16 citations · 28 across the 8 of their papers we have counts for
11 papers
Optimal Racing of an Energy-Limited Vehicle
Nicholas Moehle
We consider the problem of controlling a vehicle to arrive at a fixed destination while minimizing a combination of energy consumption and travel time. Our model includes vehicle s…
Portfolio Construction as Linearly Constrained Separable Optimization
Nicholas Moehle, Jack Gindi, Stephen Boyd +1
Mean-variance portfolio optimization problems often involve separable nonconvex terms, including penalties on capital gains, integer share constraints, and minimum position and tra…
Portfolio Performance Attribution via Shapley Value
Nicholas Moehle, Stephen Boyd, Andrew Ang
We consider an investment process that includes a number of features, each of which can be active or inactive. Our goal is to attribute or decompose an achieved performance to each…
A Certainty Equivalent Merton Problem
Nicholas Moehle, Stephen Boyd
The Merton problem is the well-known stochastic control problem of choosing consumption over time, as well as an investment mix, to maximize expected constant relative risk aversio…
Risk-Sensitive Model Predictive Control
Nicholas Moehle
We present a heuristic policy and performance bound for risk-sensitive convex stochastic control that generalizes linear-exponential-quadratic regulator (LEQR) theory. Our heuristi…
Tax-Aware Portfolio Construction via Convex Optimization
Nicholas Moehle, Mykel J. Kochenderfer, Stephen Boyd +1
We describe an optimization-based tax-aware portfolio construction method that adds tax liability to standard Markowitz-based portfolio construction. Our method produces a trade li…
Dynamic Energy Management
Nicholas Moehle, Enzo Busseti, Stephen Boyd +1
We present a unified method, based on convex optimization, for managing the power produced and consumed by a network of devices over time. We start with the simple setting of optim…
A Distributed Method for Optimal Capacity Reservation
Nicholas Moehle, Xinyue Shen, Zhi-Quan Luo +1
We consider the problem of reserving link capacity in a network in such a way that any of a given set of flow scenarios can be supported. In the optimal capacity reservation proble…
Value Function Approximation for Direct Control of Switched Power Converters
Nicholas Moehle
We consider the problem of controlling switched-mode power converters using model predictive control. Model predictive control requires solving optimization problems in real time,…
Optimal Current Waveforms for Switched-Reluctance Motors
Nicholas Moehle, Stephen Boyd
In this paper, we address the problem of finding current waveforms for a switched reluctance motor that minimize a user-defined combination of torque ripple and RMS current. The mo…
A Simple Effective Heuristic for Embedded Mixed-Integer Quadratic Programming
Reza Takapoui, Nicholas Moehle, Stephen Boyd +1
In this paper we propose a fast optimization algorithm for approximately minimizing convex quadratic functions over the intersection of affine and separable constraints (i.e., the…