Journal Articles
Frequency Regulation with Storage: On Losses and Profits
European Journal on Operational Research. 2024. DOI : 10.1016/j.ejor.2024.03.022.Small Errors in Random Zeroth-Order Optimization are Imaginary
SIAM Journal on Optimization. 2024.A Planner-Trader Decomposition for Multi-Market Hydro Scheduling
Operations Research. 2024. Vol. 72, num. 1, p. 185-202. DOI : 10.1287/opre.2023.2456.A Pareto Dominance Principle for Data-Driven Optimization
Operations Research. 2024. DOI : 10.1287/opre.2021.0609.Regret Minimization and Separation in Multi-Bidder Multi-Item Auctions
INFORMS Journal on Computing. 2024. DOI : 10.1287/ijoc.2022.0275.Reliable Frequency Regulation through Vehicle-to-Grid: Encoding Legislation with Robust Constraints
Manufacturing & Service Operations Management. 2024. DOI : 10.1287/msom.2022.0154.Data-Driven Chance Constrained Programs over Wasserstein Balls
Operations Research. 2024. Vol. 72, num. 1, p. 410–424. DOI : 10.1287/opre.2022.2330.Policy Gradient Algorithms for Robust MDPs with Non-Rectangular Uncertainty Sets
2023. DOI : 10.48550/arXiv.2305.19004.New Perspectives on Regularization and Computation in Optimal Transport-Based Distributionally Robust Optimization
2023. DOI : 10.48550/arXiv.2303.03900.Stability Verification of Neural Network Controllers using Mixed-Integer Programming
IEEE Transactions on Automatic Control. 2023. Vol. 68, num. 12, p. 7514-7529. DOI : 10.1109/TAC.2023.3283213.On Approximations of Data-Driven Chance Constrained Programs over Wasserstein Balls
Operations Research Letters. 2023. Vol. 51, num. 3, p. 226-233. DOI : 10.1016/j.orl.2023.02.008.Discrete Optimal Transport with Independent Marginals is #P-Hard
SIAM Journal on Optimization. 2023. Vol. 33, num. 2, p. 589-614. DOI : 10.1137/22M1482044.Efficient Learning of a Linear Dynamical System with Stability Guarantees
IEEE Transactions on Automatic Control. 2023. Vol. 68, num. 5, p. 2790-2804. DOI : 10.1109/TAC.2022.3213770.A Unified Theory of Robust and Distributionally Robust Optimization via the Primal-Worst-Equals-Dual-Best Principle
Operations Research. 2023. DOI : 10.1287/opre.2021.0268.Semi-Discrete Optimal Transport: Hardness, Regularization and Numerical Solution
Mathematical Programming. 2023. Vol. 199, p. 1033–1106. DOI : 10.1007/s10107-022-01856-x.Bridging Bayesian and Minimax Mean Square Error Estimation via Wasserstein Distributionally Robust Optimization
Mathematics of Operations Research. 2023. Vol. 48, num. 1, p. 1-37. DOI : 10.1287/moor.2021.1176.Distributionally Robust Optimal Allocation with Costly Verification
2022.Metrizing Fairness
2022.Topological Linear System Identification via Moderate Deviations Theory
IEEE Control Systems Letters. 2022. Vol. 6, p. 307-312. DOI : 10.1109/LCSYS.2021.3072814.On Linear Optimization over Wasserstein Balls
Mathematical Programming. 2022. Vol. 195, num. 1-2, p. 1107–1122. DOI : 10.1007/s10107-021-01673-8.Robust Multidimensional Pricing: Separation without Regret
Mathematical Programming. 2022. Vol. 196, p. 841–874. DOI : 10.1007/s10107-021-01615-4.Distributionally Robust Inverse Covariance Estimation: The Wasserstein Shrinkage Estimator
Operations Research. 2022. Vol. 70, num. 1, p. 490-515. DOI : 10.1287/opre.2020.2076.Scenario Reduction Revisited: Fundamental Limits and Guarantees
Mathematical Programming. 2022. Vol. 191, p. 207–242. DOI : 10.1007/s10107-018-1269-1.Mean-Covariance Robust Risk Measurement
2021.Energy and Reserve Dispatch with Distributionally Robust Joint Chance Constraints
Operations Research Letters. 2021. Vol. 49, num. 3, p. 291-299. DOI : 10.1016/j.orl.2021.01.012.From Data to Decisions: Distributionally Robust Optimization is Optimal
Management Science. 2021. Vol. 67, num. 6, p. 3321-3984. DOI : 10.1287/mnsc.2020.3678.Distributionally Robust Optimization with Polynomial Densities: Theory, Models and Algorithms
Mathematical Programming. 2020. Vol. 181, p. 265–296. DOI : 10.1007/s10107-019-01429-5.Distributionally Robust Mechanism Design
Management Science. 2020. Vol. 66, num. 1, p. 159–189. DOI : 10.1287/mnsc.2018.3219.Regularization via Mass Transportation
Journal of Machine Learning Research. 2019. Vol. 20, num. 103, p. 1-68.Size Matters: Cardinality-Constrained Clustering and Outlier Detection via Conic Optimization
SIAM Journal on Optimization. 2019. Vol. 29, num. 2, p. 1211-1239. DOI : 10.1137/17M1150670.“Dice”-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?
Management Science. 2019. Vol. 65, num. 7, p. 3282–3301. DOI : 10.1287/mnsc.2018.3108.The Decision Rule Approach to Optimisation under Uncertainty: Methodology and Applications
Computational Management Science. 2019. Vol. 16, num. 4, p. 545-576. DOI : 10.1007/s10287-018-0338-5.From Infinite to Finite Programs: Explicit Error Bounds with Applications to Approximate Dynamic Programming
SIAM Journal on Optimization. 2018. Vol. 28, num. 3, p. 1968-1998. DOI : 10.1137/17M1133087.Decision Rule Bounds for Two-Stage Stochastic Bilevel Programs
SIAM Journal on Optimization. 2018. Vol. 28, num. 1, p. 198-222. DOI : 10.1137/16M1098486.Conic Programming Reformulations of Two-Stage Distributionally Robust Linear Programs over Wasserstein Balls
Operations Research. 2018. Vol. 66, num. 3, p. 849-869. DOI : 10.1287/opre.2017.1698.Chebyshev Inequalities for Products of Random Variables
Mathematics of Operations Research. 2018. Vol. 43, num. 3, p. 887-918. DOI : 10.1287/moor.2017.0888.Data-Driven Inverse Optimization with Incomplete Information
Mathematical Programming. 2018. Vol. 167, num. 1, p. 191-234. DOI : 10.1007/s10107-017-1216-6.Data-Driven Distributionally Robust Optimization Using the Wasserstein Metric: Performance Guarantees and Tractable Reformulations
Mathematical Programming. 2018. Vol. 171, num. 1-2, p. 115-166. DOI : 10.1007/s10107-017-1172-1.Ambiguous Joint Chance Constraints under Mean and Dispersion Information
Operations Research. 2017. Vol. 65, num. 3, p. 751-767. DOI : 10.1287/opre.2016.1583.A linear programming approach to the optimization of residential energy systems
Journal of Energy Storage. 2016. Vol. 7, p. 24-37. DOI : 10.1016/j.est.2016.04.009.K-Adaptability in Two-Stage Distributionally Robust Binary Programming
Operations Research Letters. 2016. Vol. 44, num. 1, p. 6-11. DOI : 10.1016/j.orl.2015.10.006.A Comment on “Computational Complexity of Stochastic Programming Problems”
Mathematical Programming. 2016. Vol. 159, num. 1, p. 557-569. DOI : 10.1007/s10107-015-0958-2.Robust Growth-Optimal Portfolios
Management Science. 2016. Vol. 62, num. 7, p. 2090-2109. DOI : 10.1287/mnsc.2015.2228.Distributionally Robust Control of Constrained Stochastic Systems
IEEE Transactions on Automatic Control. 2016. Vol. 61, num. 2, p. 430-442. DOI : 10.1109/TAC.2015.2444134.Generalized Gauss Inequalities via Semidefinite Programming
Mathematical Programming. 2016. Vol. 156, num. 1, p. 271-302. DOI : 10.1007/s10107-015-0878-1.Financial Optimization: Optimization Paradigms and Financial Planning under Uncertainty
OR Spectrum. 2015. Vol. 37, num. 3, p. 553-557. DOI : 10.1007/s00291-015-0406-y.Interdiction Games on Markovian PERT Networks
Management Science. 2015. Vol. 61, num. 5, p. 999-1017. DOI : 10.1287/mnsc.2014.1973.A Distributionally Robust Perspective on Uncertainty Quantification and Chance Constrained Programming
Mathematical Programming. 2015. Vol. 151, num. 1, p. 35-62. DOI : 10.1007/s10107-015-0896-z.K-Adaptability in Two-Stage Robust Binary Programming
Operations Research. 2015. Vol. 63, num. 4, p. 877-891. DOI : 10.1287/opre.2015.1392.Generalized Decision Rule Approximations for Stochastic Programming via Liftings
Mathematical Programming. 2015. Vol. 152, num. 1-2, p. 301-338. DOI : 10.1007/s10107-014-0789-6.Distributionally Robust Multi-Item Newsvendor Problems with Multimodal Demand Distributions
Mathematical Programming. 2015. Vol. 152, num. 1-2, p. 1-32. DOI : 10.1007/s10107-014-0776-y.Distributionally Robust Convex Optimization
Operations Research. 2014. Vol. 62, num. 6, p. 1358-1376. DOI : 10.1287/opre.2014.1314.Distributionally Robust Joint Chance Constraints with Second-Order Moment Information
Mathematical Programming. 2013. Vol. 137, num. 1-2, p. 167-198. DOI : 10.1007/s10107-011-0494-7.Worst-Case Value at Risk of Nonlinear Portfolios
Management Science. 2013. Vol. 59, num. 1, p. 172-188. DOI : 10.1287/mnsc.1120.1615.Robust Markov Decision Processes
Mathematics of Operations Research. 2013. Vol. 38, num. 1, p. 153-183. DOI : 10.1287/moor.1120.0566.A Polynomial-Time Solution Scheme for Quadratic Stochastic Programs
Journal of Optimization Theory and Applications. 2013. Vol. 158, num. 2, p. 576-589. DOI : 10.1007/s10957-012-0264-6.Guest Editorial: Special Issue on Optimal Decision Making under Uncertainty
Computational Management Science. 2012. Vol. 9, num. 1, p. 1-2. DOI : 10.1007/s10287-011-0136-9.Robust resource allocations in temporal networks
Mathematical Programming. 2012. Vol. 135, num. 1-2, p. 437-471. DOI : 10.1007/s10107-011-0478-7.Multi-resource allocation in stochastic project scheduling
Annals of Operations Research. 2012. Vol. 193, num. 1, p. 193-220. DOI : 10.1007/s10479-008-0486-z.A constraint sampling approach for multi-stage robust optimization
Automatica. 2012. Vol. 48, num. 3, p. 459-471. DOI : 10.1016/j.automatica.2011.12.002.Robust Software Partitioning with Multiple Instantiation
INFORMS Journal on Computing. 2012. Vol. 24, num. 3, p. 500-515. DOI : 10.1287/ijoc.1110.0467.Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules
European Journal of Operational Research. 2012. Vol. 216, num. 2, p. 397-408. DOI : 10.1016/j.ejor.2011.08.001.Polynomial Approximations for Continuous Linear Programs
SIAM Journal on Optimization. 2012. Vol. 22, num. 2, p. 628-648. DOI : 10.1137/110822992.An Efficient Method to Estimate the Suboptimality of Affine Controllers
IEEE Transactions on Automatic Control. 2011. Vol. 56, num. 12, p. 2841-2853. DOI : 10.1109/TAC.2011.2139390.Guest Editorial: Special Issue on Computational Finance
Computational Management Science. 2011. Vol. 8, num. 1-2, p. 1-2. DOI : 10.1007/s10287-009-0112-9.Robust portfolio optimization with derivative insurance guarantees
European Journal of Operational Research. 2011. Vol. 210, num. 2, p. 410-424. DOI : 10.1016/j.ejor.2010.09.027.Primal and dual linear decision rules in stochastic and robust optimization
Mathematical Programming. 2011. Vol. 130, num. 1, p. 177-209. DOI : 10.1007/s10107-009-0331-4.Maximizing the net present value of a project under uncertainty
European Journal of Operational Research. 2010. Vol. 202, num. 2, p. 356-367. DOI : 10.1016/j.ejor.2009.05.045.Analysis of the rebalancing frequency in log-optimal portfolio selection
Quantitative Finance. 2010. Vol. 10, num. 2, p. 221-234. DOI : 10.1080/14697680802629400.Dynamic Mean-Variance Portfolio Analysis under Model Risk
Journal of Computational Finance. 2009. Vol. 12, num. 4, p. 91-115. DOI : 10.21314/JCF.2009.202.Convergent Bounds for Stochastic Programs with Expected Value Constraints
Journal of Optimization Theory and Applications. 2009. Vol. 141, num. 3, p. 597-618. DOI : 10.1007/s10957-008-9476-1.An Information-Based Approximation Scheme for Stochastic Optimization Problems in Continuous Time
Mathematics of Operations Research. 2009. Vol. 34, num. 2, p. 428-444. DOI : 10.1287/moor.1080.0369.Valuation of electricity swing options by multistage stochastic programming
Automatica. 2009. Vol. 45, num. 4, p. 889-899. DOI : 10.1016/j.automatica.2008.11.022.Bound-based decision rules in multistage stochastic programming
Kybernetika. 2008. Vol. 44, num. 2, p. 134-150.Aggregation and discretization in multistage stochastic programming
Mathematical Programming. 2008. Vol. 113, num. 1, p. 61-94. DOI : 10.1007/s10107-006-0048-6.Supercurrents through gated superconductor–normal-metal–superconductor contacts: The Josephson transistor
Physical Review B. 2001. Vol. 63, num. 5, p. 054520. DOI : 10.1103/PhysRevB.63.054520.Conference Papers
Contextual Stochastic Bilevel Optimization
2023. 37th Conference on Neural Information Processing Systems (NeurIPS), New Orleans, December 10-16, 2023. DOI : 10.48550/arXiv.2310.18535.Distributionally Robust Linear Quadratic Control
2023. 37th Conference on Neural Information Processing Systems (NeurIPS), New Orleans, December 10-16, 2023. DOI : 10.48550/arXiv.2305.17037.End-to-End Learning for Stochastic Optimization: A Bayesian Perspective
2023. 40th International Conference on Machine Learning, Honolulu, Hawaii, USA, July 23-29 2023. DOI : 10.48550/arXiv.2306.04174.On Topological Equivalence in Linear Quadratic Optimal Control
2021. 2021 European Control Conference (ECC), Rotterdam, Netherlands, June 29 – July 2, 2021. p. 2002-2007. DOI : 10.23919/ECC54610.2021.9654863.Robust Generalization despite Distribution Shift via Minimum Discriminating Information
2021. 35th Conference on Neural Information Processing Systems (NeurIPS), Virtual, December 7-10, 2021.Sequential Domain Adaptation by Synthesizing Distributionally Robust Experts
2021. 38th International Conference on Machine Learning (ICML 2021), Virtual, July 18-24, 2021. p. 7168-7179.Distributionally Robust Optimization with Markovian Data
2021. 38th International Conference on Machine Learning, Virtual, July 18-24, 2021. p. 6493-6503.A Statistical Test for Probabilistic Fairness
2021. ACM Conference on Fairness, Accountability, and Transparency, March 3-10, 2021. DOI : 10.1145/3442188.3445927.Optimistic Distributionally Robust Optimization for Nonparametric Likelihood Approximation
2019. 33rd Conference on Neural Information Processing Systems (NeurIPS), Vancouver, Canada, December 8-14, 2019.Calculating Optimistic Likelihoods Using (Geodesically) Convex Optimization
2019. Neural Information Processing Systems, Vancouver, Canada, December 8-14, 2019.Wasserstein Distributionally Robust Kalman Filtering
2018. Neural Information Processing Systems, Montréal, Canada, December 2-8, 2018.On Risk Reduction in Kelly Betting Using the Conservative Expected Value
2018. 57th IEEE Conference on Decision and Control, Miami Beach, Florida, USA, December 17-19, 2018. p. 5801-5806. DOI : 10.1109/CDC.2018.8619186.Distributionally Robust Logistic Regression
2015. Neural Information Processing Systems, Montréal, Canada, December 7-12, 2015.Robust Data-Driven Dynamic Programming
2013. Neural Information Processing Systems, Lake Tahoe, USA, December 2013.Risk-averse shortest path problems
2012. 2012 IEEE 51st Annual Conference on Decision and Control (CDC), Maui, HI, USA, December 10-13, 2012. p. 2533-2538. DOI : 10.1109/CDC.2012.6426188.SQPR: Stream query planning with reuse
2011. 2011 IEEE International Conference on Data Engineering (ICDE 2011), Hannover, Germany, 11-16 04 2011. p. 840-851. DOI : 10.1109/ICDE.2011.5767851.Welfare-Maximizing Correlated Equilibria with an Application to Wireless Communication
2011. 18th IFAC World Congress, Università Cattolica del Sacro Cuore, Milano, Italy, August 2011. p. 8920-8925. DOI : 10.3182/20110828-6-IT-1002.02982.Hedging Electricity Swing Options in Incomplete Markets
2011. 18th IFAC World Congress, Università Cattolica del Sacro Cuore, Milano, Italy, August 2011. p. 846-853. DOI : 10.3182/20110828-6-IT-1002.03528.A scenario approach for estimating the suboptimality of linear decision rules in two-stage robust optimization
2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, 12-15 December 2011. p. 7386-7391. DOI : 10.1109/CDC.2011.6161342.Decision rules for information discovery in multi-stage stochastic programming
2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, December 12-15, 2011. p. 7368-7373. DOI : 10.1109/CDC.2011.6161382.Scenario-free stochastic programming with polynomial decision rules
2011. 2011 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC 2011), Orlando, FL, USA, December 12-15, 2011. p. 7806-7812. DOI : 10.1109/CDC.2011.6161150.A cutting-plane method for Mixed-Logical Semidefinite Programs with an application to multi-vehicle robust path planning
2010. 2010 49th IEEE Conference on Decision and Control (CDC), Atlanta, GA, USA, December 15-17, 2010. p. 1360-1365. DOI : 10.1109/CDC.2010.5717988.Linearly Adjustable International Portfolios
2010. ICNAAM 2010: International Conference of Numerical Analysis and Applied Mathematics, Rhodes, Greece, September 19–25, 2010. p. 338-341. DOI : 10.1063/1.3498469.Rapid Design Space visualisation through hardware/software partitioning
2009. 2009 5th Southern Conference on Programmable Logic (SPL), São Carlos, Brazil, 1-3 04 2009. p. 159-164. DOI : 10.1109/SPL.2009.4914913.A Stochastic Programming Approach for QoS-Aware Service Composition
2008. 2008 8th IEEE International Symposium on Cluster Computing and the Grid (CCGrid), Lyon, France, 19-22 05 2008. p. 226-233. DOI : 10.1109/CCGRID.2008.40.Numerical Methods to Increase the Value Added
2005. Energy Talks Ossiach ’05, Ossiach, Austria, April 13-15, 2005.Energy Business and Finance Policy – Parallels in Methodology and Duties
2003. 4. Internationales Energiesymposium, Fuschl, Salzburger Land, Austria, September 25, 2003. p. 124-137.Umsetzung stochastischer Optimierungsmethoden in der Energiewirtschaft
2002. VDI Tagung “IT-Lösungen für die Energiewirtschaft in liberalisierten Märkten”, Schliersee, DE, May 15, 2002. p. 141-151.Books
Generalized Bounds for Convex Multistage Stochastic Programs
Berlin: Springer-Verlag, 2005.Book Chapters
Wasserstein Distributionally Robust Optimization: Theory and Applications in Machine Learning
Operations Research & Management Science in the Age of Analytics; 2019. p. 130-166.Optimal Financial Decision Making Under Uncertainty
Optimal Financial Decision Making under Uncertainty; Springer International Publishing, 2017. p. 255-290.The Stochastic Time-Constrained Net Present Value Problem
Handbook on Project Management and Scheduling Vol. 2; Springer International Publishing, 2015. p. 753-780.Barycentric Bounds in Stochastic Programming: Theory and Application
Stochastic Programming: The State of the Art, In Honor of George B. Dantzig; New York, NY: Springer New York, 2011. p. 67-96.Stochastic Optimization of Investment Planning Problems in the Electric Power Industry
Energy Systems Engineering; Weinheim: Wiley-VCH, 2008. p. 215-230.Threshold Accepting Approach to Improve Bound-based Approximations for Portfolio Optimization
Computational Methods in Financial Engineering; Berlin: Springer Verlag, 2008. p. 3-26.Reports
Stochastische Optimierung im Energiehandel: Entscheidungsunterstützung und Bewertung für das Portfoliomanagement
2005
Swing-Optionen im Elektrizitätsmarkt – Bewertung und optimale Ausübungsstrategien komplexer Stromderivate
2005
A Software Tool for the Valuation and Optimal Exercise of Swing Options
2003