Karl Sigman
PROFESSOR OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH
310 S.W. Mudd
Mail Code 4704
Karl Sigman uses probability theory, random process theory, and simulation theory to model and analyze systems in which randomness is inherent, such as in telecommunications systems, queueing systems, inventory systems, and insurance risk businesses. This is known as “stochastic modeling”. He is also interested in the theory itself.
Research Interests
Stochastic Modeling, Stochastic Simulation, Queueing Theory, Point Process Theory, the modeling of USA Presidential Elections.Sigman in particular is interested more recently in developing probabilistic simulation algorithms for producing random objects with exact precision, so that numerical estimates of quantities of interest can be obtained with very high accuracy. Blockchain technology and bitcoin is yet another recent interest.
Sigman received a BA in pure mathematics from the University of California, Santa Cruz in 1980, and then an MA (1983) in mathematics and an MS (1984) and PhD (1986) in industrial engineering and operations research, all from the University of California, Berkeley. He is a recipient of an NSF Presidential Young Investigator Award, and twice a recipient of The Distinguished Faculty Teaching Award from Columbia’s School of Engineering and Applied Sciences. He is the current Director of Columbia University’s Center for Applied Probability and the Director of Undergraduate Programs for the Department of Industrial Engineering and Operations Research.
Research Experience
- Postdoctoral fellow, Cornell University, 1986-1987
- Research fellow, Tokyo Japan, 1990-1991; Japan Society for the Promotion of Science.
- Research fellow, Tokyo Institute of Technology, May 2009, Computation as a Foundation for the Sciences
Professional Experience
- Professor of industrial engineering and operations research, Columbia University, 1997–
- Associate professor of industrial engineering and operations research, Columbia University, 1991-1997.
- Assistant professor of industrial engineering and operations research, Columbia University, 1987-1991.
Professional Affiliations
- Institute for Operations Research and the Management Sciences (INFORMS)
- Applied Probability Society of INFORMS
Honors & Awards
- NSF Presidential Young Investigators Award, 1989
- Distinguished Faculty Teaching Award from Columbia’s School of Engineering and Applied Sciences (1998, 2002)
- George E. Nicholson Prize for best publication in Operations Research (First Place), INFORMS, 1986
Selected Publications
- Marcus Ang, Karl Sigman, Jing-Sheng Song, Hanqin Zhang (2017). Closed-Form Approximations for Optimal (r,q) and (S,T) Policies in a Parallel Processing Environment. Operations Research (To Appear.)
- K. Sigman (2013). Using the M/G/1 Queue Under Processor Sharing for Exact Simulation of Queues. Annals of Operations Research.
- K. Sigman (2012). Exact simulation of the stationary distribution of the FIFO M/G/c queue: The general case of Rho< 1. Queueing Systems, 70, 37-43.
- K. Sigman and W. Whitt (2011). Heavy-traffic limits for nearly deterministic queues. Journal of Applied Probability, 48, 657-678.Sigman and W. Whitt (2011)
- K. Sigman and W. Whitt (2011). Heavy-traffic limits for nearly deterministic queues II: Stationary distributions. Queueing Systems, 69, 145-173
- J. Blanchet and K. Sigman (2011). On Exact Sampling of Stochastic Perpetuities. Journal of Applied Probability, 48A, 165-182.
- K. Sigman (2011). Exact simulation of the stationary distribution of the FIFO M/G/c queue. Journal of Applied Probability, 48A, 209-216.
- L. Munasinghe and K. Sigman (2004). A hobo syndrome? Mobility, wages and job turnover. Labour Economics, 11, 191-218