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Information for

Andrew Heunis

Professor

Contact InformationAndrew Heunis

Phone: 519-888-4567 x32083
Location: EIT 3115

Website

Biography Summary

Andrew Heunis is a Professor in the Department of Electrical and Computer Engineering and cross-appointed to Statistics and Actuarial Sciences at the University of Waterloo.

Professor Heunis currently has research interests in stochastic algorithms, system identification, nonlinear filtering and stochastic differential equations. He has published journals with the Society for Industrial and Applied Mathematics and IEEE, as well as various PDF texts.

Research Interests

  • Communication Systems
  • Information Systems
  • Stochastic Algorithms
  • System Identification
  • Nonlinear Filtering
  • Stochastic Differential Equations

Education

  • 1984, Doctorate, PhD, Imperial College of Science & Technology
  • 1978, Bachelor's, BSc, University of the Witwatersrand, Johannesburg
  • 1978, Master's, MSc, Imperial College of Science & Technology

Courses

  • ECE 784 - Introduction to Stochastic Calculus
  • ECE 207 - Signals and Systems
  • ECE 686 - Filtering and Control of Stochastic Linear Systems

Selected/Recent Publications

  • Heunis, Andrew J, Utility Maximization in a Regime Switching Model with Convex Portfolio Constraints and Margin Requirements: Optimality Relations and Explicit Solutions, SIAM Journal on Control and Optimization, 53(4), 2015, 2608 - 2656
  • Heunis, Andrew J, Quadratic minimization with portfolio and terminal wealth constraints, Annals of Finance, 11(2), 2015, 243 - 282
  • Donnelly, Catherine and Heunis, Andrew J, Quadratic risk minimization in a regime-switching model with portfolio constraints, SIAM Journal on Control and Optimization, 50(4), 2012, 2431 - 2461
  • Labbé, Chantal and Heunis, Andrew J, Conjugate duality in problems of constrained utility maximization, Stochastics: An International Journal of Probability and Stochastics Processes, 81(6), 2009, 545 - 565
  • Heunis, Andrew J and Lucic, Vladimir M and others, On the Innovations Conjecture of Nonlinear Filtering with Dependent Data, Electronic Journal of Probability, 13, 2008, 2190 - 2216
  • Labbé, Chantal and Heunis, Andrew J, Convex duality in constrained mean-variance portfolio optimization, Advances in applied probability, 2007, 77 - 104
  • Hashemi §}, Seyed N and Heunis, Andrew J, On the Poisson equation for singular diffusions, Stochastics An International Journal of Probability and Stochastic Processes, 77(2), 2005, 155 - 189
  • Heunis, Andrew J, Strong invariance principle for singular diffusions, Stochastic processes and their applications, 104(1), 2003, 57 - 80
  • Lucic, Vladimir M and Heunis, Andrew J, Convergence of nonlinear filters for randomly perturbed dynamical systems, Applied Mathematics and Optimization, 48(2), 2003, 93 - 128
  • Lucic, Vladimir M and Heunis, Andrew J, On uniqueness of solutions for the stochastic differential equations of nonlinear filtering, Annals of Applied Probability, 2001, 182 - 209
  • Joslin, Jeff A and Heunis, Andrew J, Law of the iterated logarithm for a constant-gain linear stochastic gradient algorithm, SIAM Journal on Control and Optimization, 39(2), 2000, 533 - 570
  • Hashemi, SN and Heunis, A J, Averaging principle for diffusion processes, Stochastics and Stochastic Reports, 62(3-4), 1998, 201 - 216
  • Pezeshki-Esfahani, Hossain and Heunis, Andrew J, Strong diffusion approximations for recursive stochastic algorithms, IEEE Transactions on Information Theory, 43(2), 1997, 512 - 523
  • Kouritzin, MA and Heunis, AJ, A law of the iterated logarithm for stochastic processes defined by differential equations with a small parameter, The Annals of Probability, 1994, 659 - 679
  • Heunis, Andrew, Rates of convergence for an adaptive filtering algorithm driven by stationary dependent data, SIAM journal on control and optimization, 32(1), 1994, 116 - 139
  • Heunis, AJ and Kouritzin, MA, Strong convergence in the stochastic averaging principle, Journal of Mathematical Analysis and Applications, 187(1), 1994, 134 - 155
  • Kouritzin, MA and Heunis, AJ, Rates of convergence in a central limit theorem for stochastic processes defined by differential equations with a small parameter, Journal of multivariate analysis, 43(1), 1992, 58 - 109
  • SRIVASTAVA, MS and HEUNIS, AJ and TUDOR, CONSTANTIN and KADIYALA, KR and KLEFFE, J and KOURITZIN, MA and LAHIRI, SN and LE, NIIU D and LII, KEH-SHIN and VAN DER VAART, AW and others, GUPTA, RAMESHWAII D., 29, Journal of Multivariate Analysis, 43, 1992
  • Heunis, AJ, On the stochastic differential equations of filtering theory, Applied Mathematics and Computation, 39(3), 1990, 3 - 36
  • Heunis, AJ, On the stochastic differential equations, Applied Mathematics and Computation, 38(3), 1990, 3 - 36
  • Heunis, AJ, Asymptotic properties of prediction error estimators in approximate system identification, Stochastics: An International Journal of Probability and Stochastic Processes, 24(1), 1988, 1 - 43
  • Heunis, AJ, Non-Linear Filtering of Rare Events with Large Signal-to-Noise Ratio, Journal of applied probability, 1987, 929 - 948
  • Heunis, AJ, A limit theorem for the martingale problem and continuous dependence of the solutions of stochastic differential equations, Stochastics: An International Journal of Probability and Stochastic Processes, 16(3-4), 1986, 157 - 195
  • Heunis, Andrew J, On the prevalence of stochastic differential equations with unique strong solutions, The annals of Probability, 1986, 653 - 662
  • Heunis, AJ, Continuous dependence of the solutions of an ordinary differential equation, Journal of differential equations, 54(2), 1984, 121 - 138
  • Heunis, Andrew J, Mean-square minimization in mathematical finance with control and state constraints, Proceedings of the 19th International Symposium on Mathematical Theory of Networks and Systems--MTNS, January 2010
  • Lucic, Vladimir M and Heunis, AJ, On pathwise uniqueness for the Zakai filter equation, Decision and Control, 2000. Proceedings of the 39th IEEE Conference on, January 2000, 4274 - 4279
  • Heunis, Andrew, Rates of convergence for an adaptive filtering algorithm, Decision and Control, 1993., Proceedings of the 32nd IEEE Conference on, January 1993, 3501 - 3504
  • Heunis, AJ, The innovation problem,
  • Davis, MH and Heunis, AJ, Linear stochastic systems,
  • Labbé, Chantal and Heunis, Andrew J, Convex duality in problems of constrained portfolio optimization, January 2004,
  • Heunis, Andrew James, Continuous Dependence and Pathwise Uniqueness in the Theory of Stochastic Differential Equations, January