Savaş Dayanık 
Associate Professor
Department of Industrial Engineering
Department of Mathematics
Bilkent University

Contact Information:

Education:

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

Experience:

Assoc. Prof., Dept.'s of Industrial Engineering and Mathematics, Bilkent University, 11/11-present,
Asst. Prof., Dept.'s of Industrial Engineering and Mathematics, Bilkent University, 6/09-11/11,
Asst. Prof., Dept. of ORFE, Princeton University, 07/02-06/09,
Interdepartmental Committee Member, Bendheim Center for Finance, Princeton University, 03-06/09,
Member, Homeland Security Center for Dynamic Data Analysis, Rutgers University, 07-06/09,
Instructor, Department of IEOR, Columbia University, F01, S02.

Teaching:

• Bilkent University (09-Present)
  • IE 325 Stochastic Modeling. Su09, F09, S09, F10, S11, F11, S12.
  • IE 440/IE 540 Introduction to Financial Engineering, S10, S11, S12.
  • IE 523 Probabilistic Analysis, F10.
• 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:

• Applied probability, stochastic processes and modeling.
• Optimal stopping, optimal stochastic control, (approximate) dynamic programming.
• Stochastic optimization with applications in finance, statistics, and engineering.
• Valuation and hedging of American-type contingent claims in finance.
• Sequential change-detection problems in statistics, finance, and engineering.

Publications in Peer-Reviewed Journals and Preprints:

• S. Dayanik and M. Parlar (2011). Dynamic bidding strategies in search-based advertising. Submitted.
• S. Dayanik, W. Powell, and K. Yamazaki (2012). Asymptotically optimal Bayesian sequential change detection and identification rules.
  Annals of Operations Research. To appear in the special volume on Optimization under Uncertainty Costs, Risks, and Revenues in honor of Professor Cyrus Derman.
• S. Dayanik and A. J. Yu (2012). Reward-rate maximization in sequential identification under a stochastic deadline. Submitted.
• S. Dayanik and S. O. Sezer (2010). Multisource Bayesian sequential hypothesis testing. Submitted.
• S. Dayanik and M. Egami (2012). Optimal stopping problems for asset management.
  Advances in Applied Probability. To appear.
• 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
• 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 41^st 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. 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

• 8th World Congress in Probability and Statistics, İstanbul, Turkey, 9-14 July 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)

M.S.E. Students:

• Christian Goulding: Bayesian Sequential Change Detection and Isolation.  Princeton University, May 2007.
  (Winner of the INFORMS 2006 Best Interactive Presentation Award)