Research publications

Preprints

A nonparametric approach with marginals for modeling consumer choice

Co-authored with Yanqiu Ruan, Xiaobo Li, Karthik Natarajan

• An extended abstract in the proceedings of The 24th ACM Conference on Economics and Computation (EC), 2023 

• Submitted, arXiv version

Distributionally robust affine Markov decision processes 

Co-authored with Divya Padmanabhan

Exact and efficient simulation of tail probabilities of heavy-tailed infinite series

Co-authored with Henrik Hult, Sandeep Juneja

Peer-reviewed publications

Achieving efficiency in black-box simulation of distribution tails with self-structuring importance samplers

Co-authored with Anand Deo

Operations Research (in press)

• 2021 INFORMS Junior Faculty Forum (JFIG) Paper Competition, Third place 

• Here is a link to the SNAPP seminar talk about this paper: link 

• arXiv version

Importance Sampling for minimization of tail risks: A tutorial

Co-authored with Anand Deo

Invited tutorial in Proceedings of Winter Simulation Conference (WSC'23) 

• arXiv version

A nonparametric approach with marginals for modeling consumer choice

Co-authored with Yanqiu Ruan, Xiaobo Li, Karthik Natarajan

Extended abstract in Proceedings of the 24th ACM Conference on Economics and Computation (EC), ACM, 2023 

• arXiv version

Admission Control In the Presence of Arrival Forecasts with Blocking-Based Policy Optimization

Co-authored with Divya Padmanabhan, Satyanath Bhat

In proceedings of the  Winter Simulation Conference (WSC '22), IEEE press, 2022, pp. 2270-2281

Combining Retrospective Approximation with Importance Sampling for Risk Averse Optimisation

Co-authored with Anand Deo, Tirtho Sarker

In Proceedings of the 2022 Winter Simulation Conference (WSC '22), IEEE press, 2022, pp. 891-902

• arXiv version

Confidence regions in Wasserstein distributionally robust optimization

Co-authored with Jose Blanchet, Nian Si  

Biometrika, 2022, 109(2): 295 - 315

• arXiv version

Optimal transport based distributionally robust optimization: Structural properties and iterative Schemes

Co-authored with Jose Blanchet, Fan Zhang  

Mathematics of Operations Research, 2022, (47) 2 : 1500-1529

• arXiv version

Statistical Analysis of Wasserstein Distributionally Robust Estimators

Co-authored with Jose Blanchet, Viet Anh Nguyen, 

INFORMS TutORials in Operations Research, 2021, Emerging Optimization Methods and Modeling Techniques with Applications , 227-254

• arXiv version

Efficient black-box importance sampling for VaR and CVaR estimation

Co-authored with Anand Deo

In Proceedings of the Winter Simulation Conference (WSC '21), IEEE press, 2021, pp. 1-12

• arXiv version

Testing group fairness via optimal transport projections

Co-authored with Nian Si, Jose Blanchet, Viet Anh Nguyen,  

In Proceedings of the 38th International Conference on Machine Learning (ICML), 2021, PMLR 139:9649-9659

• arXiv version

Optimizing tail risks using an importance sampling based extrapolation for heavy-tailed objectives

Co-authored with Anand Deo 

In Proceedings of the 59th IEEE Conference on Decision and Control (CDC), 2020, Korea (South), pp. 1070- 1077

Exploiting partial correlations in distributionally robust optimization

Co-authored with Divya Padmanabhan, Karthik Natarajan

Mathematical Programming, 2021, 186, 209 - 255

• arXiv version

On distributionally robust extreme value analysis

Co-authored with Jose Blanchet, Fei He

 Extremes, 2020, 23(2), 317- 347

• arXiv version

Data-Driven Optimal Transport Cost Selection For Distributionally Robust Optimization

Co-authored with Jose Blanchet, Yang Kang, Fan Zhang 

In Proceedings of the Winter Simulation Conference (WSC '19),  IEEE press, 2019, pp. 3740-37514  

• Winner of the Best Theoretical Paper award

• arXiv version

Robust Wasserstein profile inference and applications to machine learning

Co-authored with Jose Blanchet, Yang Kang

Journal of Applied Probability, 2019, 56(3), 830-857

• arXiv version

Quantifying distributional model risk via optimal transport

Co-authored with Jose Blanchet

Mathematics of Operations Research, 2019, 44:2, 565-600

• arXiv version

Exact simulation of multi-dimensional Reflected Brownian Motion

Co-authored with Jose Blanchet

Journal of Applied Probability, 2018, 55(1), 137-156

• arXiv version

Tail asymptotics for delay in a half-loaded GI/GI/2 queue with heavy-tailed job sizes

Co-authored with Jose Blanchet

Queueing Systems, 2015, 81, 301-340

• arXiv version

Incorporating views on marginal distributions in the calibration of risk models

Co-authored with Santanu Dey, Sandeep Juneja

Operations Research Letters, 2015, 43(1), 46-51

• arXiv version

State-independent importance sampling for random walks with regularly varying increments

Co-authored with Sandeep Juneja, Jose Blanchet 

Stochastic Systems, 2015, 4(2), 321-374

• arXiv version

Optimal rare event Monte Carlo for Markov modulated regularly varying random walks

Co-authored with Sandeep Juneja, Jose Blanchet

In Proceedings of  the Winter Simulation Conference (WSC '13), IEEE press,  2013, pp. 564-576

State-independent importance sampling for estimating large deviation probabilities in heavy-tailed random walks

Co-authored with Sandeep Juneja

In Proceedings of the 6th International ICST Conference on Performance Evaluation Methodologies and Tools, IEEE, 2012, pp. 127-135

We gratefully acknowledge support from the Singapore Ministry of Education Academic Research Funding, Civil Aviation Authority of Singapore, Aviation Studies Institute and the Startup research funding support from SUTD

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