Publications
Journal Publications
Achieving Efficiency in Black-Box Simulation of Distribution Tails With Self-Structuring Importance Samplers*(T,P) (with Karthyek Murthy; Operations Research, 2023 - Link to online version Third Prize at INFORMS JFIG, 2021.
Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator *(T) (with Sandeep Juneja) Operations Research, 2021. Winner of best paper award at CRISIL Doctoral Symposium, 2017
City-Scale Agent-Based Simulators for the Study of Non-Pharmaceutical Interventions in the Context of the COVID-19 Epidemic, 2020 (with TIFR and IISc covid modelling teams)
Conference Publications
Limiting distributional fixed points for systemic risk graph models (with Sandeep Juneja) WSC 2019; Invited Paper.
Optimising tail risks using an importance sampling based extrapolation for heavy tails (with Karthyek Murthy) CDC 2020
A Black Box Importance Sampling Algorithm for Efficient VaR/CVaR estimation (with Karthyek Murthy) WSC 2021.
Combining Retrospective Approximation with Importance Sampling for Risk-Averse Optimisation (with Karthyek Murthy and Tirtho Sarker*) WSC 2022; Invited Paper
Overcoming the Sample Complexity Barrier in Risk Analytics Using Debiased Learning (with Karthyek Murthy, Arjun Ramachandra) Analytics for X, 2022; extended abstract
Invited Tutorials
Importance Sampling in Optimisation with Tail Risks: An Overview (Winter Simulation Conference, 2023)
Working Papers
Efficient Solutions to Chance Constrained Optimisation Problems using Self-Structuring Importance Samplers (draft in preparation); with Anirudh Subramanyam, Sai Rakshith, Shanyin Tong and Karthyek Murthy
The price of high reliability: Insights from asymptotics for Chance Constrained Optimisation Problems (Draft in Preparation); with Karthyek Murthy
Targeted Error Correction using De-biasing: Applications to managing Extreme Risks (Work in Progress)
Estimating CVaR sensitivities using Black Box importance Sampling (Work in Progress); with Mantu Gupta*
Sampling is distribution tails using Generative Models (Work in Progress); with Mantu Gupta *