The main focus of my research is providing new tools for understanding and computing decisions in complex operational settings. I am interested in both the methodological aspects (general dynamic optimization under uncertainty, with an emphasis on robust and adaptive models, connections with risk and utility theory, statistics and machine learning), as well as applications (inventory management in multi-echelon supply chains, single and multi-product dynamic pricing, portfolio optimization with transaction costs and fairness considerations).
In the past, I have also worked on heuristic methods for solving large-scale integer programming problems. In collaboration with Dmitriy Katz and Dimitris Bertsimas, we developed a new algorithm for solving large, pure binary integer problems. A description of the algorithm can be found in [3] and the relevant code can be found here.