Michael C. Fu

Chenglong Xu

Oper. Res. Lett., 2016

Quantile sensitivity estimation for dependent sequences.

[BibT_eX]

[DOI]

J. Appl. Probab., 2016

Dynamic Sampling Allocation and Design Selection.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2016

On the regularity conditions and applications for generalized likelihood ratio method.

[BibT_eX]

[DOI]

Yijie Peng

Proceedings of the Winter Simulation Conference, 2016

AlphaGo and Monte Carlo tree search: The simulation optimization perspective.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference, 2016

Estimating distribution sensitivity using generalized likelihood ratio method.

[BibT_eX]

[DOI]

Yijie Peng

Proceedings of the 13th International Workshop on Discrete Event Systems, 2016

Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Control.

[BibT_eX]

[DOI]

Proceedings of the 33nd International Conference on Machine Learning, 2016

2015

Optimal Army officer force profiles.

[BibT_eX]

[DOI]

Andrew O. Hall

Optim. Lett., 2015

Sequential Selection with Unknown Correlation Structures.

[BibT_eX]

[DOI]

Oper. Res., 2015

Technical Note - On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis.

[BibT_eX]

[DOI]

Oper. Res., 2015

Cumulative Prospect Theory Meets Reinforcement Learning: Estimation and Control.

[BibT_eX]

[DOI]

CoRR, 2015

Non-monotonicity of probability of correct selection.

[BibT_eX]

[DOI]

Proceedings of the 2015 Winter Simulation Conference, 2015

Optimal importance sampling for simulation of lévy processes.

[BibT_eX]

[DOI]

Chenglong Xu

Proceedings of the 2015 Winter Simulation Conference, 2015

Simulation-based work load and job release control for semiconductor manufacturing.

[BibT_eX]

[DOI]

Keiichiro Urayama

Proceedings of the 54th IEEE Conference on Decision and Control, 2015

2014

Gradient Extrapolated Stochastic Kriging.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2014

Particle Filtering Framework for a Class of Randomized Optimization Algorithms.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2014

Regression Models Augmented with Direct Stochastic Gradient Estimators.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2014

Simulation optimization: a panel on the state of the art in research and practice.

[BibT_eX]

[DOI]

Benjamin G. Thengvall

Proceedings of the 2014 Winter Simulation Conference, 2014

Simulation optimization: a tutorial overview and recent developments in gradient-based methods.

[BibT_eX]

[DOI]

Proceedings of the 2014 Winter Simulation Conference, 2014

On the sensitivity of greek kernel estimators to bandwidth parameters.

[BibT_eX]

[DOI]

Marie Chau

Proceedings of the 2014 Winter Simulation Conference, 2014

Regulation of systemic risk through contributory endogenous agent-based modeling.

[BibT_eX]

[DOI]

Aurora J. Bristor

Sean L. Barnes

Proceedings of the 2014 Winter Simulation Conference, 2014

A New Hybrid Stochastic Approximation Algorithm.

[BibT_eX]

[DOI]

Marie Chau

Proceedings of the 12th International Workshop on Discrete Event Systems, 2014

2013

Efficient Simulation Resource Sharing and Allocation for Selecting the Best.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2013

Learning logistic demand curves in business-to-business pricing.

[BibT_eX]

[DOI]

Ilya O. Ryzhov

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

A dynamic framework for statistical selection problems.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

An empirical sensitivity analysis of the Kiefer-Wolfowitz algorithm and its variants.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulations Conference: Simulation Making Decisions in a Complex World, 2013

2012

A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives.

[BibT_eX]

[DOI]

Oper. Res., 2012

Ranking and selection with unknown correlation structures.

[BibT_eX]

[DOI]

Ilya O. Ryzhov

Proceedings of the Winter Simulation Conference, 2012

On direct gradient enhanced simulation metamodels.

[BibT_eX]

[DOI]

Proceedings of the Winter Simulation Conference, 2012

2011

Dynamic sample budget allocation in model-based optimization.

[BibT_eX]

[DOI]

J. Glob. Optim., 2011

Capital renewal as a real option.

[BibT_eX]

[DOI]

Matthew J. Reindorp

Eur. J. Oper. Res., 2011

Dynamic lead time promising.

[BibT_eX]

[DOI]

Matthew J. Reindorp

Proceedings of the 2011 IEEE Symposium on Adaptive Dynamic Programming And Reinforcement Learning, 2011

2010

Simulation optimization using the cross-entropy method with optimal computing budget allocation.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2010

Solving Continuous-State POMDPs via Density Projection.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2010

Perturbation Analysis of a Dynamic Priority Call Center.

[BibT_eX]

[DOI]

Min Chen

IEEE Trans. Autom. Control., 2010

Adaptive Adversarial Multi-Armed Bandit Approach to Two-Person Zero-Sum Markov Games.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2010

Model-based Evolutionary Optimization.

[BibT_eX]

[DOI]

Proceedings of the 2010 Winter Simulation Conference, 2010

Estimating Greeks for Variance-Gamma.

[BibT_eX]

[DOI]

Lingyan Cao

Proceedings of the 2010 Winter Simulation Conference, 2010

2009

Conditional Monte Carlo Estimation of Quantile Sensitivities.

[BibT_eX]

[DOI]

L. Jeff Hong

Manag. Sci., 2009

New global optimization algorithms for model-based clustering.

[BibT_eX]

[DOI]

Jeffrey W. Heath

Wolfgang Jank

Comput. Stat. Data Anal., 2009

A Numerical Method for Financial Decision Problems under Stochastic Volatility.

[BibT_eX]

[DOI]

Proceedings of the 2009 Winter Simulation Conference, 2009

Sensitivity Analysis for Barrier Options.

[BibT_eX]

[DOI]

Proceedings of the 2009 Winter Simulation Conference, 2009

A new stochastic gradient estimator for American option pricing.

[BibT_eX]

[DOI]

Proceedings of the 10th European Control Conference, 2009

Dynamic pricing with continuous stochastic demand.

[BibT_eX]

[DOI]

Proceedings of the 48th IEEE Conference on Decision and Control, 2009

2008

Efficient Simulation Budget Allocation for Selecting an Optimal Subset.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2008

A Model Reference Adaptive Search Method for Stochastic Global Optimization.

[BibT_eX]

[DOI]

Commun. Inf. Syst., 2008

A particle filtering framework for randomized optimization algorithms.

[BibT_eX]

[DOI]

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

Some topics for simulation optimization.

[BibT_eX]

[DOI]

Chun-Hung Chen

Leyuan Shi

Proceedings of the 2008 Winter Simulation Conference, Global Gateway to Discovery, 2008

A density projection approach to dimension reduction for continuous-state POMDPs.

[BibT_eX]

[DOI]

Proceedings of the 47th IEEE Conference on Decision and Control, 2008

2007

Recursive Learning Automata Approach to Markov Decision Processes.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2007

An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2007

A Model Reference Adaptive Search Method for Global Optimization.

[BibT_eX]

[DOI]

Oper. Res., 2007

An Evolutionary Random Policy Search Algorithm for Solving Markov Decision Processes.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2007

Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2007

A survey of some simulation-based algorithms for Markov decision processes.

[BibT_eX]

[DOI]

Commun. Inf. Syst., 2007

A model reference adaptive search method for stochastic optimization with applications to Markov decision processes.

[BibT_eX]

[DOI]

Proceedings of the 46th IEEE Conference on Decision and Control, 2007

Adversarial multi-armed bandit approach to two-person zero-sum Markov games.

[BibT_eX]

[DOI]

Proceedings of the 46th IEEE Conference on Decision and Control, 2007

2006

Efficient Dynamic Simulation Allocation in Ordinal Optimization.

[BibT_eX]

[DOI]

Chun-Hung Chen

Donghai He

IEEE Trans. Autom. Control., 2006

Pricing American-Style Derivatives with European Call Options.

[BibT_eX]

[DOI]

Manag. Sci., 2006

Applying model reference adaptive search to American-style option pricing.

[BibT_eX]

[DOI]

Huiju Zhang

Proceedings of the Winter Simulation Conference WSC 2006, 2006

Adversarial Multi-Armed Bandit Approach to Stochastic Optimization.

[BibT_eX]

[DOI]

Proceedings of the 45th IEEE Conference on Decision and Control, 2006

Chapter 19 Gradient Estimation.

[BibT_eX]

[DOI]

Proceedings of the Simulation, 2006

2005

Evolutionary policy iteration for solving Markov decision processes.

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 2005

An Adaptive Sampling Algorithm for Solving Markov Decision Processes.

[BibT_eX]

[DOI]

Oper. Res., 2005

Stochastic optimization using model reference adaptive search.

[BibT_eX]

[DOI]

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

Simulation optimization: a review, new developments, and applications.

[BibT_eX]

[DOI]

Fred W. Glover

Jay April

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

A loss default simulation model of the federal bank deposit insurance funds.

[BibT_eX]

[DOI]

Proceedings of the 37th Winter Simulation Conference, Orlando, FL, USA, December 4-7, 2005, 2005

A Two-Timescale Simulation-Based Gradient Algorithm for Weighted Cost Markov Decision Processes.

[BibT_eX]

[DOI]

Ying He

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

Recursive Learning Automata for Control of Partially Observable Markov Decision Processes.

[BibT_eX]

[DOI]

Proceedings of the 44th IEEE IEEE Conference on Decision and Control and 8th European Control Conference Control, 2005

2004

Risk and Information in the Estimation of Hidden Markov Models.

[BibT_eX]

[DOI]

Vahid Reza Ramezani

Proceedings of the 36th conference on Winter simulation, 2004

Optimal Computing Budget Allocation Under Correlated Sampling.

[BibT_eX]

[DOI]

Proceedings of the 36th conference on Winter simulation, 2004

Structured risk-sensitivity for partially observed Markov chains.

[BibT_eX]

[DOI]

Vahid Reza Ramezani

Proceedings of the 43rd IEEE Conference on Decision and Control, 2004

Fluid approximation and perturbation analysis of a dynamic priority call center.

[BibT_eX]

[DOI]

Min Chen

Proceedings of the 43rd IEEE Conference on Decision and Control, 2004

Localization for a class of two-team zero-sum Markov games.

[BibT_eX]

[DOI]

Proceedings of the 43rd IEEE Conference on Decision and Control, 2004

A case study for optimal dynamic simulation allocation in ordinal optimization.

[BibT_eX]

[DOI]

Chun-Hung Chen

Donghai He

Proceedings of the 2004 American Control Conference, 2004

2003

Guest editorial.

[BibT_eX]

[DOI]

Barry L. Nelson

ACM Trans. Model. Comput. Simul., 2003

Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences.

[BibT_eX]

[DOI]

ACM Trans. Model. Comput. Simul., 2003

Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization.

[BibT_eX]

[DOI]

Ying He

IEEE Trans. Autom. Control., 2003

Probabilistic Error Bounds for Simulation Quantile Estimators.

[BibT_eX]

[DOI]

Xing Jin

Xiaoping Xiong

Manag. Sci., 2003

Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options.

[BibT_eX]

[DOI]

Rongwen Wu

Oper. Res., 2003

Estimating customer service in a two-location continuous review inventory model with emergency transshipments.

[BibT_eX]

[DOI]

Kefeng Xu

Philip T. Evers

Eur. J. Oper. Res., 2003

Customer relations management: call center operations: fluid approximations for a priority call center with time-varying arrivals.

[BibT_eX]

[DOI]

Ahmad D. Ridley

William A. Massey

Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

Public health: computer simulation of a mobile examination center.

[BibT_eX]

[DOI]

Vera Z. Osidach

Proceedings of the 35th Winter Simulation Conference: Driving Innovation, 2003

An asymptotically efficient algorithm for finite horizon stochastic dynamic programming problems.

[BibT_eX]

[DOI]

Proceedings of the 42nd IEEE Conference on Decision and Control, 2003

A distributed algorithm for solving a class of multi-agent Markov decision problems.

[BibT_eX]

[DOI]

Proceedings of the 42nd IEEE Conference on Decision and Control, 2003

Application of perturbation analysis to traffic light signal timing.

[BibT_eX]

[DOI]

William C. Howell

Proceedings of the 42nd IEEE Conference on Decision and Control, 2003

2002

Simulation Optimization in the Future: Evolution or Revolution?

[BibT_eX]

[DOI]

INFORMS J. Comput., 2002

Feature Article: Optimization for simulation: Theory vs. Practice.

[BibT_eX]

[DOI]

INFORMS J. Comput., 2002

Derivative Estimation for Buffer Capacity of Continuous Transfer Lines Subject to Operation-Dependent Failures.

[BibT_eX]

[DOI]

Xiaolan Xie

Discret. Event Dyn. Syst., 2002

A time aggregation approach to Markov decision processes.

[BibT_eX]

[DOI]

Autom., 2002

Optimization via simulation: randomized-direction stochastic approximation algorithms using deterministic sequences.

[BibT_eX]

[DOI]

Xiaoping Xiong

I-Jeng Wang

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

Financial derivatives and real options: hedging beyond duration and convexity.

[BibT_eX]

[DOI]

Jian Chen

Proceedings of the 34th Winter Simulation Conference: Exploring New Frontiers, 2002

2001

Optimal structured feedback policies for ABR flow control using two-timescale SPSA.

[BibT_eX]

[DOI]

IEEE/ACM Trans. Netw., 2001

On the convergence rate of ordinal comparisons of random variables.

[BibT_eX]

[DOI]

Xing Jin

IEEE Trans. Autom. Control., 2001

A new approach to pricing American-style derivatives.

[BibT_eX]

[DOI]

Proceedings of the 33nd conference on Winter simulation, 2001

Simulation optimization.

[BibT_eX]

[DOI]

Proceedings of the 33nd conference on Winter simulation, 2001

2000

Monotone Optimal Policies for a Transient Queueing Staffing Problem.

[BibT_eX]

[DOI]

I-Jeng Wang

Oper. Res., 2000

Simulation in financial engineering: importance sampling in derivative securities pricing.

[BibT_eX]

[DOI]

Yi Su

Proceedings of the 32nd conference on Winter simulation, 2000

Integrating optimization and simulation: research and practice.

[BibT_eX]

[DOI]

Proceedings of the 32nd conference on Winter simulation, 2000

1999

On performance potentials and conditional Monte Carlo for gradient estimationfor Markov chains.

[BibT_eX]

[DOI]

Xi-Ren Cao

Ann. Oper. Res., 1999

1998

Operational Modeling and Simulation in Semiconductor Manufacturing.

[BibT_eX]

[DOI]

Proceedings of the 30th conference on Winter simulation, 1998

1997

Setting thresholds for periodic order release.

[BibT_eX]

[DOI]

Jeffrey W. Herrmann

Murali Narayanaswamy

J. Intell. Manuf., 1997

1996

A Comparison of Perturbation Analysis Techniques.

[BibT_eX]

[DOI]

Proceedings of the 28th conference on Winter simulation, 1996

1995

Addendum to "Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework".

[BibT_eX]

[DOI]

IEEE Trans. Autom. Control., 1995

On the relationship of capacitated production/inventory models to manufacturing flow control models.

[BibT_eX]

[DOI]

Oper. Res. Lett., 1995

Comparison of gradient estimation techniques for queues with non-identical servers.

[BibT_eX]

[DOI]

Rakesh Nagi

Comput. Oper. Res., 1995

Transfer Optimization via Simultaneous Perturbation Stochastic Approximation.

[BibT_eX]

[DOI]

Stacy D. Hill

Proceedings of the 27th conference on Winter simulation, 1995

Pricing of Financial Derivatives via Simulation.

[BibT_eX]

[DOI]

Proceedings of the 27th conference on Winter simulation, 1995

1994

Smoothed perturbation analysis derivative estimation for Markov chains.

[BibT_eX]

[DOI]

Oper. Res. Lett., 1994

Sample Path Derivatives for (s, S) Inventory Systems.

[BibT_eX]

[DOI]

Oper. Res., 1994

Optimization via simulation: A review.

[BibT_eX]

[DOI]

Ann. Oper. Res., 1994

Simulation optimization via simultaneous perturbation stochastic approximation.

[BibT_eX]

[DOI]

Stacy D. Hill

Proceedings of the 26th conference on Winter simulation, 1994

A tutorial review of techniques for simulation optimization.

[BibT_eX]

[DOI]

Proceedings of the 26th conference on Winter simulation, 1994

1993

Smoothed perturbation analysis for queues with finite buffers.

[BibT_eX]

[DOI]

Queueing Syst. Theory Appl., 1993

A simulation study of donor scheduling systems for the American Red Cross.

[BibT_eX]

[DOI]

Comput. Oper. Res., 1993

An application of perturbation analysis to a replacement problem in maintenance theory.

[BibT_eX]

[DOI]

Leyuan Shi

Proceedings of the 25th Winter Simulation Conference, 1993

1992

Bias properties of infinitesimal perturbation analysis for systems with parallel servers.

[BibT_eX]

[DOI]

Rakesh Nagi

Comput. Oper. Res., 1992

Simulation Optimization of (s, S) Inventory Systems.

[BibT_eX]

[DOI]

Kevin J. Healy

Proceedings of the 24th Winter Simulation Conference, 1992

1991

Application of perturbation analysis to (s, S) inventory systems.

[BibT_eX]

[DOI]

Sridhar Bashyam

Proceedings of the 23th Winter Simulation Conference, 1991

1990

Bias properties of infinitesimal perturbation analysis for multi-server queues.

[BibT_eX]

[DOI]

Proceedings of the 22th Winter Simulation Conference, 1990

1988

Using perturbation analysis for gradient estimation, averaging and updating in a stochastic approximation algorithm.

[BibT_eX]

[DOI]