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
Interests
I am an applied probabilist with research interests in optimal stopping and stochastic control, focusing particularly on their interface with geometry.Publications
Publications of specific relevance to the Centre for Probability, Statistics and Data Science2022
Kosmala T, Martyr R and Moriarty J (2022). Markov risk mappings and risk-sensitive optimal prediction. Mathematical Methods of Operations Research, Springer Nature vol. 97 (1), 91-116. 27-11-2022
Moriarty J, Martyr R and Perninge M (2022). Discrete-time risk-aware optimal switching with non-adapted costs. Advances in Applied Probability, Applied Probability Trust 06-06-2022
2021
Moriarty J, Vogrinc J and Zocca A (2021). A Metropolis-class sampler for targets with non-convex support. Statistics and Computing, Springer (part of Springer Nature) 15-09-2021
Arvizu JM, Mason LR and Moriarty J (2021). Reinforcing the role of competition platforms. Patterns, Elsevier vol. 2 (8) 01-08-2021
Nesti T, Moriarty J, Zocca A and Zwart B (2021). Large fluctuations in locational marginal prices. Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences, The Royal Society vol. 379 (2202) 07-06-2021
Goodridge M, Moriarty J and Pizzoferrato A (2021). A rare-event study of frequency regulation and contingency services from grid-scale batteries. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, Royal Society, The 07-06-2021
Mancarella P, Moriarty J, Philpott A, Veraart A, Zachary S and Zwart B (2021). Introduction: the mathematics of energy systems. Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences, The Royal Society vol. 379 (2202) 07-06-2021
Gonzalez J, Papadopoulos PN, Milanović JV, Peskir G and Moriarty J (2021). Risk-Constrained Minimization of Combined Event Detection and Decision Time for Online Transient Stability Assessment. IEEE Transactions on Smart Grid, Institute of Electrical and Electronics Engineers (IEEE) vol. 12 (5), 4564-4572. 03-06-2021
Martyr R and Moriarty J (2021). Nonzero-sum games of optimal stopping and generalised Nash equilibrium problems. SIAM Journal on Control and Optimization, Society for Industrial and Applied Mathematics 15-04-2021
2020
Goodridge MP, Moriarty J and Pizzoferrato A (2020). Distributions of cascade sizes in power system emergency response. 2020 International Conference on Probabilistic Methods Applied to Power Systems (PMAPS). 21-08-2020
2019
Hamadène S, Martyr R and Moriarty J (2019). A probabilistic verification theorem for the finite horizon two-player zero-sum optimal switching game in continuous time. Advances in Applied Probability, Cambridge University Press (CUP) vol. 51 (2), 425-442. 01-06-2019
Moriarty J and Palczewski J (2019). Imbalance Market Real Options and the Valuation of Storage in Future Energy Systems. Risks, MDPI vol. 7 (2) 11-04-2019
2018
Moriarty J, Vogrinc J and Zocca A (2018). Frequency violations from random disturbances: an MCMC approach. 2018 IEEE Conference on Decision and Control (CDC). 17-12-2018
Martyr R, Moriarty J and Beck C (2018). Optimal control of a commercial building's thermostatic load for off-peak demand response. Journal of Building Performance Simulation, Taylor & Francis vol. 12 (5), 580-594. 07-11-2018
De Angelis T, Ferrari G and Moriarty J (2018). A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Non Convex Costs. Mathematics of Operations Research, INFORMS 20-09-2018
De Angelis T, Ferrari G and MORIARTY JM (2018). Nash equilibria of threshold type for two-player nonzero-sum games of stopping. Annals of Applied Probability, Institute of Mathematical Statistics 03-03-2018
2017
Johnson P, MORIARTY JM and Peskir G (2017). Detecting Changes in Real-Time Data: A User's Guide to Optimal Detection. Philosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciences, Royal Society, The 10-07-2017
Mijatovic A, MORIARTY JM and Vogrinc J (2017). Procuring load curtailment from local customers under uncertainty. Philosophical Transactions A: Mathematical, Physical and Engineering Sciences, Royal Society, The 10-07-2017
Moriarty J and Mancarella P (2017). Energy management: flexibility, risk and optimization. Philosophical Transactions of the Royal Society A Mathematical Physical and Engineering Sciences, The Royal Society vol. 375 (2100) 10-07-2017
Gonzalez J, MORIARTY JM and Palczewski J (2017). Bayesian calibration and number of jump components in electricity spot price models. Energy Economics, Elsevier vol. 65, 375-388. 03-05-2017
De Angelis T, Ferrari G, Martyr R and MORIARTY JM (2017). Optimal entry to an irreversible investment plan with non convex costs. Mathematics and Financial Economics, Springer Verlag 29-04-2017
2016
MORIARTY JM, Gonzalez J, Kitapbayev Y, Guo T, Milanovic J and Peskir G (2016). Application of sequential testing problem to online detection of transient stability status for power systems. 55th IEEE Conference on Decision and Control. 29-12-2016
Schachter JA, Mancarella P, Moriarty J and Shaw R (2016). Flexible investment under uncertainty in smart distribution networks with demand side response: Assessment framework and practical implementation. Energy Policy vol. 97, 439-449. 01-10-2016
MORIARTY JM and Palczewski J (2016). Real option valuation for reserve capacity. European Journal of Operational Research 09-07-2016
2015
De Angelis T, Ferrari G and Moriarty J (2015). A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. SIAM Journal on Control and Optimization, Society for Industrial & Applied Mathematics (SIAM) vol. 53 (3), 1199-1223. 01-01-2015
Kitapbayev Y, Moriarty J and Mancarella P (2015). Stochastic control and real options valuation of thermal storage-enabled demand response from flexible district energy systems. Applied Energy, Elsevier vol. 137, 823-831. 01-01-2015
2014
Gonzalez J and Moriarty J (2014). Risk-sensitive optimal switching and applications to district energy systems. 2014 International Conference on Probabilistic Methods Applied to Power Systems (PMAPS). 01-07-2014
Hadjipantelis PZ, Aston JAD, Müller H-G and Moriarty J (2014). Analysis of spike train data: A multivariate mixed effects model for phase and amplitude. Electronic Journal of Statistics, Institute of Mathematical Statistics vol. 8 (2) 01-01-2014
2013
Hadjipantelis PZ, Jones NS, Moriarty J, Springate DA and Knight CG (2013). Function-valued traits in evolution. Journal of The Royal Society Interface, The Royal Society vol. 10 (82) 06-05-2013
Kitapbayev Y, Moriarty J, Mancarella P and Blöchle M (2013). A real options assessment of operational flexibility in district energy systems. 2013 10th International Conference on the European Energy Market (EEM). 01-05-2013
Haegeman B, Hamelin J, Moriarty J, Neal P, Dushoff J and Weitz JS (2013). Robust estimation of microbial diversity in theory and in practice. The ISME Journal: Multidisciplinary Journal of Microbial Ecology, Oxford University Press (OUP) vol. 7 (6), 1092-1101. 14-02-2013
Jones NS and Moriarty J (2013). Evolutionary inference for function-valued traits: Gaussian process regression on phylogenies. Journal of The Royal Society Interface, The Royal Society vol. 10 (78) 06-01-2013
French S, Argyris N, Nuttall WJ, Moriarty J and Thomas PJ (2013). The early phase of a radiation accident: Revisiting thinking on evacuation and exclusion zones. 01-01-2013
2011
Evatt GW, Johnson PV, Moriarty J, Duck PW, Howell SD and Tonkin C (2011). The resource valuation and optimisation model-real impact from real options. 01-12-2011
Group TFP (2011). Phylogenetic inference for function-valued traits: speech sound evolution. Trends in Ecology & Evolution, Elsevier vol. 27 (3), 160-166. 10-11-2011
2010
Evatt GW, Johnson PV, Duck PW, Howell SD and Moriarty J (2010). The expected lifetime of an extraction project. Proceedings of the Royal Society A, The Royal Society vol. 467 (2125), 244-263. 28-07-2010
2009
Dieker AB and Moriarty J (2009). Reflected Brownian motion in a wedge: sum-of-exponential stationary densities. Electronic Communications in Probability, Institute of Mathematical Statistics vol. 14 (none), 1-16. 01-01-2009
2008
Doumerc Y and Moriarty J (2008). Exit problems associated with affine reflection groups. Probability Theory and Related Fields, Springer Nature vol. 145 (3-4), 351-383. 07-08-2008
2007
Moriarty J, Marchesi JR and Metcalfe A (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 projects. BMC Bioinformatics, Springer Nature vol. 8 (1) 02-03-2007
Grants
Grants of specific relevance to the Centre for Probability, Statistics and Data ScienceAir quality in urban areas: Harnessing data to breathe easy - 1 day workshopJohn Moriarty
£1,250 Alan Turing Institute, The (01-07-2019 - 31-07-2019)
Markov Chain Optimisation for Energy SystemsJohn Moriarty
£493,259 EPSRC Engineering and Physical Sciences Research Council (25-04-2017 - 30-06-2020)
MY-STOREJohn Moriarty
£85,856 EPSRC Engineering and Physical Sciences Research Council (01-01-2016 - 30-06-2019)