Prof John Moriarty
Professor of Mathematics
Impact Lead
School of Mathematical Sciences
Queen Mary University of London
Queen Mary University of London
Research
Applied probability, Optimal stopping, Stochastic control, Nonlinear expectation
Interests
I am an applied probabilist with research interests in optimal stopping and stochastic control, under possibly nonlinear expectation, focusing particularly on their novel interfaces with geometry.Publications
Publications of specific relevance to the Centre for Probability, Statistics and Data Science2022
Discrete-time risk-aware optimal switching with non-adapted costsMoriarty J Martyr R Perninge M
Advances in Applied Probability, Applied Probability Trust
06-06-2022
RangL: A Reinforcement Learning Competition PlatformZobernig V Saldanha RA He J van der Sar E van Doorn J Hua J-C Mason LR Czechowski A et al.
In Ssrn Electronic Journal
01-01-2022
2021
A Metropolis-class sampler for targets with non-convex supportMoriarty J Vogrinc J Zocca A
Statistics and Computing, Springer (Part of Springer Nature)
15-09-2021
A rare-event study of frequency regulation and contingency services from grid-scale batteriesGoodridge M Moriarty J Pizzoferrato A
Philosophical Transactions of The Royal Society a: Mathematical, Physical and Engineering Sciences, Royal Society, The
07-06-2021
Introduction: the mathematics of energy systemsMancarella P Moriarty J Philpott A Veraart A Zachary S Zwart B
Philosophical Transactions of The Royal Society a Mathematical Physical and Engineering Sciences, The Royal Society vol. 379 (2202)
07-06-2021
Nonzero-sum games of optimal stopping and generalised Nash equilibrium problemsMartyr R Moriarty J
Siam Journal on Control and Optimization, Society For Industrial and Applied Mathematics
15-04-2021
2020
Distributions of cascade sizes in power system emergency responseGoodridge MP Moriarty J Pizzoferrato A
2020 International Conference on Probabilistic Methods Applied to Power Systems (PMAPS). vol. 00, 1-6.
21-08-2020
2018
A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex CostsDe Angelis T Ferrari G Moriarty J
Mathematics of Operations Research, Informs
20-09-2018
Nash equilibria of threshold type for two-player nonzero-sum games of stoppingDe Angelis T Ferrari G MORIARTY JM
Annals of Applied Probability, Institute of Mathematical Statistics
03-03-2018
2017
Detecting Changes in Real-Time Data: A User's Guide to Optimal DetectionJohnson P MORIARTY JM Peskir G
Philosophical Transactions of The Royal Society a: Mathematical, Physical and Engineering Sciences, Royal Society, The
10-07-2017
Procuring load curtailment from local customers under uncertaintyMijatovic A MORIARTY JM Vogrinc J
Philosophical Transactions a: Mathematical, Physical and Engineering Sciences, Royal Society, The
10-07-2017
Energy management: flexibility, risk and optimizationMoriarty J
Philosophical Transactions of The Royal Society a Mathematical Physical and Engineering Sciences, The Royal Society vol. 375 (2100)
10-07-2017
Bayesian calibration and number of jump components in electricity spot price modelsGonzalez J MORIARTY JM Palczewski J
Energy Economics, Elsevier vol. 65, 375-388.
03-05-2017
Optimal entry to an irreversible investment plan with non convex costsDe Angelis T Ferrari G Martyr R MORIARTY JM
Mathematics and Financial Economics, Springer Verlag
29-04-2017
2016
Application of sequential testing problem to online detection of transient stability status for power systemsMORIARTY JM Gonzalez J Kitapbayev Y Guo T Milanovic J Peskir G
55th IEEE Conference on Decision and Control.
29-12-2016
Flexible investment under uncertainty in smart distribution networks with demand side response: Assessment framework and practical implementationSchachter JA Mancarella P Moriarty J Shaw R
Energy Policy vol. 97, 439-449.
01-10-2016
Real option valuation for reserve capacityMORIARTY JM Palczewski J
European Journal of Operational Research
09-07-2016
2015
A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping BoundariesDe Angelis T Ferrari G Moriarty J
Siam Journal on Control and Optimization, Society For Industrial & Applied Mathematics (Siam) vol. 53 (3), 1199-1223.
01-01-2015
Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systemsKitapbayev Y Moriarty J Mancarella P
Applied Energy, Elsevier vol. 137, 823-831.
01-01-2015
2014
Risk-sensitive optimal switching and applications to district energy systemsGonzalez J Moriarty J
2014 International Conference on Probabilistic Methods Applied to Power Systems (PMAPS)., 1-6.
01-07-2014
Analysis of spike train data: A multivariate mixed effects model for phase and amplitudeHadjipantelis PZ Aston JAD Müller H-G Moriarty J
Electronic Journal of Statistics, Institute of Mathematical Statistics vol. 8 (2)
01-01-2014
2013
Function-valued traits in evolutionHadjipantelis PZ Jones NS Moriarty J Springate DA Knight CG
Journal of The Royal Society Interface, The Royal Society vol. 10 (82)
06-05-2013
A real options assessment of operational flexibility in district energy systemsKitapbayev Y Moriarty J Mancarella P Blöchle M
2013 10th International Conference on the European Energy Market (EEM)., 1-7.
01-05-2013
Robust estimation of microbial diversity in theory and in practiceHaegeman B Hamelin J Moriarty J Neal P Dushoff J Weitz JS
The Isme Journal: Multidisciplinary Journal of Microbial Ecology, Oxford University Press (OUP) vol. 7 (6), 1092-1101.
14-02-2013
Evolutionary inference for function-valued traits: Gaussian process regression on phylogeniesJones NS Moriarty J
Journal of The Royal Society Interface, The Royal Society vol. 10 (78)
06-01-2013
The early phase of a radiation accident: Revisiting thinking on evacuation and exclusion zonesFrench S Argyris N Nuttall WJ Moriarty J Thomas PJ
Iscram 2013 Conference Proceedings 10th International Conference on Information Systems for Crisis Response and Management., 296-300.
01-01-2013
2011
The resource valuation and optimisation model-real impact from real optionsEvatt GW Johnson PV Moriarty J Duck PW Howell SD Tonkin C
35th Apcom Symposium Application of Computers and Operations Research in the Minerals Industry Proceedings., 535-545.
01-12-2011
Phylogenetic inference for function-valued traits: speech sound evolutionGroup TFP
Trends in Ecology & Evolution, Elsevier vol. 27 (3), 160-166.
10-11-2011
2010
The expected lifetime of an extraction projectEvatt GW Johnson PV Duck PW Howell SD Moriarty J
Proceedings of The Royal Society A, The Royal Society vol. 467 (2125), 244-263.
28-07-2010
2009
Reflected Brownian motion in a wedge: sum-of-exponential stationary densitiesDieker AB Moriarty J
Electronic Communications in Probability, Institute of Mathematical Statistics vol. 14 (none), 1-16.
01-01-2009
2008
Exit problems associated with affine reflection groupsDoumerc Y
Probability Theory and Related Fields, Springer Nature vol. 145 (3-4), 351-383.
07-08-2008
2007
Bounds on the distribution of the number of gaps when circles and lines are covered by fragments: Theory and practical application to genomic and metagenomic projectsMoriarty J Marchesi JR Metcalfe A
Bmc Bioinformatics, Springer Nature vol. 8 (1)
02-03-2007
Optimal stopping with nonlinear expectation: geometric and algorithmic solutionsThe Annals of Applied Probability, Institute of Mathematical Statistics
Optimal control of a commercial building's thermostatic load for off-peak demand responseMORIARTY JM MARTYR R BECK C
Journal of Building Performance Simulation, Taylor & Francis (Routledge)
Frequency violations from random disturbances: an MCMC approach2018 IEEE Conference on Decision and Control.
A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous timeAdvances in Applied Probability, Applied Probability Trust
Imbalance market real options and the valuation of storage in future energy systemsRisks, Mdpi Ag
Large Fluctuations in Locational Marginal PricesPhilosophical Transactions of The Royal Society a: Mathematical, Physical and Engineering Sciences, Royal Society, The
Risk-constrained minimisation of combined event detection and decision time for online transient stability assessmentIEEE Transactions on Smart Grid, Institute of Electrical and Electronics Engineers
Reinforcing the role of competition platformsPatterns, Elsevier
Hopping between distant basinsJournal of Global Optimization, Springer Verlag
Markov risk mappings and risk-sensitive optimal predictionMathematical Methods of Operations Research, Springer
Grants
Grants of specific relevance to the Centre for Probability, Statistics and Data ScienceTangents and New NormalsJohn Moriarty and Ingrid Amaranta Membrillo Solis
£7,500 Isaac Newton Institute for Mathematical Sciences
01-08-2025 - 31-07-2027
Data-Centric EngineeringJohn Moriarty
£264,382 Alan Turing Institute, The
Grant Summary
25-04-2020 - 25-10-2022
Air quality in urban areas: Harnessing data to breathe easy - 1 day workshopJohn Moriarty
£1,250 Alan Turing Institute, The
Grant Summary
01-07-2019 - 31-07-2019
Markov Chain Optimisation for Energy SystemsJohn Moriarty
£493,259 EPSRC Engineering and Physical Sciences Research Council
Grant Summary
25-04-2017 - 30-06-2020
MY-STOREJohn Moriarty
£85,856 EPSRC Engineering and Physical Sciences Research Council
Grant Summary
01-01-2016 - 30-06-2019
Research Group
News
No news items found.