Parsiad Azimzadeh
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| Email | MY_FIRST_NAME.MY_LAST_NAME@gmail.com |
| Website | parsiad.ca |
| GitHub | github.com/parsiad |
| Citizenship | Canadian |
| Work Authorization | Green Card |
| Languages | English (native), Farsi (working) |
I am a researcher and engineer with deep expertise in machine learning, computer science, mathematics, and statistics.
I currently work on pretraining at OpenAI.
Experience
Member of Technical Staff, OpenAI — 2025–Present
Quantitative Researcher, PDT Partners — 2019–2025
- Machine/statistical learning α research, trading research
- Built high-performance infrastructure for neural nets, gradient-boosted trees, Bayesopt
Software Engineer, Google LLC — 2018–2019
- Developed GPU/TPU-friendly TensorFlow Probability ODE solvers (see this BDF solver and, for an application, an FFJORD demo)
- Researched and implemented novel auction mechanisms with substantive PNL impact
Research Assistant Professor, University of Michigan Department of Mathematics — 2018
Education
Ph.D., University of Waterloo — 2017
MMath, University of Waterloo — 2013
BSc, Computer Science & Mathematics, Simon Fraser University — 2011
Selected Publications
Anything older than 2015 is excluded.
For a more complete list, I refer you to my Google Scholar page.
- P. Azimzadeh, "A zero-sum stochastic differential game with impulses, precommitment, and unrestricted cost functions", In Appl. Math. Optim., vol. 79, no. 2, pp. 483–514, 2019.
- P. Azimzadeh, E. Bayraktar, "High order Bellman equations and weakly chained diagonally dominant tensors", In SIAM J. Matrix Anal. Appl., vol. 40, no. 1, pp. 276-298, 2019.
- P. Azimzadeh, "A fast and stable test to check if a weakly diagonally dominant matrix is a nonsingular M-matrix", In Math. Comp., vol. 88, no. 316, pp. 783–800, 2019.
- M. Amy, P. Azimzadeh, M. Mosca, "On the CNOT-complexity of CNOT-phase circuits", In Quantum Science and Technology, 2018.
- P. Azimzadeh, E. Bayraktar, G. Labahn, "Convergence of implicit schemes for Hamilton-Jacobi-Bellman quasi-variational inequalities", In SIAM J. Control and Optim., vol. 56, no. 6, pp. 3994–4016, 2018.
- P. Azimzadeh, P. A. Forsyth, "Weakly chained matrices, policy iteration, and impulse control", In SIAM J. Numer. Anal., vol. 54, no. 3, pp. 1341–1364, 2016.
- P. Azimzadeh, T. Carpenter, "Fast Engset computation", In Oper. Res. Lett., vol. 44, no. 3, pp. 313–318, 2016.
- P. Azimzadeh, P. A. Forsyth, "The existence of optimal bang-bang controls for GMxB contracts", In SIAM J. Financial Math., vol. 6, no. 1, pp. 117-139, 2015.
Peer Review
SIAM Journal on Control and Optimization, SIAM Journal on Numerical Analysis, Mathematics of Operations Research, European Journal of Operations Research, Applied Mathematics and Optimization, Journal of Computational Finance, Journal of Combinatorics and Optimization, Dynamic Games and Applications, Numerical Algorithms, IEEE Transactions on Automatic Control
Some (F)OSS Contributions
Though I do not have much time to contribute to (F)OSS, some small contributions can be seen below. Please keep in mind that some of these are old and not indicative of current engineering practices: