3 papers
math.OC2019
Portfolio Optimization under Correlation Constraint
Aditya Maheshwari, Traian Pirvu
We consider the problem of portfolio optimization with a correlation constraint. The framework is the multiperiod stochastic financial market setting with one tradable stock, stoch…
q-fin.CP2018
Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective
Michael Ludkovski, Aditya Maheshwari
We consider solution of stochastic storage problems through regression Monte Carlo (RMC) methods. Taking a statistical learning perspective, we develop the dynamic emulation algori…
math.OC2018
Regression Monte Carlo for Microgrid Management
Clemence Alasseur, Alessandro Balata, Sahar Ben Aziza +3
We study an islanded microgrid system designed to supply a small village with the power produced by photovoltaic panels, wind turbines and a diesel generator. A battery storage sys…