Johannes Brust, PhD Candidate, Applied Mathematics

jbrust@ucmerced.edu, CV

Johannes Brust

Welcome

Front Matter:

To a potential collaborator: First, feel free to contact me, or forward my address, with regards to problems or projects for which mathematical solution approaches can be developed. I am interested in problems from industry and academia alike. Second, I am planning to graduate in spring 2018, and will be looking for Post-Doc positions in Mathematical Optimization or Numerical Linear Algebra. If you know of any such positions, please let me know!

About:

I am a PhD candidate in Applied Mathematics at the University of California Merced, mentored by Prof. Roummel Marcia. I engage in the development of solution approaches for different mathematical problems, particularly in the realms of numerical linear algebra and mathematical optimization. My goal is to develop novel and innovative methods for problems from academia and industry, respectively. Prior to coming to UCM I worked as a Quantitative Analyst for an investment bank, and as a quantitative software developer for a technology startup. My Master of Science degree from Maastricht University is on Stochastic Processes applied to the modeling of interest rates in mathematical finance.

Research

My research focus is on the development of methods in optimization and numerical linear algebra. In these fields I am collaborating with:


In my research I am exploring various avenues and connect with different resources:

  • 2017 Summer: Internship,Lawrence Livermore National Lab, CA, with Dr. Cosmin Petra,
  • 2016 Summer: Internship, San Diego Supercomputer Center (SDSC), with Dr. Andreas Götz,
  • 2016 Jul. 17-27: Workshop, SAMSI Industrial Mathematical and Statistical Modeling, North Carolina State University,
  • 2015 Summer: SDSC UC Graduate Summer Fellowship, San Diego Supercomputer Center, with Dr. Andreas Götz.

Projects that we currently pursue are: (A) Large-scale Trust-Region Methods, (B) Compact representation of quasi-Newton matrices, (C) Eigendecomposition of quasi-Newton matrices, (D) Low rank updates to matrix factorizations.

Publications

My research is disseminated via scientific journals,professional conferences and the public domain:

Articles:

2016 [A3] Shape-Changing L-SR1 Trust-Region Methods J.Brust, O. Burdakov, J. Erway, R. Marcia, Y. Yuan (Submitted, .pdf.)
[A2] On Solving L-SR1 Trust-Region Subproblems J.Brust, J. Erway, R. Marcia (Computational Optimization and Applications, .pdf.)
[A1] Uncertainty-enabled Thermal Stress Management of Engineered Multilayered Structures S.Ahmed, J.Brust, C. Marker, J. Massad, P. Miles, R. Kuether S. Rabieniaharatbar, P. Willis (Technical Report, IMSM )
2012 [A0] Theory and implementation of the affine interest rate models: Vasicek and Cox-Ingersoll-Ross J.Brust, Advisers: Dr. A Pelsser, Dr. M. Avarucci (Master Thesis, .pdf )

Presentations:

2017 [P7] On Dense Initial Matrix Trust-Region Methods J.Brust (Presenter), O. Burdakov, J. Erway, R. Marcia (SIAM Optimization, Vancouver)
[P6] Shape-Changing Limited-Memory SR1 Trust-Region Methods J.Brust (Presenter), O. Burdakov, J. Erway, R. Marcia, Y. Yuan (SIAM Optimization, Vancouver)
2016 [P5] On Approaches in Mathematical Optimization with Eigenvalues J.Brust (Presenter), R. Marcia (San Diego Supercomputer Center, .pdf.)
[P4] Uncertainty-enabled Thermal Stress Management of Engineered Multilayered Structures S.Ahmed, J.Brust (Presenter), C. Marker, J. Massad, P. Miles, R. Kuether S. Rabieniaharatbar, P. Willis (IMSM, North Carolina)
[P3] On Solving Trust-Region Subproblems J.Brust (Presenter), J. Erway, R. Marcia (UC Davis, .pdf.)
2015 [P2] A High-Accuracy SR1 Trust-Region Subproblem Solver for Large-Scale Optimization J.Brust, J. Erway (Presenter), R. Marcia (International Symposium For Mathematical Programming.)
[P1] On Methods for a Trust-Region SR1 Algorithm J.Brust (Presenter), R. Marcia (San Diego Supercomputer Center, .pdf.)

Codes:

2016 [C1] OBS-Orthornormal Basis Trust-Region Subproblem Solver J.Brust, J. Erway, R. Marcia, Git link

Contact

Office: COB I, 396-10, UC Merced, 5200 Lake Rd, Merced, CA 95340
Email: jbrust@ucmerced.edu, johannesbrust@yahoo.com
Skype: Johannes Brust
LinkedIn: Johannes Brust