Henry P. Wynn

Professor of Statistics
Department of Statistics
London School of Economics
London WC2A 2AE
H.Wynn@lse.ac.uk

Henry Wynn has been Professor of Statistics at the London School of Economics, from 2003 and he leads his own research group, the Decision Support and Risk Group (DSRG), and is a co-Director of the Centre for the Analysis of Time Series (CATS). . He was head of the Department of Statistics from 2003 to 2006 and from 2000 to 2005 was also part-time Scientific co-Director of EURANDOM, the international stochastics institute attached to Eindhoven Technical University (TUE), in the Netherlands. He has a BA in honours mathematics from the University of Oxford and a PhD in Mathematical Statistics from Imperial College London. Following a period as Lecturer and then Reader at Imperial College he became Professor of Mathematical Statistics in 1985 at City University, London, and was Dean of Mathematics there from 1987 to 1995. At City University he co-founded the Engineering Design Centre of which he was co-Director and facilitated the introduction of new degrees, notably the MSc in Quality Improvement and System Reliability and the MSc in Research Methods and Statistics. He moved, in 1995, to the University of Warwick as founding Director of the Risk Initiative and Statistical Consultancy Unit (RISCU) which he helped build to a leading centre of its kind, well supported by a range of research grants. He was a founding president of the European Network for Business and Industrial Statistics (ENBIS), which now has over a thousand members and a successful annual conference. He holds the Guy Medal in Silver from the Royal Statistical Society, is an Honorary Fellow of the Institute of Actuaries and a Fellow of the Institute of Mathematical Statistics.

DSRG

The Decision Support and Risk Group is the name of the research group at LSE of which Henry Wynn is Director. Other information, including research grants and links can be found there.

Full CV

Link to full CV to follow shortly

Research interests

1. Experimental design. Henry has been involved with some of the major advances in experimental design theory since 1970 stemming from the work in optimal experimental design initiated by J Kiefer and co-workers. This includes algorithms, design for correlated and spatial processes, computer experiments and the application of Gröbner basis methodology (see below). In all these areas was author or co-author of among some of the first papers in the field. A recent paper covers the foundations of learning formal Bayes information-theoretic point of view.

2. Discrete tube theory, multiple comparisons and system reliability. Long-standing collaboration with D Q Naiman (John Hopkins) has led to a series of papers, creating the field of discrete tube theory. These yield tight inclusion-exclusion bounds for a number of important problems in multiple comparisons and stochastic geometry. The work has also made a links to Vapnik-Chervonenkis dimension, used in computational geometry and more, recently, to reliability. Recently returned to classical simultaneous inference in collaboration with A J Hayter (Georgia Tech) and W Liu (Southampton). The algebraic geometry methods which spun out of the algebraic statistics, below have been found useful in extending the tube ideas in systems reliability: see joint work with B Giglio and more recently with E Seánz de Cabezón (Rioja) on the application of minimal free resolution including new results on the sequential k-out-of-n problem.

3. Computer Experiments and Robust Engineering Design. Intimately involved with the introduction of robust engineering design methodologies into the UK following extensive workshops in the US, led by J Sacks. This work has led to papers in engineering literature, and extensive collaboration with industrial partners. This extends into more general aspects of product development. Particular expertise in computer experiments, that is the emulation of large-scale simulators, and complex modelling of engineering and related processes. Much of the work is joint with R A Bates (LSE) and M A Atherton (Brunel).

4. Dynamical search. Jointly with A Zhigliavsky (Cardiff) and L Pronzato (CNRS I3S Laboratoire, Sophia Antipolis), initiated this area. By careful renormalization certain search and optimization algorithms can be turned into dynamical systems and convergence rates link to Kolmogorov/Shannon entropy and generalisations. Recent work involves a detailed study of the steepest ascent algorithm’s attractor properties in finite and infinite dimensions (Hilbert space) and strong links have been found with certain optimal design algorithms. The common link is both can be expressed a moment-dependent updates of one dimensional probability distributions

5. Algebraic Statistics: the use of computational algebraic geometry in statistics. This activity has grown into a more ambitious programme to apply computer algebra to discrete statistical methods, both in the static case and via differential algebras to dynamic modelling. In addition to the innovative use of computational algebraic geometry in statistics, there have been spin-offs into real applications, including industrial experimentation compartmental modelling in biology, and functional approximation of various kinds, categorical data analysis and graphical models. Much of the work is joint with G Pistone (Politecnico, Torino) and E Riccomagno (Genova) (monograph) and more recently with H Maruri-Aguilar (LSE). Work with P E Caines (McGill) and R Deardon (Guelph) covers application to graphical models for time series.

6. Group invariant and stochastic orderings. Extensive joint work with A Giovagnoli (Bologna) began with applications of groups invariant ordering to experimental design but has widened to include other areas. Notable is the introduction of the “D”-ordering to describe multivariate dispersion and recent work on generalisations of the duality between Lorentz ordering and second order stochastic dominance.

7. Risk. This is a rapidly expanding area of research activity, stimulated by live contacts with risk issues in both the commercial and private sectors, and across disciplines: physical, financial, environmental, medical, etc. Special projects include environmental impact, risk in product development, human factors, decision support, supply chain risk. Active at a corporate level (see RISCU, above). Risk and decision support is catch-all to describe much of the more recent industrial research. Involvement with climate risk and insurance at LSE is growing strongly.

Monographs since 2000

1. “Dynamical Search" (with L Pronzato and A Zhigljavsky), Chapman & Hall/CRC
2. “Algebraic Statistics” (with E Riccomagno and G Pistone), Chapman and Hall/CRC, 2001.

Papers since 2000

1. (2000) (with P Sebastiani) “The quantisation of the attention function under a Bayes information theoretic model in Bayesian inference and maximum entropy methods in science and engineering”. Ed A. Mohammad-Djafari. American Institute of Physics, New York 159-168.
2. (2000) (with P Sebastiani) “Experimental design to maximise information in Bayesian inference and maximum entropy methods in science and engineering”. Ed A. Mohammad-Djafari. American Institute of Physics, New York 192-203.
3. (2001) (with L Pronzato and A A Zhigljavsky) “Some convergence properties of the steepest descent algorithm revealed by renormalisation”. in: Advances in convex analysis and global optimization, (ser. Nonconvex Optim. Appl., 54) Kluwer Academic Publishers, Dordrecht, 459-471.
4. (2001) (with D Naiman) “Improved inclusion-exclusion inequalities for simplex and orthant arrangements.” Journal of Inequalities in Pure and Applied Mathematics. In press.
5. (2001) (with B Giglio) “Discrete tube bounds for complexity reduction in reliability modelling”. In ESREL 2001, European Safety & Reliability International Conference, TOWARDS A SAFER WORLD, volume 2, pages 1117-1122. Turin, Italy.
6. (2001) (with B Giglio, R Bates) “A global model selection procedure built from polynomial interpolators. Technometrics (accepted subject to revision).
7. (2001) (with G Margaria, E Riccomagno and M J Chappell). “Differential algebra methods for the study of the structural identifiability of rational functions of state-space models in the biosciences”. Mathematical Biosciences. 174, 1-26.
8. (2001) (with G Pistone and E Riccomagno) “Computational commutative algebra in discrete statistics” American Mathematical Society Contemporary Mathematics, 287, 267-281.
9. (2002) (with B Giglio, D Q Naiman) “Gröbner bases, abstract tubes, and inclusion-exclusion reliability bounds”. IEEE Transactions on Reliability, 358-366.
10. (2003) (with R Deardon and PE Caines). “ Conditional orthogonality and conditional stochastic realisation”. Lecture Notes in Control and Inf. Sci, 286, 71-84. (Anders Lindquist, festshrift volume).
11. (2003) (with R A Bates and B Giglio). “A global selection procedure for polynomial interpolators”. Technometrics 45, 246-255.
12. (2004) (with B Giglio) “Monomial ideals and the Scarf complex for coherent systems in reliability theory”. Annals of Statistics, 32, 1289-1331
13. (2004) (with M. Gasparini and M Gabriella) “Dynamic risk control for project development”. Stat. Methods Appl. 13, 73-88.
14. (2004) “Maximum Entropy Sampling and general equivalence theory”. Advances in model-oriented design and analysis. 211-218. Contrib. Statist., Physical, Heidelberg.
15. (2004) (with A di Bucchianico, T. Figarella, G Hgusken, M H Jansen). A Multi-scale approach to functional signature analysis for producte end-of-life management. Qual. Rel. Eng. Int, 20 457-467.
16. (2005) (with D Q Naiman). “The algebra of Bonferroni bounds: discrete tubes and extensions”. Metrika. 62 139-147.
17. (2005) (with L Pronzato and A Zhigliavsky). “Kantorovich-type inequalities for operators via D-optimal design theory”. Linear Algebra Appl. 410, 160-169.
18. (2005) (with A di Bucchianico, T Figarella, G Husken). End-of-life Analysis. Proceedings of MMMR2004. Series on Quality, Relaibility and Engineering Statistics. World Scientific, New Jersey. 10, 73-10.
19. (2006) (with R A Bates, R S Kenert and D M Steinberg). Achieving Robust Design from Computer Experiments. Qual. Tech. Qual. Mang. 3. 161-177.
20. (2006) (with G Pistone and E Riccomagno). Polynomial ideals, monomial bases and a divided difference formula. Rend. Insit. Math. Univ. Trieste, 37, 1-2.
21. (2006) (with G Pistone). Cumulant ideals. Jour. Symbolic Comp. 41, 210-221.
22. (2006) (with R A Bates). “Modelling feasible design regions using lattice-based kernel methods”. Qual. Rel. Eng. Int. 20, 135-142.
23. (2006) (with W. Liu and A J Hayter). Slope modified confidence bands for a simple linear regression model. Stat. Methodol. 3, 186-192.
24. (2006) (with L Pronzato and A Zhigliavsky). “Asymptotic behaviour of a family of gradient algorithms in R^d and Hilbert space. Mathematical Programming. 107, 406-438.
25. (2007) (with W Liu and A J Hayter). Confidence bands for regression: the independence point method. Scan. Jour. Stat.
26. (2007) (with W Liu and A J Hayter). Easy-to-construct confidence bands for comparing tow simple linear regression lines, J. Statist. Plan. Inf. 137,1213-1225.
27. (2007) (with W Liu and A J Hayter). Operability region equivalence: simultaneous confidence bands comaparing two simple liner regression lines. Biom. J., 49, 144-150.
28. (2007) (with R A Bates and E Fraga). Feasibility Region Approximation: a comparison of search cone and convex hull methods. Jour. Eng. Opt. 39, 513-527.
29. (2007) (with P E Caines). An algebraic framework for a Bayes nets of time series. In Modelling, Estimation and Control (G Picci, festschift). Lecture Notes in Control and Information Sciences. Springer, New York. 45-56.
30. (2008) (with M Perry, M A Atherton, R A Bates). Bond graph sensitivity analysis modelling foir micro-scale multiphysics Robust Engineering Design. Jour. Franklin. Inst. (in press).
31. (2008) (with M Perry, R A Bates, M Atherton). A finite element based formulations for sensitivity studies of piezoelectric systems. Jour. Smart Materials & Structures, 17. (in press).
32. (2008) (with R Haycroft, L Pronzato, and A Zhigljavski). Optimal experimental design and quadratic optimisation. Tatra mountains Mathematical Journal. (in press).

Papers submitted or resubmitted

33. (2006) (with W. Liu and A J Hayter). Confidence bands for regression: the independence point method. Scan. J. Statist. (resubmission).
34. (2008) Bayesian information-based learning and majorization. Biometrika (submitted)
35. (2008) (with E Sáenz de Cabezón). Betti numbers and minimal free resolutions for multi-state system reliability bounds. J Symb. Comp. (special issue for MEGA2007). (submitted)
36. (2008) (with Y Berstein, J Lee, H Maruri-Aguilar, E Riccomgno and S Onn). Non-linear matrix optimisation and experimental design. Siam. Jour. Discrete. Math. (submitted).
37. (2008) (with Y Berstein, H Maruri-Aguilar, E Riccomgno and S Onn). Minimla average degree aberration and the state polytope for experimental designs. Bernouilli (submitted).
38. (2008) (with H Maruir-Aguilar). Smooth supersaturated models. Technometrics. (submitted for special issue on computer experiments).
39. (2008) (with A Giovagnoli). Stochastic orderings for discrete random variables. Prob. Stat. Lett (submitted).
40. (2008) (with A Giovagnoli). (U,V)-stochastic ordering and a duality theorem for risk aversion and Lorentz the ordering. Economica (submitted).

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