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1.Preheat oven to 425F Set aside 20 cauliflower florets in bowl.
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Toss remaining florets and onion with 1 Tbs oil; season with 1 tsp salt and 1/4 tsp pepper.
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Spread on large baking sheet.
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Cut tops off garlic heads, place on foil square, and drizzle with 1/2 tsp oil.
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Close foil around garlic.
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Place foil-wrapped garlic and cauliflower-loaded baking sheet in oven, and roast 30-45 minutes, stirring cauliflower occassionally, until cauliflower and onion are browned and garlic feels soft.
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2.While garlic is still warm, squeeze garlic pulp from each clove into bowl of food processor.
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Add cauliflower mixture and 1 tsp Worcestershire sauce, and puree until smooth.
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Season with salt and garlic, if desired.
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Set aside.
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3.Combine wine, cornstarch, remaining 1 tsp Worcestershire sauce, thyme, remaining 1/4 tsp salt, remaining 1/8 tsp pepper, and 1/2 cup water in small bowl until cornstarch has dissolved.
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Set aside.
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4.Heat remaining 2 Tbs oil in wok or large skillet over high heat.
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Add Brussels sprouts, carrots, reserved 20 cauliflower florest, mushrooms, and shallots, and sitr-fry 5-7 minutes, or until vegetables begin to brown.
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Add conrstarch mixture, and stir-fry 1-2 minutes more, or until most of liquid has evaporated and vegetables are coated with sauce.
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Remove from heat, and cool.
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5.Meanwhile, roll each sheet of puff pastry into 12-inch square on floured work surface.
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Cut each sheet into 4 squares, and place on 2 parchment-lined baking sheets.
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Chill 15 minutes.
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6.Preheat oven to 425F Spread 1/4 cup cauliflower puree in circle in center of each pastry square.
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Stir cooled vegetable mixture to coat with sauce, then scoop 1/2 cup vegetables in center of square, making sure each portion contains a good mix of vegetables.
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fold corners of pastry squares over vegetable filling and into center, pinching corners to seal.
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Brucsh each square with egg (if using), and chill 15 minutes.
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Bake 12-15 minutes, or until crisp and golden brown, checking bottoms of squares with spatula to make sure they are browned.
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Let stand 5 minutes before serving.