Nicholas Moehle
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Nicholas Moehle ( Resume (pdf) |
Research
I'm currently a quantitative analyst in D. E. Shaw's systematic options group. Before that, I spent a few years at BlackRock and Goldman Sachs applying convex optimization and control theory to investment problems. My PhD work, supervised by Stephen Boyd, focused on applications to energy management.
Publications
Finance:
Tax-Aware Portfolio Construction via Convex Optimization
N. Moehle, M. Kochenderfer, S. Boyd, A. Ang.
Journal of Optimization Theory and Applications, 2021.A Certainty Equivalent Merton Problem (Example notebook)
N. Moehle, S. Boyd.
IEEE Control Systems Letters, 2021.Portfolio Construction as Linearly Constrained Separable Optimization (Slides)
N. Moehle, J. Gindi, S. Boyd, M. Kochenderfer.
Optimization and Engineering, 2022.Portfolio Performance Attribution via Shapley Value
N. Moehle, S. Boyd, A. Ang.
Journal of Investment Management, 2022.
Optimal control:
Risk-Sensitive Model Predictive Control
N. Moehle.
ArXiv preprint, 2021.A Perspective-Based Convex Relaxation for Switched-Affine Optimal Control
N. Moehle, S. Boyd.
Systems and Control Letters, 2015.
Applied optimization:
A Distributed Method for Optimal Capacity Reservation
N. Moehle, X. Shen, Z.-Q. Luo, S. Boyd.
Journal of Optimization Theory and Applications, 2019.A Simple, Effective Heuristic for Embedded Mixed-Integer Quadratic Programming
R. Takapoui, N. Moehle, S. Boyd.
International Journal of Control, 2017.Embedded Code Generation Using the OSQP Solver
G. Banjac, B. Stellato, N. Moehle, P. Goulard, A. Bemporad, S. Boyd.
Conference on Decision and Control, 2017.A Simple Effective Heuristic for Embedded Mixed-Integer Quadratic Programming
R. Takapoui, N. Moehle, S. Boyd, A. Bemporad.
American Control Conference, 2016.Covariance Estimation in Two-Level Regression
N. Moehle, D. Gorinevsky.
Conference on Control and Fault-Tolerant Systems, 2013.
Energy management:
Dynamic Energy Management
N. Moehle, E. Busseti, S. Boyd, M. Wytock.
Chapter 4 in Large Scale Optimization in Supply Chains and Smart Manufacturing, 2019.Optimal Racing of an Energy-Limited Vehicle
N. Moehle.
ArXiv preprint, 2018.Value Function Approximation for Direct Control of Switched Power Converters
N. Moehle, S. Boyd.
Conference on Industrial Electronics and Applications, 2017.Dynamic Energy Management with Scenario-Based Robust MPC
M. Wytock, N. Moehle, S. Boyd.
American Control Conference, 2017.Maximum Torque-per-Current Control of Induction Motors via Semidefinite Programming
N. Moehle, S. Boyd.
Conference on Decision and Control, 2016.Optimal Current Waveforms for Switched-Reluctance Motors
N. Moehle, S. Boyd.
Multi-Conference on Systems and Control, 2016.Optimal Current Waveforms for Brushless Permanent Magnet Motors
N. Moehle, S. Boyd.
International Journal of Control, 2015.
Education
Ph.D., Mechanical Engineering, Stanford University, 2018. (Advised by Stephen Boyd)
M.S., Electrical Engineering, Stanford University, 2014
B.S., Mechanical Engineering, University of California, Berkeley, 2010
Teaching
Principal instructor for:
Convex Optimization I (EE364A), Summer 2016
Teaching assistant for:
Stochastic Control (short course), Winter 2017
Convex Optimization II (EE364B), Spring 2014
Convex Optimization I (EE364A), Winter 2014
Introduction to Linear Dynamical Systems (EE263), Autumn 2013
Introduction to Optimal Control Theory (AA203), Spring 2013
Feedback Control Design (ENGR105), Winter 2013