Ryan Cory-Wright

Postdoctoral Fellow

IBM Research

About me

I am currently a Herman Goldstine Postdoctoral Fellow at IBM Research in Cambridge, MA. In July 2023, I will join the Analytics and Operations Group at Imperial College Business School as an Assistant Professor, with an affiliation with the Imperial-X initiative.

My research follows two main threads. First, developing interpretable algorithms with optimality guarantees to address problems in optimization, machine learning and statistics. Second, using optimization to facilitate renewable integration within electricity markets to combat climate change.

I received my PhD in Operations Research from MIT, where I was advised by Dimitris Bertsimas. Before coming to MIT, I received a BE in Engineering Science from the University of Auckland.

Interests

Optimization
Machine Learning
Statistics
Electricity Markets

Education

PhD in Operations Research, 2022

Massachusetts Institute of Technology
BE (1st class Hons) in Engineering Science, 2017

University of Auckland

Recent News

March 2023: New preprint out on A Stochastic Benders Decomposition Scheme for Large-Scale Data-Driven Network Design.

December 2022: Our paper A New Perspective on Low-Rank Optimization has been accepted for publication at Mathematical Programming.

September 2022: New preprint out on Sparse PCA With Multiple Components.

September 2022: New preprint out on Decarbonizing OCP.

March 2022: Defended my thesis Integer and Matrix Optimization: A Nonlinear Approach.

March 2022: Honored to be selected as a Herman Goldstine Postdoctoral Fellow!

February 2022: I am joining Imperial College Business School (and Imperial-X) starting in July 2023! Very much looking forward to new collaborations and projects at Imperial.

January 2022: Our paper Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality has been accepted for publication at the Journal of Machine Learning Research.

December 2021: Completed the MIT Kaufman Teaching Certificate Program.

October 2021: Excited to receive the 2021 INFORMS Data Mining Student Paper Award with Nicholas Johnson.

September 2021: New preprint out on Sparse Plus Low Rank Matrix Decomposition: A Discrete Optimization Approach.

August 2021: Our paper A Scalable Algorithm For Sparse Portfolio Selection has been accepted for publication at INFORMS Journal on Computing.

July 2021: Our paper Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraints has been accepted for publication at Operations Research.

November 2020: Very excited to receive the 2020 INFORMS George Nicholson Prize with Jean Pauphilet.

Preprints

A Stochastic Benders Decomposition Scheme for Large-Scale Data-Driven Network Design
Submitted, with Dimitris Bertsimas, Jean Pauphilet, and Periklis Petridis.
Preprint

Sparse PCA With Multiple Components
Submitted, with Jean Pauphilet.
Preprint Code

Decarbonizing OCP
Major revision, M&SOM, with Dimitris Bertsimas and Vassilis Digalakis Jr.
Preprint

Sparse Plus Low-Rank Matrix Decomposition: A Discrete Optimization Approach
R&R, Journal of Machine Learning Research, with Dimitris Bertsimas and Nicholas Johnson
First place, 2021 INFORMS Data Mining Student Paper Award
Preprint Code

Publications

A New Perspective on Low-Rank Optimization
Mathematical Programming, 1-46, 2023, with Dimitris Bertsimas and Jean Pauphilet
Preprint DOI Code Video

Mixed-Projection Conic Optimization: A New Paradigm for Modeling Rank Constraints
Operations Research, 70(6):3321-3344, 2022, with Dimitris Bertsimas and Jean Pauphilet
First place, 2020 INFORMS George Nicholson Paper Award
Preprint DOI Code Video Poster

Solving Large-Scale Sparse PCA to Certifiable (Near) Optimality
Journal of Machine Learning Research, 23(13):1-35, 2022, with Dimitris Bertsimas and Jean Pauphilet
Preprint Url Code Slides

A Scalable Algorithm for Sparse Portfolio Selection
INFORMS Journal on Computing, 34(3): 1489-1511, 2022, with Dimitris Bertsimas
Preprint DOI Code Poster

A Unified Approach to Mixed-Integer Optimization Problems With Logical Constraints
SIAM Journal on Optimization, 31(3):2340-2367, 2021, with Dimitris Bertsimas and Jean Pauphilet
First place, 2019 INFORMS Computing Society Student Paper Award
Preprint DOI ICS Newsletter Video

From Predictions to Prescriptions: A Data-Driven Response to COVID-19
Health Care Management Science, 24:253-272, 2021, with Dimitris Bertsimas et al.
First place, 2020 INFORMS Health Applications Society Pierskalla Paper Award
Preprint DOI Project Code NYT

On Stochastic Auctions in Risk-Averse Electricity Markets With Uncertain Supply
Operations Research Letters, 48(3):376-384, 2020, with Golbon Zakeri
Preprint DOI

On Polyhedral and Second-Order Cone Decompositions of Semidefinite Optimization Problems
Operations Research Letters, 48(1):78-85, 2020, with Dimitris Bertsimas
Preprint DOI

Payment Mechanisms For Electricity Markets With Uncertain Supply
Operations Research Letters, 46(1):116-121, 2018, with Andy Philpott and Golbon Zakeri
First place, 2016 ORSNZ Young Practitioner’s Prize
Preprint DOI

Integer and Matrix Optimization: A Nonlinear Approach
Ph.D. Thesis, Massachusetts Institute of Technology, May 2022.
MIT Libraries