EVT-Based Rate-Preserving Distributional Robustness for Tail Risk Functionals (under review at Extremes) - Preprint
The Scaling Behaviors in Achieving High Reliability via Chance-Constrained Optimization (submission under preparation); with Karthyek Murthy - Preprint
Reduced Sample Complexity in Scenario-Based Control System Design via Constraint Scaling (with Jaeseok Choi*, Constantino M. Lagoa, Anirudh Subramanyam); Control Systems Letters, 2024 - Online Version
Also accepted to American Control Conference, 2025
Achieving Efficiency in Black-Box Simulation of Distribution Tails With Self-Structuring Importance Samplers (with Karthyek Murthy; Operations Research, 2025 - Link to online version
Third Prize at INFORMS JFIG, 2021.
I-SIM Outstanding Publication Award, 2024
Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator (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)
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
Importance Sampling in Optimisation with Tail Risks: An Overview (Winter Simulation Conference, 2023)
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
Scaling Scenario-Based Chance-Constrained Optimization for Rare Events (to be submitted to Math. Programming); with Jaeseok Choi*, Constantino M. Lagoa, Anirudh Subramanyam
A non-parameteric estimator for tail probabilities of spatial extremes (in preparation), with Madhab Barman, Lizan Pereira and Soudeep Deb
An Extreme Value Theory Based Distributionally Robust Scheme for Portfolio Optimisation with Tail Risks (Draft in preparation, extended abstract available upon request); with Samarth Pardhi*
Locally Robust estimation of distribution tails: managing input uncertainty in optimisation problems involving extreme events (Work in Progress)
Sampling distribution tails using Generative Models (Work in Progress); with Mantu Gupta *