Search Results for author:
Found 12 papers, 5 papers with code
Least-Cost Structuring of 24/7 Carbon-Free Electricity Procurements
We consider the construction of renewable portfolios targeting specified carbon-free (CFE) hourly performance scores.
Expressive Mortality Models through Gaussian Process Kernels
We develop a flexible Gaussian Process (GP) framework for learning the covariance structure of Age- and Year-specific mortality surfaces.
Large Scale Probabilistic Simulation of Renewables Production
We develop a probabilistic framework for joint simulation of short-term electricity generation from renewable assets.
On Parametric Optimal Execution and Machine Learning Surrogates
Precise calibration of price impact, resilience, etc., is known to be extremely challenging and hence it is critical to understand sensitivity of the execution policy to these parameters.
Regression Monte Carlo for Impulse Control
I develop a numerical algorithm for stochastic impulse control in the spirit of Regression Monte Carlo for optimal stopping.
mlOSP: Towards a Unified Implementation of Regression Monte Carlo Algorithms
We introduce mlOSP, a computational template for Machine Learning for Optimal Stopping Problems.
KrigHedge: Gaussian Process Surrogates for Delta Hedging
We further discuss the application to Delta hedging, including a new Lemma that relates quality of the Delta approximation to discrete-time hedging loss.
Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation
We develop adaptive replicated designs for Gaussian process metamodels of stochastic experiments.
Multi-Output Gaussian Processes for Multi-Population Longevity Modeling
We investigate joint modeling of longevity trends using the spatial statistical framework of Gaussian Process regression.
Applications
Probabilistic Bisection with Spatial Metamodels
The resulting gains of our Spatial PBA algorithm relative to earlier G-PBA models are illustrated with synthetic examples and a challenging stochastic root finding problem from Bermudan option pricing.
Sequential Design for Ranking Response Surfaces
We propose and analyze sequential design methods for the problem of ranking several response surfaces.
Sequential Design for Optimal Stopping Problems
We propose a new approach to solve optimal stopping problems via simulation.
