We consider a basic model of multi-period trading, which can be used to evaluate the
performance of a trading strategy. We describe a framework for single-period optimization, where …

Demand forecasting is crucial to electricity providers because their ability to produce energy
exceeds their ability to store it. Excess demand can cause “brown outs,” while excess supply …

We consider the problem of efficiently computing the derivative of the solution map of a convex
cone program, when it exists. We do this by implicitly differentiating the residual map for …

Many numerical methods for conic problems use the homogenous primal–dual embedding,
which yields a primal–dual solution or a certificate establishing primal or dual infeasibility. …

… E(rT b)−λ is convex in b, we note that for rT b > 0, (rT b)−λ is a convex function of b; so the
expectation E… We mention that the last constraint can also be written as log E(rT b)−λ ≤ 0, …

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 …

… In figure 1 we show the scatter plots of E[r|V nor ]. As it is immediately evident, on this time
scale and having used the normalization procedure, the impact becomes very close to a linear …

We study the problem of optimal execution of a trading order under Volume Weighted
Average Price (VWAP) benchmark, from the point of view of a risk-averse broker. The problem …

… This signature page was generated electronically upon submission of this dissertation in
electronic format. An original signed hard copy of the signature page is on file in University …

… The electronic coupling at the C 60 /metal interface plays a crucial role in … electronic structure
is a prerequisite to engineering the device functionalities. Here, we compare the electronic …