Research Topics


Semidefinite programming methods for discrete optimization problems


Applications of robust optimization techniques


Convex programming based approximation algorithms for network flows and related problems


Mechanism design for supply chains


Revenue management


Approximately optimal control policies for queuing networks

  • Exponential penalty function based control policies for loss queues
    • with K. Sigman
    • Ann. Appl. Prob. 14(4), pp.1698-1740, 2004.

Growth optimal investment

  • Growth optimal investment in horse race markets with costs
    • with T. Cover
    • IEEE Trans. Info. Theory, 46(7), pp. 2675-1683, 2000
  • Discrete time growth optimal investment with proportional transaction cost
  • Universal investment in markets with transaction costs
    • Math. Finance, 15(2), pp. 359-371, 2005.
    • PDF
  • Continuous time growth optimal investment with proportional transaction costs
    • Technical Report # 98, Department of Statistics, Stanford University

Applications in signal processing and communication

  • A new method of channel shortening with applications to discrete multi-tone (DMT) systems, Part I : Theory
    • with D. Pal and J. M. Cioffi
    • Preliminary version in the Proceeding of IEEE International Conference on Communication (ICC) 1998
    • ps.gz
  • A new method of channel shortening with applications to discrete multi-tone (DMT) systems, Part II: Training
    • with D. Pal and J. M. Cioffi
    • ps.gz

Odds and ends

  • A note on martingale on trees: a mathematical programming approach for pricing options
    • Technical Report # 90, Department of Statistics, Stanford University
    • PDF
  • An optimal Riemannian metric for pattern classification
    • with A. Agashe and N. Karmarkar
    • Unpublished manuscript