Publication

Least Squares Monte Carlo and Pathwise Optimization for Merchant Energy Production

with Selvaprabu Nadarajah and Nicola Secomandi 

Forthcoming in Operations Research, 2023

Preprints

Improved Pathwise Optimization for Merchant Energy Production: A Coordinated Decomposition and Regression Approach

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