## 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:

PCA by Determinant Optimisation has no Spurious Local Optima

KDD'18: PROCEEDINGS OF THE 24TH ACM SIGKDD INTERNATIONAL CONFERENCE ON KNOWLEDGE DISCOVERY & DATA MINING
page 1504-1511
(2018)
Full text available

Approximation to the mean curve in the LCS problem

Stochastic Processes and their Applications
volume 118
page 629-648
(2008)

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)

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)

## Recent Publications:

Relative Robust Portfolio Optimization with benchmark regret

QUANTITATIVE FINANCE
issue 12
volume 18
page 1991-2003
(2 December 2018)
Full text available

An upper bound on the convergence rate of a second functional in optimal sequence alignment

Bernoulli
issue 2
volume 24
page 971-992
(May 2018)

Nonlinear compressed sensing for multi-emitter X-ray imaging

Lecture Notes in Computer Science (including subseries Lecture Notes in Artificial Intelligence and Lecture Notes in Bioinformatics)
volume 10746 LNCS
page 189-204
(1 January 2018)

3D Image Reconstruction from X-Ray Measurements with Overlap.

CoRR
volume abs/1611.07390
(2016)

3D Image Reconstruction from X-Ray Measurements with Overlap

COMPUTER VISION - ECCV 2016, PT VI
volume 9910
page 19-33
(2016)
Full text available

## Research interests:

I am a member of the Data Science, Numerical Analysis and Computational Finance Groups at the Mathematical Institute of the University of Oxford, and a Tutorial Fellow in Applied Mathematics at Pembroke College Oxford. Before joining Oxford as a University Lecturer, I was a postdoc at the University of Cambridge. I received my PhD in Operations Research from Cornell University in 2000. My first degree was in maths; after studying at EPFL Lausanne for the first two years, I transferred to ETH Zurich where I received a Dipl.Math ETH.

My research interests lie in data science (dimensionalty reduction, perceptron convergence), numerical optimisation (convex optimisation, integer programming, nonconvex nonsmooth optimisation, convergence theory of the parareal algorithm, game theoretic market models), medical imaging (3D tomosynthesis with X-ray emitter panel systems), distributed computing (SVD, structured SVD), and applied probability and statistics (optimal alignment theory of random sequences, sample complexity of PCA). See the above list of selected publications and patents for further specifics.

## Further details:

My greatest pride belongs to the achievements of my students and postdocs:

**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:**

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

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:

- Part B Integer Programming (MT18)
- MSc in Mathematical Finance: Optimisation (HT19)
- Prelims Constructive Mathematics (TT18)
- Part A Numerical Analysis (HT19)
- 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:

A. Eftekhari, R.A. Hauser and Andreas Grammenos. “MOSES: A Streaming Algorithm for Linear Dimensionality Reduction”. arXiv:1806.01304 [cs.IT], 2018. Submitted. R.A. Hauser and A. Eftekhari. “PCA by Optimisation of Symmetric Functions has no Spurious Local Optima”. arXiv:1805.07459 [math.OC]. 2018. Submitted. G. Simoes, M. McDonald, S. Williams, D. Fenn, R.A. Hauser. “Robust Portfolio Optimisation with Specified Competitors”. Quantitative Finance, 2018, 1–13. https://doi.org/10.1080/14697688.2018.1453940 R.A. Hauser, J. Lember, H.F. Matzinger, and R. Kangro. “Quantifying the Estimation Error of Principal Components”. arXiv:1710.10124[math.ST]. Submitted. 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 and H. Matzinger. “Microscopic path structure of optimally aligned random sequences”. To appear in Bernoulli, 2018, 30 pages. R.A. Hauser and H. Matzinger. “Supplement: Microscopic Path Structure of Optimally Aligned Random Sequences”. To appear in Bernoulli, 2018, 15 pages. R.A. Hauser, A. Eftekhari and H. Matzinger. “PCA by Determinant Optimization has no Spurious Local Optima”. KDD 2018. arXiv:1803.04049 [math.OC]. 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. Hauser and M. Klodt. “Nonlinear Compressed Sensing for Multi-Emitter X-Ray Imaging”. Springer International Publishing AG, E. Hancock et al. (Eds.): EMMCVPR 2017 Revised Selected Papers. LNCS 10746, 189–204, 2018. DOI: 10.1007/978-3-319-78199-0. R.A. Hauser and M. Klodt. “3D Image Reconstruction from X-Ray Measurements with Overlap”. Springer International Publishing AG, 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. Publi- cation No WO/2017/130018, publication date 03 Aug 2017. R.A. Hauser and G. Travish. “A method of designing an x-ray emitter panel”. Application PCT/IB2015/057792, priority filing October 16 2014. World wide Patent WO2016059535 A1 granted April 21 2016. M. Troha and R.A. Hauser. “Calculation of a term structure power price equilibrium with ramping constraints”.Journal of Energy Markets, Vol. 8, No. 4 (Dec 2015), 23–68. DOI: 10.21314/JEM.2015.134. ISSN: 1756-3607 (print). R.A. Hauser and D. Goodman. “Parallel Processing”. UK Patent Application PXM40225P.GBA, priority filing Feb 22 2008, US Patent US20090216996 A1 filed Feb 20 2009. IPC G06F 9/38, G06F 9/02, G06F 15/76. Publication date 27 Aug 2009. Publication No 20090216996. R.A. Hauser and E. Amaldi. “Boundedness Theorems for the Relaxation Method”. Math of OR 30 (2005), No. 4, 939–955. DOI: 10.1287/moor.1050.0164. D. Cheung, F. Cucker and R.A. Hauser. “On Tail Decay and Moment Estimates of a Condition Number for Random Linear Conic Systems”. SIAM J. Optim. 15 (2005), no. 4, 1237–1261. R.A. Hauser. “The Nesterov–Todd direction and its relation to weighted analytic centers”. Found. Comput. Math. 4 (2004) no. 1, 1–40. Winner of the 2005 SIAM Activity Group on Optimization Prize. R.A. Hauser and Y. Lim. “Self–scaled barriers for irreducible symmetric cones”. SIAM J. Optim. 12 (2002), No. 3, 715–723. R.A. Hauser and O. Guler. “Self–scaled barrier functions on symmetric cones and their classification”. Found. Comput. Math. 2 (2002), No. 2, 121–143. |