Savaş Dayanık  Professor Department of Industrial Engineering

Contact Information:

Education:

Ph.D. (2002) & M.Phil. (2000), Columbia University, New York.
M.S. (1996) & B.S. (1994), Bilkent University, Turkey.

Experience:

• Prof., Department of Industrial Engineering, Bilkent University, Nov 2017-present,
• Visiting Scholar, Department of Mathematical Sciences, Carnegie Mellon University, Aug 2015-Aug 2016,
• Assoc. Prof., Department of Industrial Engineering, Bilkent University, Nov 2011-Nov 2017,
• Asst. Prof., Department of Industrial Engineering, Bilkent University, June 2009-Nov 2011,
• Asst. Prof., Department of Operations Research and Financial Engineering, Princeton University, July 2002-June 2009,
• Interdepartmental Committee Member, Bendheim Center for Finance, Princeton University, 2003-June 2009,
• Member, Homeland Security Center for Dynamic Data Analysis, Rutgers University, 2007-June 2009,
• Instructor, Department of Industrial Engineering and Operations Research, Columbia University, Fall 2001, Spring 2002.

Teaching:

• Bilkent University (09-Present)
  • IE 325 Stochastic Modeling. Su09, F09, S09, F10, S11, F11, S12, F12, F13, F14, S17.
  • IE 440/IE 540 Introduction to Financial Engineering, S10, S11, S12.
  • IE 451 Applied Data Analysis, S14, S15, Fall and Spring 2016-2025.
  • IE 477 Systems Design-Analysis, Fall 2017-2025.
  • IE 478 Systems Design-Synthesis, Spring 2018-2025.
  • IE 523 Probabilistic Analysis, F10.
  • IE 551 Applied Statistics, S13, S17.
  • IE 553 Applied Statistical Modeling and Data Analysis, S18.
• Princeton University, Department of Operations Research and Financial Engineering (02-09)
  • ORF 245 Fundamentals of Engineering Statistics. F02, S04, S05.
  • ORF 417 Dynamic Programming. S07, S08, S09.
  • ORF 526 Stochastic Modeling. F03, F04, F05, F06, F07, F08.
  • ORF 542 Controlled Markov Processes. S03, S06.

Research Interests:

• Business analytics, data science, statistical learning.
• Applied probability, stochastic processes and modeling.
• Applications to finance, sequential change detection.

Publications in Peer-Reviewed Journals and Preprints:

• S. Dayanik and S. O. Sezer (2023). Optimal dynamic multi-keyword bidding policy of an advertiser in search-based advertising. Mathematical Methods of Operations Research, 97, 25-56
• S. Dayanik and S. O. Sezer (2023). Model misspecification in discrete time Bayesian online change detection. Methodology and Computing in Applied Probability, 25:30.
• C. Uru, S. Dayanik, and S. O. Sezer (2023). Compound Poisson Disorder Problem with Uniformly Distributed Disorder Time. Bernoulli, 29:3, 2272-2294.
• S. Dayanik and K. Yamazaki (2022). Detection and identification of changes of hidden Markov chains: asymptotic theory. Statistical Inference for Stochastic Processes, 25, 261-301.
• E. Dogruoz, S. Dayanik, I. Sabuncuoglu, and G. Budak (2016). Analysis of the in-vitro nanoparticle-cell interactions via smoothing splines mixed effects model.
  Artificial Cells, Nanomedicine, and Biotechnology: An International Journal, 44, 800-810.
• S. Dayanik and S. O. Sezer (2016). Sequential Sensor Installation for Wiener Disorder Detection.
  Mathematics of Operations Research, 41:3, 827-850.
• N. Cenk, G. Budak, S. Dayanik, and I. Sabuncuoglu (2014). Artificial neural network modeling and simulation of in-vitro nanoparticle cell interactions.
  Journal of Computational and Theoretical Nanoscience. 11:1, 272-282.
• S. Dayanik and M. Parlar (2013). Dynamic bidding strategies in search-based advertising.
  Annals of Operations Research. 211:1, 103-136.
• S. Dayanik, W. Powell, and K. Yamazaki (2013). Asymptotically optimal Bayesian sequential change detection and identification rules.
  Annals of Operations Research. Special volume in honor of Professor Cyrus Derman. 208:1, 337-370.
• S. Dayanik and A. J. Yu (2013). Reward-rate maximization in sequential identification under a stochastic deadline.
  SIAM Journal on Control and Optimization. 51:4, 2922–2948.
• S. Dayanik and S. O. Sezer (2012). Multisource Bayesian sequential hypothesis testing.
  Annals of Operations Research. 201:1, 99-130.
• S. Dayanik and M. Egami (2012). Optimal stopping problems for asset management.
  Advances in Applied Probability. 44:3, 655-677.
• S. Dayanik (2010). Wiener disorder problem with observations at fixed discrete time epochs.
  Mathematics of Operations Research. 35:4, 756-785.
• S. Dayanik (2010). Compound Poisson disorder problems with nonlinear detection delay penalty cost functions.
  Sequential Analysis. Special Issue on Change-Point Detection in Honor of Professor A. N. Shiryaev's 75th Birthday. 29:193-216.
• S. Dayanik and C. Goulding (2009). Detection and identification of an unobservable change in the distribution of a Markov-modulated random sequence.
  IEEE Transactions on Information Theory. 55:7, 3323-3345.
• P. Frazier, W. Powell, and S. Dayanik (2009). The knowledge-gradient policy for correlated normal beliefs.
  INFORMS Journal on Computing. 21:4, 599-613.
• S. Dayanik, H. V. Poor, and S. O. Sezer (2008). Sequential multi-hypothesis testing for compound Poisson processes.
  Stochastics, 80:1, 19-50.
• P. Frazier, W. Powell, and S. Dayanik (2008). A knowledge-gradient policy for sequential information collection.
  SIAM Journal on Control and Optimization, 47:5, 2410-2439.
• S. Dayanik, W. Powell, and K. Yamazaki (2008). Index policies for discounted bandit problems with availability constraints.
  Advances in Applied Probability, 40, 377-400.
• S. Dayanik (2008). Optimal stopping of linear diffusions with random discounting.
  Mathematics of Operations Research, 33:3, 645-661.
• R. Carmona and S. Dayanik (2008). Optimal multiple-stopping of linear diffusions.
  Mathematics of Operations Research, 33:2, 446-460.
• S. Dayanik, H. V. Poor, and S. O. Sezer (2008). Multisource Bayesian sequential change detection.
  Annals of Applied Probability, 18:2, 552-590
• S. Dayanik, C. Goulding, and H. V. Poor (2008). Bayesian sequential change diagnosis.
  Mathematics of Operations Research, 33:2, 475-496.
  Winner of the INFORMS 2006 Best Interactive Presentation Award.
• S. Dayanik and M. Ludkovski (2007). Filling the gap between American and Russian options: adjustable regret.
  Stochastics. 79:1-2, 61-83.
• S. Dayanik and S. O. Sezer (2006). Sequential testing of simple hypotheses about compound Poisson processes. 
  Stochastic Processes and their Applications. 116:12, 1892-1919.
• S. Dayanik and S. O. Sezer (2006). Compound Poisson disorder problem. 
  Mathematics of Operations Research. 31:4, 649-672.
  Winner of the INFORMS 2005 JFIG (Junior Faculty Interest Group) Paper Competition.
• E. Bayraktar, S. Dayanik, and I. Karatzas (2006). Adaptive Poisson disorder problem. 
  Annals of Applied Probability. 16:3, 1190-1261.
• E. Bayraktar and S. Dayanik (2006). Poisson disorder problem with exponential penalty for delay. 
  Mathematics of Operations Research. 31:2, 217-233.
  Finalist in the INFORMS 2004 JFIG (Junior Faculty Interest Group) Paper Competition.
• E. Bayraktar, S. Dayanik, and I. Karatzas (2005). The standard Poisson disorder problem revisited. 
  Stochastic Processes and their Applications. 115:9, 1437-1450.
• S. Dayanik and I. Karatzas (2003). On the optimal stopping problem for one-dimensional diffusions. 
  Stochastic Processes and their Applications. 107:2, 173-212
  Winner of the INFORMS 2002 George E. Nicholson Student Paper Competition
• S. Dayanik, J.-S. Song, and S. H. Xu (2003). The effectiveness of several performance bounds for capacitated production, partial-order-service assemble-to-order systems. 
  Manufacturing and Service Operations Management. 5, 230-251.
• S. Dayanik and Ü. Gürler (2002). An adaptive Bayesian replacement policy with minimal repair. 
  Operations Research. 50:3,  552-558.

Publications in Peer-Reviewed Conference Proceedings:

• S.Dayanik and S.O.Sezer (2009). Multisource Bayesian sequential hypothesis testing, Proceedings of the Second International Workshop in Sequential Methodologies.
• S., Dayanik,  W. Powell, K. Yamazaki (2008). Asymptotic analysis of sequential change diagnosis problem,
  Proceedings of the 2008 International Workshop on Applied Probability.
• Dayanik, S., H. V. Poor, S. O. Sezer (2008). Bayesian sequential change detection for Levy processes,
  Proceedings of the 2008 International Workshop on Applied Probability.
• S. Dayanik, C. Goulding, and H. V. Poor (2007). Joint detection and identification of an unobservable change in the distribution of a random sequence,
  Proceedings of the 41st Annual Conference on Information Sciences and Systems, 68-73.

Ph.D. Thesis: 

Contributions to the theory of optimal stopping for one-dimensional diffusions, Columbia University, 2002.

Grants:

• TUBITAK 1001 Scientific and Technological Research Projects Support Program. Missed Flight Cover Option Pricing, PI, 2018-2020.
• TUBITAK 2219 International Post-Doctoral Research Fellowship Program. Support for the sabbatical visit to the Department of Mathematical Sciences, Carnegie Mellon University, USA, August 2015-July 2016.
• TUBITAK 1001 Scientific and Technological Research Projects Support Program. Effective Methods for Detecting the Disorders in the Statistical Laws of Stochastic Processes, PI, 2011-2013.
• TUBITAK 2520 Greece-Turkey Bilateral Research Program. Early Warning Systems for Natural Disasters: Application to Epidemic Outbreak Detection, PI (jointly with Prof. George Moustakides from the University of Patras, Greece), 2011-2013.
• TUBITAK 2252 BIDEB Visiting Scientist Support Program. Approximate Bayesian sequential change-detection algorithms, (hosted Prof. George Moustakides at Bilkent between 1-21 September 2010)
• National Science Foundation (2007-2008), Sequential sampling and dynamic sensor management for nuclear detection. Co-PI (with Warren Powell, PI).
• Department of Homeland Security (2006-2009),  Optimization algorithms for dynamic data, Co-PI (with Warren Powell, PI and Alexandre d’Aspremont, co-PI).
• Air Force Office of Scientific Research (2006-2007), Knowledge networks and coordination in multiagent dynamic resource management, Co-PI (with Warren Powell, PI).
• National Science Foundation (2004-2006), Quickest detection of the Poisson disorder, PI.

Awards and Honors:

• Named to Spring 2008 Commendation List for Outstanding Teaching, School of Engineering and Applied Science, Princeton University.
• Recipient of  the IMS 2006 Inaugural Richard L. Tweedie New Researcher Award.
• Winner of the INFORMS 2005 Junior Faculty Interest Group Paper Competition.
• Finalist in the INFORMS 2004 Junior Faculty Interest Group Paper Competition.
• Winner of the INFORMS 2002 George E. Nicholson Student Paper Competition.

Talks

• 1st Ankara-Istanbul Workshop on Stochastic Processes, Istanbul, June 12-13, 2014

• Bilkent University, Mathematics Department, Ankara, December 17, 2013
• Bilkent University, Industrial Engineering Department, Ankara, November 29, 2013
• Stochastic and Real World Models 2013, Bielefeld, Germany, July 15-19, 2013
• International IIE & YAEM 2013, İstanbul, Turkey, June 26-28, 2013

• 8th World Congress in Probability and Statistics, İstanbul, Turkey, 9-14 July 2012
• 6th Annual Workshop on Supply Chain and Logistics, Ankara, Turkey, 25 June 2012
• International Workshop on Sequential Methods and Their Appications, University of Rouen, France, 4-8 June 2012
• 7. Ankara Matematik Günleri (7th Ankara Mathematics Days), Turkey, 31 May-1 June 2012
• Atılım University, Ankara, Turkey, 28 March 2012

• Conference on Stochastic Control and Optimal Stopping Problems in Finance, Toulouse School of Economics, France, December 7-10, 2011
• Bogazici University, Mathematics Department, Istanbul, November 25, 2011
• Bilkent University, Industrial Engineering Department, Ankara, October 21, 2011
• XXIV. National Mathematics Symposium, Uludag University, Bursa, September 7-10, 2011
• Yeditepe International Research Conference on Bayesian Learning, Istanbul, June 15-17, 2011
• Middle East Technical University, Institute of Applied Mathematics, Ankara, May 17, 2011

• Bilkent University, Mathematics Department, Ankara, October 2010
• 30th National Congress on Operations Research and Industrial Engineering, Istanbul, July 2010
• 24th Mini EURO Conference, Izmir, June 2010
• Koc University, Industrial Engineering Department, Istanbul, May 2010.
• The 5th International Workshop on Applied Probability, Spain, July 5-8, 2010
• London School of Economics, Mathematics Department, January 21, 2010

• Bilkent University, Industrial Engineering Department, Ankara, October 2, 2009
• Symposium on Optimal Stopping with Applications, Turku, Finland, June 23-26, 2009
• Second International Workshop in Sequential Methodologies, Paris, France, June 15-17, 2009
• University of Missouri, Mathematics and Statistics Department, Kansas City, Missouri, April 2, 2009

• 30th Midwest Probability Colloquium, Chicago, IL, October 23-25, 2008
• International Workshop on Applied Probability, France, July 7-10, 2008
• Sixth Seminar on Stochastic Analysis, Random Fields, and Applications, Switzerland, May 19-23, 2008
• Second DyDAn Workshop on Nuclear Detection, Piscataway, NJ, February 5, 2008

• INFORMS National Meeting, Seattle, WA, November 1-7, 2007
• First DyDAn Center Workshop on Nuclear Detection, Piscataway, NJ, October 19, 2007
• First International Workshop in Sequential Methodologies, Auburn, AL, July 22-25, 2007
• AMS Sectional Meeting, Hoboken, NJ, April 14-15, 2007

• Bilkent University, Industrial Engineering Department, Ankara, Turkey, December 1, 2006
• INFORMS National Meeting, Pittsburgh, PA, November 5-8, 2006
• Second Princeton-Cambridge Conference on Finance, Cambridge, UK, September 8-9, 2006
• Ninth Meeting of New Researchers in Statistics and Probability, Seattle, WA, August 1-5, 2006
• Markov Processes and Related Topics (in honor of  the 65^th Birthday of Prof. Tom Kurtz), Madison, WI, July 10-13, 2006
• Integrated Risk Management in Operations and Global Supply Chain Management, Ann Arbor, MI, June 1-4, 2006
• Symposium on Optimal Stopping with Applications, Manchester, UK, January 17-27, 2006

• INFORMS National Meeting, San Francisco, California, November 13-16, 2005
• 3^rd  Oxford/Princeton Conference on Financial Mathematics, Princeton, NJ, November 11-12, 2005
• University of Missouri, Mathematics and Statistics Department, Kansas City, Missouri, November 18, 2005
• 13^th INFORMS Applied Probability Conference, Ottawa, Canada, July 6-9, 2005
• Cornell University, School of ORIE, Ithaca, New York, April 22, 2005
• Rutgers University, Department of Industrial and System Engineering, Piscataway, New Jersey, April 5, 2005
• Columbia University, Department of  Industrial Engineering and Operations Research, New York, New York, March 22, 2005
• Princeton University SEAS Junior Faculty Seminar Series, Princeton, NJ, February 2, 2005

• University of Michigan, Department of Mathematics, Ann Arbor, Michigan, December 9, 2004
• INFORMS National Meeting, Denver, Colorado, October 24-27, 2004
• Columbia University, Department of Mathematics, New York, New York, October 15, 2004
• Workshop Local Time-Space Calculus with Applications, Oberwolfach, Germany, May 16-22, 2004
• Cornell University Finance Meeting, Ithaca, New York, March 26-27, 2004

• Columbia University, Department of Statistics, New York, New York, January 24, 2003

• INFORMS National Meeting, San Jose, California, November 17-20, 2002

Ph.D. Students:

• Masahiko Egami: Contributions to stochastic optimization applied to financial engineering, Princeton University, May 2005.
• Semih O. Sezer: Bayesian sequential change-point detection and hypothesis-testing problems for compound Poisson and Wiener processes, Princeton University, May 2006.
• Kazutoshi Yamazaki: Essays on Sequential Analysis: Multi-Armed Bandit with Availability Constraints and Sequential Change Detection and Identification, Princeton University, March 2009. (Co-advised with Warren Powell)