“The woods are lovely, dark and deep. But I have promises to keep, And miles to go before I sleep, And miles to go before I sleep.”

Research Interests

Dynamic Programming, Game Theory, Statistical Learning, Optimization
Applications: Economics (Auctions, Matching Markets) and Finance

Publications

Finance

• A Unified Approach to Multiple Stopping and Duality, Operations Reseach Letters (with Martin Haugh)

• A Convex Optimization Approach to Multiple Stopping: Pricing Swing Options

Economics

• Algorithms for Fair and Indivisible Exchanges on Economic Networks

• Group Strategyproofness of the Egalitarian Mechanism for Constrained Rationing Problems (with Jay Sethuraman)

• The Price of Consistency in Fair Allocation, (with Jay Sethuraman)

Learning and Optimization

• Sparse non-negative deconvolution of discrete time state space models: Application to compressive calcium imaging

• Large scale logistic regression with l1-penalty - a comparative study of optimization algorithms. (with Tony, Bo, Sanjiv, He)

  • Data Blitz talk and poster session at the 6th annual Machine Learning symposium, New York Academy of Sciences, 2011.

• Approx. Algorithms for finding and partitioning unit-disk graphs into co-k-plexes, Optimization Letters, (with B.Balasundaram, S.Trukhanov) (BibTeX)

Old Manuscripts (of sentimental value)

• The Option(s) of using investment banking as a magical wand for big firms

  • 2nd at the “Budding Markowitz” Finance event organized by , St Stephens College, India, 2009.

• Duality in Robust Dynamic Programming: Application to Pricing Convertibles

• A note on the design of dynamic auctions

• Fundamental insights into Multi Armed Bandit Problem

• Relaxing the Approximate Linear Program by Dual Shrinkage

*All PDF files available here are pre-publication manuscripts. Visit the publisher's website to obtain copies of these publications.