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Philip Thompson

Philip Thompson

Assistant Professor of Quantitative Methods
Quantitative Methods

Education

PhD in Mathematics
MS in Mathematics
BS Electronics Engineering

CV

2020- Assistant Professor, Purdue University, Krannert School of Management

2019 Research Associate, University of Cambridge, Center for Mathematical Sciences

2017-2019 Fondation Math. Jacques Hadamard Post-doc Fellow, ENSAE-CREST (under contract with l'École Polytechnique)

2016-2017 Post-doc Fellow, CMM

2011-2015 PhD in Mathematics, IMPA

I'm a researcher interested in the mathematical theory of algorithms found in high-dimensional statistics, learning and (stochastic) optimization. I am also interested in the applications of such algorithms in business problems. Improving education (in all its different aspects) is a second subject of my interest.

Journal Articles

  • A. Iusem, A. Jofré, R.I. Oliveira, P. Thompson (2019). Variance-based extragradient methods with line search for stochastic variational inequalities. SIAM Journal on Optimization,
  • A. Iusem, A. Jofré, P. Thompson (2019). Incremental constraint projection methods for monotone stochastic variational inequalities. Mathematics of Operations Research,
  • A. Jofré, P. Thompson (2019). On variance reduction for stochastic smooth convex optimization with multiplicative noise. Mathematical Programming,
  • A. Iusem, A. Jofré, R.I. Oliveira, P. Thompson (2017). Extragradient method with variance reduction for stochastic variational inequalities. SIAM Journal on Optimization,

Proceedings (refereed)

  • A. Dalalyan, P. Thompson (2019). Outlier-robust estimation of a sparse linear model using l1-penalized Huber's M-estimator, . Advances on Neural Information Processing Systems (NeurIPS),

Working Papers

  • R.I. Oliveira, P. Thompson (2020). Sample average approximation with heavier tails I: non-asymptotic bounds with weak assumptions and stochastic constraints.
  • R.I. Oliveira, P. Thompson (2020). Sample average approximation with heavier tails II: localization in stochastic convex optimization and persistence results for the Lasso.
  • Philip Thompson (2020). Outlier-robust sparse/low-rank least-squares regression and robust matrix completion . https://arxiv.org/abs/2012.06750.
  • P. Thompson, A. Dalalyan Restricted eigenvalue property for corrupted Gaussian design.

2019 Dupačová-Prékopa Student Paper Prize

Quantitative Methods Seminar (2021)

Managed the seminar of the Quantitative Methods Area during Fall 2021.

  • MGMT 30500 (Spring 2020)
  • MGMT 30500 (Spring 2021)
  • MGMT 59000 (Summer 2021)
  • MGMT 59000 (Summer 2021)
  • MGMT 69000 (Spring 2020)
  • MGMT 69900 (Fall 2021)
  • MGMT 69900 (Summer 2020)

Contact

thompsp@purdue.edu
Phone: (765) 496-3574
Office: KRAN 406

Quick links

Personal website