Selected Working Papers and Journal Articles under Review

• Sequential Price Impact Learning for Optimal Portfolio Execution
  S. Moazeni, B. Defourny

 
• Sequential Learning for Consumer-aware Design of Demand Response Programs
  S. Moazeni


• Resilient Network Design to Connected Dominating Sets Blockage
  F. Mahdavi Pajouh, O. Prokopyev, S. Moazeni, H. Zhong


• Chance-Constrained Optimal Portfolio Execution under Capital Ratio Requirement
  R. Yang, Z. Feinstein, S. Moazeni


• Optimal Dynamic Liquidation of an Inventory via Forward Markets
  B. Ghafouri, S. Moazeni, M. Davison

Journal Articles

• Simulation Assessment of Data-Driven Channel Allocation and Contact Routing in Customer Support Systems
  R. Andrade, P. Grogan, S. Moazeni IEEE Journal of Systems Engineering. (2023) pp. 50-59.


• Transfer Rate Prediction at Self-service Customer Support Platforms in Insurance Contact Centers
  R. Andrade, S. Moazeni. Expert Systems with Applications. Volume 212 (2023) pp. 118701.


• Multi-Stage Real-time Operation of A Multi-energy Microgrid With Electrical and Thermal Energy Storage Assets
  L. Wu, Z. Li, Y. Xu, S. Moazeni, Z. Tang. IEEE Transactions on Smart Grid. Volume 13, No. 1 (2022) pp. 213-226.


• Implied Markov Transition Matrices under Structural Price Models
  B. Defourny, S. Moazeni. Quantitative Finance. Volume 21, No. 11 (2021) pp. 1935-1954.


• Resource Allocation for Contingency Planning: An Inexact Proximal Bundle Method for Stochastic Optimization [pdf][data and codes]
  S. Moazeni, R. Collado. European Journal of Operational Research. Volume 291, Issue 3 (2021) pp. 1008-1023


• Sequential Learning in Designing Marketing Campaigns for Market Entry
  S. Moazeni, B. Defourny, M. J. Wilczak. Management Science. Volume 66, Number 9 (2020) pp. 4226-4245


• A Systems Perspective on Contact Centers and Customer Service Reliability Modeling
  R. Andrade, S. Moazeni, J. Ramirez-Marquez. Systems Engineering. Volume 23, Number 2 (2020) pp. 221-236


• Least Squares Policy Iteration with Instrumental Variables vs. Direct Policy Search: Comparison against Optimal Benchmarks using Energy Storage [pdf] [data]
  S. Moazeni, W. R. Scott, W. B. Powell. INFOR: Information Systems and Operational Research. Volume 58, Issue 1 (2020) pp. 141-166


• A Risk-Averse Stochastic Dynamic Programming Approach to Energy Hub Optimal Dispatch
  S. Moazeni, A. Miragha, B. Defourny. IEEE Transactions on Power Systems. Volume 34, Issue 3 (2019) pp. 2169-2178


• Optimal Control of Energy Storage under Random Operation Permissions [pdf] [slides] [codes]
  S. Moazeni, B. Defourny. IISE Transactions. Volume 50, Issue 8 (2018) pp. 668-682
  IISE Transactions 2020 Operations Engineering & Analytics Best Paper - Honorable Mention


• A Utility Theory Based Interactive Approach to Robustness in Linear Optimization [pdf]
  M. Karimi, S. Moazeni, L. Tuncel. Journal of Global Optimization. Volume 70, Issue 4 (2018) pp. 811-842


• Risk-Averse Dynamic Arbitrage in Illiquid Markets [pdf]
  S. Moazeni, R. A. Collado, A. Zhang. Journal of Risk. Volume 20, Number 4 (2018) pp. 55-74


• Parallel Nonstationary Direct Policy Search for Risk-Averse Stochastic Optimization [pdf] [codes]
  S. Moazeni, W. B. Powell, B. Defourny, B. Bouzaiene-Ayari. INFORMS Journal on Computing. Volume 29, Number 2 (2017) pp. 332-349


• A Non-Parametric Structural Hybrid Modeling Approach for Electricity Prices [pdf] [data and codes]
  S. Moazeni, M. Coulon, I. Arciniegas Rueda, B. Song, W. B. Powell. Quantitative Finance. Volume 16, Issue 2 (2016) pp. 213-230


• Smoothing and Parametric Rules for Stochastic Mean-CVaR Optimal Execution Strategy
  S. Moazeni, T. F. Coleman, Y. Li. Annals of Operations Research. Volume 237, Issue 1 (2016) pp. 99-120


• Mean-Conditional Value-at-Risk Optimal Energy Storage Operation in the Presence of Transaction Costs
  S. Moazeni, W. B. Powell, A. H. Hajimiragha. IEEE Transactions on Power Systems. Volume 30, Issue 3 (2015) pp. 1222-1232


• Microgrids Frequency Control Considerations within the Framework of the Optimal Dispatch Problem
  A. H. Hajimiragha, M. R. D. Zadeh, S. Moazeni. IEEE Transactions on Smart Grid. Volume 6, Issue 2 (2015) pp. 534-547


• Optimal Execution Under Jump Models for Uncertain Price Impact [pdf]
  S. Moazeni, T. F. Coleman, Y. Li. Journal of Computational Finance, Volume 16, Number 4 (2013) pp. 1-44


• Regularized Robust Optimization: The Optimal Portfolio Execution Case
  S. Moazeni, T. F. Coleman, Y. Li. Computational Optimization and Applications. Volume 55, Issue 2 (2013) pp. 341-377


• A Note on the Dynamic Liquidity Trading with a Mean-Variance Objective
  S. Moazeni. Optimization Letters. Volume 5, Issue 1 (2011) pp. 113-124


• Optimal Portfolio Execution Strategies and Sensitivity to Price Impact Parameters.
  S. Moazeni, T. F. Coleman, Y. Li. SIAM Journal on Optimization. Volume 20, Issue 3 (2010) pp. 1620-1654


• A Robust Optimization Approach for Planning the Transition to Plug-in Hybrid Electric Vehicles.
  A. H. Hajimiragha, C. A. Canizares, M. W. Fowler, S. Moazeni, A. Elkamel. IEEE Transactions on Power Systems. Volume 26, Issue 4 (2011) pp. 2264-2274


• Sustainable Convergence of Electricity and Transport Sectors in the Context of a Hydrogen Economy
  A. H. Hajimiragha, C. A. Canizares, M. W. Fowler, S. Moazeni, A. Elkamel, S. Wong. International Journal of Hydrogen Energy. Volume 36, Issue 11 (2011) pp. 6357-6375


• Resource Allocation in OFDMA Networks Based on Interior Point Methods
  M. Mehrjoo, S. Moazeni, X. (Sherman) Shen. Wireless Communications and Mobile Computing. Volume 10, Issue 11 (2010) pp. 1493-1508


• Fuzzy Shortest Path Problem With Finite Fuzzy Quantities
  S. Moazeni. Applied Mathematics and Computation. Volume 183 (2006) pp. 160-169

Conference Proceedings

• A Generic Parametric Framework for Peer-to-Peer Electricity Market Design
  A. M. Saghiri, S. Moazeni. IEEE International Conference on Environment and Electrical Engineering
  & IEEE Industrial and Commercial Power Systems Europe, Spain (2023) pp. 1-6.


• Predicting Individual-Level Call Arrival from Online Account Customer Activity [slides]
  S. Moazeni. IEEE International Conference on Big Data, USA (2018) pp. 1624-1631


• A Data-Driven Approach to Predict an Individual Customer's Call Arrival in Multichannel Customer Support Centers [slides]
  S. Moazeni, R. Andrade. IEEE International Congress on Big Data, USA (2018) pp. 66-73


• Uncertain Requirements in the Design Selection Problem [pdf]
  S. Moazeni, R. Nilchiani, A. Pugliese The 16th Annual Conference on Systems Engineering Research, USA (2018) pp. 323-333


• A Multiobjective Approach to the Management of Opt-In Distributed Energy Resources
  S. Tu, B. Defourny, S. Moazeni. IEEE North American Power Symposium, USA (2017) pp. 1-6


• Distribution System Controls Assessment in a Nonbinding Transactive Energy Market
  S. Moazeni, B. Defourny. IEEE North American Power Symposium, USA (2017) pp. 1-6


• Firm Risk Identification Through Topic Analysis of Textual Financial Disclosures
  X. Zhu, S. Y. Yang, S. Moazeni. IEEE Symposium on Computational Intelligence for Financial Engineering & Economics, Greece (2016) pp. 1-8


• Risk-Sensitive Stochastic Optimization for Storage Operation Management
  S. Moazeni, B. Defourny, A. H. Hajimiragha. IEEE International Conference on Smart Energy Grid Engineering, Canada (2015) pp. 1-6


• Computing Optimal Stochastic Portfolio Execution Strategies: A Parametric Approach using Simulations.
  S. Moazeni, T. F. Coleman, Y. Li. The 8th International Conference of Numerical Analysis and Applied Mathematics, AIP Conference Proceedings, Editor T. E. Simos (2010) pp. 342-345


• An Interior Point Penalty Method for Utility Maximization Problems in OFDMA Networks.
  M. Mehrjoo, S. Moazeni, X. (Sherman) Shen. IEEE International Conference on Communications, Germany (2009) pp. 1-5


• A New Modeling Approach for Utility-Based Resource Allocation in OFDM Networks.
  M. Mehrjoo, S. Moazeni, X. (Sherman) Shen. IEEE International Conference on Communications, China (2008) pp. 337-342


• Execution Costs in Financial Markets with Several Institutional Investors [pdf]
  S. Moazeni, Y. Li, K. Larson. The Fourth IASTED International Conference on Financial Engineering and Applications, ACTA Press, USA (2007) pp. 31-37

Research Reports

• Information Collection Optimization in Designing Marketing Campaigns for Market Entry
  S. Moazeni, B. Defourny, M. J. Wilczak. ISE Technical Report 17T-001, Lehigh University (2017) pp. 1-41


• An Energy Storage Deployment Program under Random Discharge Permissions
  S. Moazeni, B. Defourny. ISE Technical Report 15T-012, Lehigh University (2015) pp. 1-30


• Robust Portfolio Optimization using a Simple Factor Model [pdf]
  C. Bemis, X. Hu, W. Lin, S. Moazeni, L. Wang, T. Wang, J. Zhang. Institute for Mathematics and Its Applications (IMA) Research Report #2284, University Of Minnesota (2009) pp. 1-19

Research Posters

• Contact Center Management Using Data Analytics
  R. Andrade, S. Moazeni. Innovation Expo 2017, Stevens Institute of Technology, May 3, 2017


• Stable Robust Optimization
  S. Moazeni. MITACS 2009 Annual Conference, University of New Brunswick, Fredericton, New Brunswick, Canada, June 1, 2009
  First Place Poster Award in the 2009 MITACS Poster Competition

Theses

• Optimal Portfolio Execution Strategies: Uncertainty and Robustness.
  PhD Thesis in Computer Science, University of Waterloo, Waterloo, Ontario, Canada (October 2011)


• Flexible Robustness in Linear Optimization.
  Master of Mathematics Thesis in Combinatorics and Optimization, University of Waterloo, Waterloo, Ontario, Canada (September 2006)