Scaling Scenario-Based Chance-Constrained Optimization for Rare Events (under review at Math. Programming); with Jaeseok Choi*, Constantino M. Lagoa, Anirudh Subramanyam - Preprint
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)
A large deviations perspective to stress testing, Winter Simulation Conference, 2026 (forthcoming)
Sampling distribution tails using Generative Models (preliminary version available upon request); with Mantu Gupta *, Winter Simulation Conference, 2026 (forthcoming)
Overcoming the Sample Complexity Barrier in Risk Analytics Using Debiased Learning (with Karthyek Murthy, Arjun Ramachandra) Analytics for X, 2022; extended abstract
Combining Retrospective Approximation with Importance Sampling for Risk-Averse Optimisation (with Karthyek Murthy and Tirtho Sarker*) WSC 2022; Invited Paper
A Black Box Importance Sampling Algorithm for Efficient VaR/CVaR estimation (with Karthyek Murthy) WSC 2021.
Optimising tail risks using an importance sampling based extrapolation for heavy tails (with Karthyek Murthy) CDC 2020
Limiting distributional fixed points for systemic risk graph models (with Sandeep Juneja) WSC 2019; Invited Paper.
Importance Sampling in Optimisation with Tail Risks: An Overview (Winter Simulation Conference, 2023)
Asymptotic Analysis of Distributionally Robust Optimisation Problems; with Harshit Joshi*
Learning Conditional Stress Laws of Rare, Joint Loss Events; with Mantu Gupta* (Preliminary version available upon request).
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
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*