## Status:

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

+44 1865 615308

## ORCID iD:

https://orcid.org/0000-0002-1166-5329## Research groups:

## Address

University of Oxford

Andrew Wiles Building

Radcliffe Observatory Quarter

Woodstock Road

Oxford

OX2 6GG

## Highlighted Publications:

Microscopic path structure of optimally aligned random sequences

Bernoulli
issue 1
volume 26
page 1-30
(26 November 2019)

MOSES: A streaming algorithm for linear dimensionality reduction

IEEE Transactions on Pattern Analysis and Machine Intelligence
issue 11
volume 42
page 2901-2911
(28 May 2019)

PCA by determinant optimisation has no spurious local optima

24th ACM SIGKDD International Conference on Knowledge Discovery and Data Mining 2018, 19 - 23 August, 2018, London
page 1504-1511
(19 July 2018)

Nonlinear compressed sensing for multi-emitter X-ray imaging

11th International Conference on Energy Minimization Methods in Computer Vision and Pattern Recognition (EMMCVPR 2017)
volume 10746 LNCS
page 189-204
(1 January 2018)

Calculation of a term structure power price equilibrium with ramping constraints

The Journal of Energy Markets
issue 4
volume 8
page 23-68
(December 2015)

Letter Change Bias and Local Uniqueness in Optimal Sequence Alignments

Journal of Statistical Physics
issue 3
volume 153
page 512-529
(5 November 2013)

Adversarial smoothed analysis

Journal of Complexity
volume 26
page 255-262
(2010)

Conditioning of random conic systems under a general family of input distributions

Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics
volume 9
page 335-358
(2009)

Large deviations-based upper bounds on the expected relative length of longest common subsequences

Advances in Applied Probability
volume 38
page 827-852
(2006)

Tail decay and moment estimates of a condition number for random linear conic systems

SIAM Journal on Optimization
volume 15
page 1237-1261 (electronic)
(2005)

Boundedness theorems for the relaxation method

Mathematics of Operations Research
volume 30
page 939-955
(2005)

Randomized relaxation methods for the maximum feasible subsystem problem

Integer programming and combinatorial optimization
volume 3509
page 249-264
(2005)

The Nesterov-Todd direction and its relation to weighted analytic centers

Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics
volume 4
page 1-40
(2004)

Self-scaled barrier functions on symmetric cones and their classification

Foundations of Computational Mathematics. The Journal of the Society for the Foundations of Computational Mathematics
volume 2
page 121-143
(2002)

Compact elements and smallest faithful representation of C*-algebras

Proceedings of the American Mathematical Society
volume 123
page 3379-3384
(1995)
Full text available

A DC-Programming Algorithm for Kernel Selection

Proceedings of the 23rd International Con- ference on Machine Learning, Pittsburgh, PA, 2006
issue ACM 2006
volume 148
page 41-48
Full text available

## Research interests:

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

## Further details:

**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.

## Teaching:

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)

## Prizes, awards, and scholarships:

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''.

## Major / recent publications:

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.