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<title>Nicholas Moehle</title>
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<h1>Nicholas Moehle</h1>
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<table class="imgtable"><tr><td>
<img src="moehle.jpg" alt="Nicholas Moehle" width="132px" height="173px" /> </td>
<td align="left"><p>Nicholas Moehle (<a href="moehle.mp3"><img alt=speaker border="0" src="speaker.png" height="10" width="10"></a>)
<br />
Quantitative Analyst<br />
<a href="http://www.deshaw.com">D. E. Shaw and Company</a><br /></p>
<p><a href="moehle_resume.pdf">Resume</a> (pdf)<br />
nicholasmoehle at gmail dot com</p>
</td></tr></table>
<h2>Research</h2>
<p>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 <a href="http://www.stanford.edu/~boyd">Stephen Boyd</a>,
focused on applications to energy management.</p>
<h2>Publications</h2>
<p>Finance:</p>
<ul>
<li><p><a href="https://arxiv.org/pdf/2008.04985.pdf">Tax-Aware Portfolio Construction via Convex Optimization</a><br />
N. Moehle, M. Kochenderfer, S. Boyd, A. Ang.<br />
<i>Journal of Optimization Theory and Applications</i>, 2021.</p>
</li>
<li><p><a href="https://web.stanford.edu/~boyd/papers/pdf/ce_merton.pdf">A Certainty Equivalent Merton Problem</a>
(<a href="https://gist.github.com/moehle/562ce94ebef52f70bacee093ef7b5cba">Example notebook</a>)<br />
N. Moehle, S. Boyd.<br />
<i>IEEE Control Systems Letters</i>, 2021.</p>
</li>
<li><p><a href="https://arxiv.org/pdf/2103.05455.pdf">Portfolio Construction as Linearly Constrained Separable Optimization</a>
(<a href="papers/sep_sum_slides.pdf">Slides</a>)
<br />
N. Moehle, J. Gindi, S. Boyd, M. Kochenderfer.<br />
<i>Optimization and Engineering</i>, 2022.</p>
</li>
<li><p><a href="https://arxiv.org/pdf/2102.05799.pdf">Portfolio Performance Attribution via Shapley Value</a><br />
N. Moehle, S. Boyd, A. Ang.<br />
<i>Journal of Investment Management</i>, 2022.</p>
</li>
</ul>
<p>Optimal control:</p>
<ul>
<li><p><a href="https://arxiv.org/pdf/2101.11166.pdf">Risk-Sensitive Model Predictive Control</a><br />
N. Moehle.<br />
<i>ArXiv preprint</i>, 2021.</p>
</li>
<li><p><a href="http://www.stanford.edu/~boyd/papers/sw_aff_ctrl.html">A Perspective-Based Convex Relaxation for Switched-Affine Optimal Control</a><br />
N. Moehle, S. Boyd.<br />
<i>Systems and Control Letters</i>, 2015.</p>
</li>
</ul>
<p>Applied optimization:</p>
<ul>
<li><p><a href="http://stanford.edu/~boyd/papers/opt_cap_res.html">A Distributed Method for Optimal Capacity Reservation</a><br />
N. Moehle, X. Shen, Z.-Q. Luo, S. Boyd.<br />
<i>Journal of Optimization Theory and Applications</i>, 2019.</p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/miqp_admm.html">A Simple,
Effective Heuristic for Embedded Mixed-Integer Quadratic Programming</a><br />
R. Takapoui, N. Moehle, S. Boyd.<br />
<i>International Journal of Control</i>, 2017.<br /></p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/osqp_embedded.html">Embedded Code Generation Using the OSQP Solver</a><br />
G. Banjac, B. Stellato, N. Moehle, P. Goulard, A. Bemporad, S. Boyd.<br />
<i>Conference on Decision and Control</i>, 2017.</p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/miqp_admm.html">A Simple Effective Heuristic for Embedded Mixed-Integer Quadratic Programming</a><br />
R. Takapoui, N. Moehle, S. Boyd, A. Bemporad.<br />
<i>American Control Conference</i>, 2016.</p>
</li>
<li><p><a href="papers/cov_est.pdf">Covariance Estimation in Two-Level Regression</a><br />
N. Moehle, D. Gorinevsky.<br />
<i>Conference on Control and Fault-Tolerant Systems</i>, 2013.</p>
</li>
</ul>
<p>Energy management:</p>
<ul>
<li><p><a href="http://stanford.edu/~boyd/papers/dyn_ener_man.html">Dynamic Energy Management</a><br />
N. Moehle, E. Busseti, S. Boyd, M. Wytock.<br />
Chapter 4 in <i>Large Scale Optimization in Supply Chains and Smart Manufacturing</i>, 2019.</p>
</li>
<li><p><a href="https://arxiv.org/abs/2306.06419">Optimal Racing of an Energy-Limited Vehicle</a><br />
N. Moehle.<br />
<i>ArXiv preprint</i>, 2018.</p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/pow_elec_ctrl.html">Value Function Approximation for Direct Control of Switched Power Converters</a><br />
N. Moehle, S. Boyd.<br />
<i>Conference on Industrial Electronics and Applications</i>, 2017.</p>
</li>
<li><p><a href="http://web.stanford.edu/~boyd/papers/dyn_ener_man.html">Dynamic Energy Management with Scenario-Based Robust MPC</a><br />
M. Wytock, N. Moehle, S. Boyd.<br />
<i>American Control Conference</i>, 2017.<br /></p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/induc_motor.html">Maximum Torque-per-Current Control of Induction Motors via Semidefinite Programming</a><br />
N. Moehle, S. Boyd.<br />
<i>Conference on Decision and Control</i>, 2016.</p>
</li>
<li><p><a href="http://stanford.edu/~boyd/papers/sw_reluc_motor.html">Optimal Current Waveforms for Switched-Reluctance Motors</a><br />
N. Moehle, S. Boyd.<br />
<i>Multi-Conference on Systems and Control</i>, 2016.</p>
</li>
<li><p><a href="http://www.stanford.edu/~boyd/papers/motor_current.html">Optimal Current Waveforms for Brushless Permanent Magnet Motors</a><br />
N. Moehle, S. Boyd.<br />
<i>International Journal of Control</i>, 2015.</p>
</li>
</ul>
<h2>Education</h2>
<ul>
<li><p>Ph.D., Mechanical Engineering,
<a href="http://www.stanford.edu">Stanford University</a>, 2018. (Advised by <a href="http://www.stanford.edu/~boyd">Stephen Boyd</a>)</p>
</li>
<li><p>M.S., Electrical Engineering,
<a href="http://www.stanford.edu">Stanford University</a>, 2014</p>
</li>
<li><p>B.S., Mechanical Engineering,
<a href="http://www.berkeley.edu">University of California, Berkeley</a>, 2010</p>
</li>
</ul>
<h2>Teaching</h2>
<p>Principal instructor for:</p>
<ul>
<li><p><a href="http://www.stanford.edu/class/ee364a">Convex Optimization I</a> (EE364A), Summer 2016</p>
</li>
</ul>
<p>Teaching assistant for:</p>
<ul>
<li><p><a href="cuhksz/">Stochastic Control</a> (short course), Winter 2017</p>
</li>
<li><p><a href="http://www.stanford.edu/class/ee364b">Convex Optimization II</a> (EE364B), Spring 2014</p>
</li>
<li><p><a href="http://www.stanford.edu/class/ee364a">Convex Optimization I</a> (EE364A), Winter 2014</p>
</li>
<li><p><a href="http://www.stanford.edu/class/ee263">Introduction to Linear Dynamical Systems</a> (EE263), Autumn 2013</p>
</li>
<li><p>Introduction to Optimal Control Theory (AA203), Spring 2013</p>
</li>
<li><p>Feedback Control Design (ENGR105), Winter 2013</p>
</li>
</ul>
<h2>Talks</h2>
<ul>
<li><p><a href="talks/codegen.pdf">Embedded convex optimization with CVXPY</a></p>
</li>
<li><p><a href="talks/motors.pdf">Control of electric motors and drives via convex optimization</a></p>
</li>
</ul>
<h2>Other</h2>
<ul>
<li><p>My <a href="https://scholar.google.com/citations?user=c8CVUSoAAAAJ&hl=en&oi=ao">Google scholar page</a></p>
</li>
<li><p>My <a href="http://www.github.com/moehle">github account</a>
</p>
</li>
</ul>
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