Preprints

Scenario-based Regularization: A Tractable Framework for Distributionally Robust Stochastic Optimization (with D. Fonseca). [ArXiv]

An (s, s, S) optimal maintenance policy for systems subject to shocks and progressive deterioration. [ArXiv]

PUBLICATIONS

Apprenticeship learning with prior beliefs using inverse optimization (with E. Leiva). Machine Learning 115, 43 (2026). [Journal] [ArXiv]
Moment-SOS hierarchy and exit location of stochastic processes (with D. Henrion and M. Velasco). Numerical Algebra, Control and Optimization. 16: 19-34 (2026) [Journal]
An optimal multibarrier strategy for a singular stochastic control problem with a state-dependent reward (with H. Moreno-Franco and J. L. Pérez). Applied Mathematics and Optimization. 90:37 (2024) [Open Access] [ArXiv]
Applying high-performance computing to the European Resource Adequacy Assessment (with D. Avila, A. Papavasiliou and L. Exizidis). IEEE Transactions on Power Systems. 39(2):3785-3797 (2024) [Journal]
On reachability of Markov chains: A long-run average approach (with D. Avila). IEEE Transactions on Automatic Control. 67(4):1996-2003 (2022) [Journal] [ArXiv]
Utility maximization in a multidimensional semimartingale model with nonlinear wealth dynamics (with R. Serrano). Mathematics and Financial Economics. 15: 775-809 (2021) [Journal]
Approximate super-resolution of positive measures in all dimensions (with H. García, C. Hernández and M. Velasco). Applied and Computational Harmonic Analysis. 52:251-278 (2021) [Journal] [ArXiv]
Optimality of refraction strategies for a constrained dividend problem (with H. Moreno-Franco, J. L. Pérez and K. Yamazaki). Advances in Applied Probability. 51(3):636-666 (2019) [Journal] [ArXiv]
Optimal bail-out dividends problem with transaction cost and capital injection constraint (with H. Moreno-Franco and J. L. Pérez). Risks. 7(1):13 (2019) [Journal] [ArXiv]
A time of ruin constrained optimal dividend problem for spectrally one-sided Lévy processes (with C. Hernández and H. Moreno-Franco). Insurance: Mathematics and Economics. 79:57-68 (2018) [Journal] [ArXiv]
Compressed sensing of data with a known distribution (with M. Díaz, F. Rincón, M. Velasco). Applied and Computational Harmonic Analysis. 45 (3):486-504 (2018) [Journal] [ArXiv]
Optimal dividend payments under a time of ruin constraint: Exponential claims (with C. Hernández). Insurance: Mathematics and Economics. 65:136-142 (2015) [Journal] [ArXiv]
The maximum cut problem on blow-ups of multiprojective spaces (with M. Velasco). Journal of Algebraic Combinatorics. 38 (4):797-827 (2013) [ArXiv]
Optimal maintenance policy for permanently monitored infrastructure subjected to extreme events (with M. Sanchez-Silva). Probabilistic Engineering Mechanics. 33:1-8 (2013)
Optimal maintenance policy for a compound Poisson shock model (with M. Sanchez-Silva). IEEE Transactions on Reliability. 62 (1):66-72 (2013) [ArXiv]
Optimal execution strategy in the presence of permanent price impact and fixed transaction cost. Optim. Control Appl. and Meth. 33(6):713-738 (2012) [ArXiv]
Reliability based design optimization of asphalt pavements (with M. Sanchez-Silva et al.). Intern. Jour. of Pavem. Eng. 6(4):281-294. (2005)
Introducción a las desigualdades lineales matriciales y su aplicación en control automático (with V.H. Grisales and A. Gauthier). Revista Ingeniería 10(2):30-27. (2005). (Spanish)