.

*Andree Heseler*, MSc in Mathematical Finance, Sept 2011. ``Asset Allocation under a Conditional Diversification Measure''.

*Nga Hoang*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford. ``Parallel Line Search Methods'', 2010. Industrial project sponsored by NAG Ltd.

*James Wood*, MSc in Mathematical Modelling and Scientific Computing, University of Oxford. ``Maximum Likelihood Estimation in Phylogenic Trees'', 2010.

*Sha Duans*, MSc in Mathematical and Computational Finance, University of Oxford. ``Variable Gearing in Asset Management'', 2010.

*Samuel Clarke,* MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Staff Level Optimisation in Call Centres'', September 2007.

*Delany Adom*, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Deviation Optimisation in Portfolio Theory'', September 2007.

*Ivan Weber*, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Robust Pricing in Revenue Management'', September 2005.

*Kanika Dhyani*, MSc in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Computational Study of a New Polynomial Time Algorithm for Linear Programming'', September 2004.

*Christian Schroeder*, MSc in Applied and Computational Mathematics, OUCL and OCIAM. ``Semidefinite Programming Bounds in Bayesian Statistics'', September 2004.

*Quentin Decouvlaere,* M.Sc.in Mathematical Modelling and Scientific Computing, OUCL and OCIAM, Oxford. ``Upper Bounds for the LCS Problem'', September 2003.

*Berthold Heymann,* part time M.Sc. in Mathematical Finance, OCIAM, Oxford.``Optimisation Approach for Asset Liability Management/Capital Allocation''. September 2004.

*Nadine Gottschalk*, part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Robust Portfolio Management''. September 2003.

*Roman Pausch*, part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Shortfall Risk Approach to Managing the Portfolio of a Pension Fund''. November 2002.

*Ka Victoria Mak*, M.Sc. in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``A Heuristic for Portfolio Rebalancing with Transaction Costs'', September 2002.

*Gauthier Lambert*, M.Sc. in Mathematical Modelling and Scientific Computing, OUCL and OCIAM. ``Valuing Gas Storage'', industrial project, September 2002.

*Juergen Stein,* part time M.Sc. in Mathematical Finance, OCIAM, Oxford. ``Portfolio Theory and Market Fluctuation'', August 2002.

**Current and former Undergraduate Theses Supervisees:**

*Shen Zhao*, Pembroke College, University of Oxford, UK, Jun–Aug 2016. “Principal Component Analysis of Internet Traffic and Web Site Optimization”.

*Fabian Ying,* Mathematical Institute. ``Integrality Constraints in Portfolio Optimization'', Summer 2014.

*Marta Kaczan*, Mathematical Institute. ``Portfolio Optimization'', HT 2014.

*Karyn Cooke,* Mathematical Institute. ``Quadratic Integer Programming and the Cross-Docking Problem'', HT 2013.

*Maulik Pipalia,* Mathematical Institute. ``Optimal Trade Execution'', HT 2012.

*Nicholas Balz*, undergraduate in Maths, Mathematical Insitute. ``Newton's Method and Newton Fractals'', HT 2010.

*Chris Lormoor*, Oxford University Computing Laboratory. ``Large Scale Linear Programming'', TT 2006.