My research interest includes almost everything that may lie in the intersection of Economics, Finance, Operations Research, and Machine Learning.
The main mathematical tools that I am working with include:
Stochastic programming
Distributionally robust optimization
Duality and complementarity modeling
Equilibrium programs with equilibrium constraints (MPEC)
Bilevel Programming
GMM Estimation
Machine Learning
Online and Reinforcement Learning
Topics that have been addressed so far using the above methods:
Electricity Market with a generation mix
Contract designs in Electricity Markets
Emissions Trading Schemes
Demand Response Program
Market making strategy using dynamic programing and optimal control
No-regret algorithms for electricity trading agents