Assistant Computer Science

Nicholas J. West

http://nickwest.stanford.edu

ICME, 475 Via Ortega, Room 053F 350 Sharon Park Drive, Apt. E16

Stanford, California 94305 Menlo Park, California 94025

********@********.*** 646-***-****

Education:

Stanford University, Stanford, CA:

Ph.D. in Computational and Mathematical Engineering Expected June, 2011

Area of Specialization : Filtering and Control of Nonlinear Stochastic Systems

Advisers : Dr. George Papanicolaou and Dr. Peter Glynn

M.S. in Financial Mathematics Expected March, 2011

New York University, New York, New York:

B.A. in Computer Science (with Honors), magna cum laude 2005

Minors : Physics and Medieval & Renaissance Studies

Doctoral Research:

Filtering and Control of Nonlinear Systems with Near-Periodic Oscillations Spring, 2008 - Present

Investigated scalable ensemble ltering algorithms to estimate the state and distribution of

nonlinear stochastic dynamical systems based on sparse, noisy measurements

Derived conditions to ensure stable tracking of unstable problems with linear dynamics

Developed equations for the optimal fueling of a hypersonic engine and created a control

that allowed the engine to operate ten times longer an uncontrolled engine

Additional Research Projects:

Analysis of Statistical Arbitrage Trading Strategies Spring, 2009 - Present

Studied the performance of statistical arbitrage algorithms on two decades of stock data

Developed con dence intervals of Sharpe ratios for these strategies using bootstrapping

Computation of Rare Event Probabilities for Large Numbers of Defaults Spring, 2010

Investigated variance reduction techniques for clustered-default probabilities

Used the Poisson process as a sampling density to reduce the error in the estimated

probability of a large number of defaults modeled by the Hawkes process

Solution of the Helmholtz Equation in Spherical Coordinates Fall, 2005 - Fall, 2007

Developed a novel algorithm to overcome the poor convergence in standard solvers due to

the anisotropy of a polar mesh

Utilized the structure of this new algorithm to parallelize it; achieved a near-linear speed up

in the run-time

Professional Experience:

Summer Intern, CSRI, Sandia National Laboratories, Albuquerque, New Mexico Summer, 2009

Developed and implemented a statistical algorithm to estimate parameters used in

computational models based on vector-valued experimental data

Constructed an black-box importance sampling algorithm to re ne estimated failure regions

based on an initial set of sampled con gurations

Hurricane Modeling Intern, Risk Management Solutions, London, England Summer, 2007

Implemented a vertically-averaged two-dimensional model of the atmosphere used in

assessing the potential losses due to a hurricane

Augmented the model to allow for the e ects of a hurricane making landfall making this

model competitive with both theoretical models and more complicated numerical models

Course Assistant, Stanford University, Stanford, California Fall, 2006 - Present

Developed and graded homeworks and exams; held o ce hours and communicated complex

mathematical concepts in a clear way to aid problem solving

Graduate Courses: Stochastic Di erential Equations, Financial Mathematics, Stochastic

Methods in Engineering, Numerical Linear Algebra, Large Scale Scienti c Computing

Programming Skills:

Pro cient in : C, C++ and Matlab; OpenMP and MPI; L TEX

A

Comfortable with : Fortran, Java, and R; LAPACK and ARPACK; HTML, PHP, CSS and

MySQL; Tecplot

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