My research is focused on the optimal control of large-scale stochastic systems, with an emphasis on applications in financial engineering.

Short research briefs that feature some of my work are available here:

Finance

[1]
C. Maglaras, C. C. Moallemi, H. Zheng. Optimal order routing in a fragmented market. Working paper. Initial version: May 2012.
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*Honorable Mention, INFORMS Financial Services Section Student Research Paper Competition, 2012
[2]
C. C. Moallemi, M. Sağlam. Dynamic portfolio choice with linear rebalancing rules. Working paper. Initial version: January 2012. Revised: February 2013.
[pdf]
[3]
M. Broadie, Y. Du, C. C. Moallemi. Risk estimation via regression. Working paper. Initial version: November 2011. Revised: December 2012.
[pdf] [online supplement]
[4]
M. Broadie, Y. Du, C. C. Moallemi. Risk estimation via weighted regression. In Proceedings of the 2011 Winter Simulation Conference, pages 3854–3865, December 2011.
[pdf] [doi]
[5]
C. Chen, G. Iyengar, C. C. Moallemi. An axiomatic approach to systemic risk. To appear in Management Science. Initial version: August 2011. Revised: April 2012.
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*Honorable Mention, INFORMS George Nicholson Student Paper Competition, 2011
[6]
V. V. Desai, V. F. Farias, C. C. Moallemi. Pathwise optimization for optimal stopping problems. Management Science, 58(12):2292–2308, December 2012.
[pdf] [doi] [online supplement]
[7]
M. Broadie, Y. Du, C. C. Moallemi. Efficient risk estimation via nested sequential simulation. Management Science, 57(6):1172–1194, June 2011.
[pdf] [doi]
[8]
K. Iyer, R. Johari, C. C. Moallemi. Information aggregation and allocative efficiency in smooth markets. Working paper. Initial version: January 2010. Revised: August 2011.
[pdf]
Preliminary version:
  • K. Iyer, R. Johari, C. C. Moallemi. Information aggregation in smooth markets. In EC '10: Proceedings of the 11th ACM Conference on Electronic Commerce, pages 199–206, June 2010.
    [doi]
[9]
C. C. Moallemi, M. Sağlam. The cost of latency in high-frequency trading. To appear in Operations Research. Initial version: November 2009. Revised: February 2013.
[pdf]
*1st Place, INFORMS Financial Services Section Student Research Paper Competition, 2011
[10]
C. C. Moallemi, B. Park, B. Van Roy. Strategic execution in the presence of an uninformed arbitrageur. Journal of Financial Markets, 15(4):361–391, January 2012.
[pdf] [doi]

Dynamic Programming and Stochastic Control

[1]
N. Bhat, V. F. Farias, C. C. Moallemi. Non-parametric approximate dynamic programming via the kernel method. Working paper. Initial version: October 2012.
[pdf]
Preliminary version:
  • N. Bhat, V. F. Farias, C. C. Moallemi. Non-parametric approximate dynamic programming via the kernel method. In Advances in Neural Information Processing Systems 22, pages 395–403, 2012.
[2]
V. V. Desai, V. F. Farias, C. C. Moallemi. Bounds for Markov decision processes. Chapter in Reinforcement Learning and Approximate Dynamic Programming for Feedback Control (F. L. Lewis, D. Liu, eds.), IEEE Press, December 2012.
[pdf]
[3]
V. V. Desai, V. F. Farias, C. C. Moallemi. Pathwise optimization for optimal stopping problems. Management Science, 58(12):2292–2308, December 2012.
[pdf] [doi] [online supplement]
[4]
V. V. Desai, V. F. Farias, C. C. Moallemi. Approximate dynamic programming via a smoothed linear program. Operations Research, 60(3):655-674, May–June 2012.
[pdf] [doi]
*1st Place, INFORMS Junior Faculty Paper Competition, 2011
Preliminary version:
  • V. V. Desai, V. F. Farias, C. C. Moallemi. A smoothed approximate linear program. In Advances in Neural Information Processing Systems 22, pages 459–467, 2009.
[5]
V. F. Farias, C. C. Moallemi, B. Van Roy, T. Weissman. Universal reinforcement learning. IEEE Transactions on Information Theory, 56(5):2441–2454, May 2010.
[pdf] [doi]
Preliminary version:
  • V. F. Farias, C. C. Moallemi, B. Van Roy, T. Weissman. A universal scheme for learning. In Proceedings of the IEEE International Symposium on Information Theory, pages 1158–1162, Adelaide, Australia, September 2005.
    [doi]
[6]
C. C. Moallemi, S. Kumar, B. Van Roy. Approximate and data-driven dynamic programming for queueing networks. Working paper. Initial version: December 2006. Revised: September 2008.
[pdf]
[7]
C. C. Moallemi, B. Van Roy. Distributed optimization in adaptive networks. In Advances in Neural Information Processing Systems 16, MIT Press, 2004.
[pdf] [appendix]
Preliminary version:
  • C. C. Moallemi, B. Van Roy. Decentralized protocols for optimization of sensor networks. In Proceedings of the 42nd Allerton Conference on Communication, Control and Computing, Monticello, IL, September 2003.

Optimal Control of Queueing Networks

[1]
C. C. Moallemi, D. Shah. On the flow-level dynamics of a packet-switched network. Working paper. Initial version: November 2009. Revised: October 2012.
[pdf]
Preliminary version:
  • C. C. Moallemi, D. Shah. On the flow-level dynamics of a packet-switched network. In SIGMETRICS '10: Proceedings of the ACM SIGMETRICS International Conference on Measurement and Modeling of Computer Systems, pages 83–94, June 2010.
    [doi]
[2]
C. C. Moallemi, S. Kumar, B. Van Roy. Approximate and data-driven dynamic programming for queueing networks. Working paper. Initial version: December 2006. Revised: September 2008.
[pdf]
[3]
V. F. Farias, C. C. Moallemi, B. Prabhakar. Load balancing with migration penalties. In Proceedings of the IEEE International Symposium on Information Theory, pages 558–562, Adelaide, Australia, September 2005.
[pdf] [doi]

Message-Passing Algorithms

[1]
C. C. Moallemi. A Message-Passing Paradigm for Optimization. Ph.D. thesis, Stanford University, September 2007.
[pdf]
[2]
C. C. Moallemi, B. Van Roy. Resource allocation via message passing. INFORMS Journal of Computing, 23(2):205–219, Spring 2011.
[pdf] [doi] [online supplement]
[3]
C. C. Moallemi, B. Van Roy. Convergence of min-sum message passing for convex optimization. IEEE Transactions on Information Theory, 56(4):2041–2050, April 2010.
[pdf] [doi]
Preliminary version:
  • C. C. Moallemi, B. Van Roy. Convergence of the min-sum algorithm for convex optimization. In Proceedings of the 45th Allerton Conference on Communication, Control and Computing, Monticello, IL, September 2007.
[4]
C. C. Moallemi, B. Van Roy. Convergence of min-sum message passing for quadratic optimization. IEEE Transactions on Information Theory, 55(5):2413–2423, May 2009.
[pdf] [doi]
[5]
C. C. Moallemi, B. Van Roy. Consensus propagation. IEEE Transactions on Information Theory, 52(11):4753–4766, November 2006.
[pdf] [doi]
Preliminary version:
  • C. C. Moallemi, B. Van Roy. Consensus propagation. In Advances in Neural Information Processing Systems 18, MIT Press, pages 899–906, 2006.

Bioinformatics

[1]
J. M. Johnson, K. Mason, C. C. Moallemi, H. Xi, S. Somaroo, E. Huang. Protein family annotation in a multiple alignment viewer. Bioinformatics, 19(4):544–545, 2003.
[doi]
[2]
K. Mason, N. M. Patel, A. Ledell, C. C. Moallemi, E. A. Wintner. Mapping protein pockets through their potential small-molecule binding volumes: QSCD applied to biological protein structures. Journal of Computer-Aided Molecular Design, 18(1):55–70, 2004.
[doi]
[3]
E. A. Wintner, C. C. Moallemi. Quantized Surface Complementarity Diversity (QSCD): A model based on small molecule-target complementarity. Journal of Medicinal Chemistry, 43(10):1993–2006, 2000.
[doi]
[4]
C. C. Moallemi. Neural networks in the computer analysis of voided urine cells for bladder cancer. IEEE Expert, 6(6):8–12, December 1991.
[doi]
Copyright 2003–2013 Ciamac C. Moallemi
Last Modified: 2013/03/29 05:48pm