252 citations · 396 across the 31 of their papers we have counts for
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math.OC2009★ 3 cited
Approximate Dynamic Programming via a Smoothed Linear Program
V. V. Desai, V. F. Farias, C. C. Moallemi
We present a novel linear program for the approximation of the dynamic programming cost-to-go function in high-dimensional stochastic control problems. LP approaches to approximate…
math.OC2008★ 13 cited
Strategic Execution in the Presence of an Uninformed Arbitrageur
Ciamac C. Moallemi, Beomsoo Park, Benjamin Van Roy
We consider a trader who aims to liquidate a large position in the presence of an arbitrageur who hopes to profit from the trader's activity. The arbitrageur is uncertain about the…
math.OC2007★ 23 cited
Convergence of the Min-Sum Algorithm for Convex Optimization
Ciamac C. Moallemi, Benjamin Van Roy
We establish that the min-sum message-passing algorithm and its asynchronous variants converge for a large class of unconstrained convex optimization problems.