Publication

Least Squares Monte Carlo and Pathwise Optimization for Merchant Energy Production

with Selvaprabu Nadarajah and Nicola Secomandi 

Forthcoming in Operations Research, 2023

Preprints

A Coordinated Decomposition and Regression Approach to Pathwise Optimization with a Merchant Energy Production Application

with Selvaprabu Nadarajah and Nicola Secomandi 

[Draft]

Quadratic Hedging of Futures Term Structure Risk in Merchant Energy Trading Operations

with Nicola Secomandi

[Draft]

Virtual Bidding in a Multi-Settlement Electricity Market

with Daniel Bienstock, Agostino Capponi, and Garud Iyengar

[Draft]

Working In Progress

Data driven distributionally-robust optimization for merchant energy operations models.

with Nicola Secomandi