Michael Ludkovski

According to our database, Michael Ludkovski authored at least 26 papers between 2001 and 2023.

Collaborative distances:

• Dijkstra number of five.
• Erdős number of three.

2023

Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning.

Guillermo Terrén-Serrano, Michael Ludkovski

CoRR, 2023

Expressive Mortality Models through Gaussian Process Kernels.

Mike Ludkovski, Jimmy Risk

CoRR, 2023

2022

Adaptive batching for Gaussian process surrogates with application in noisy level set estimation.

Xiong Lyu, Michael Ludkovski

Stat. Anal. Data Min., 2022

Large-scale local surrogate modeling of stochastic simulation experiments.

D. Austin Cole, Robert B. Gramacy, Mike Ludkovski

Comput. Stat. Data Anal., 2022

On Parametric Optimal Execution and Machine Learning Surrogates.

Tao Chen, Mike Ludkovski, Moritz Voß

CoRR, 2022

2021

A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging.

Tao Chen, Michael Ludkovski

SIAM J. Financial Math., 2021

Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation.

Xiong Lyu, Mickaël Binois, Michael Ludkovski

Stat. Comput., 2021

Statistical learning for probability-constrained stochastic optimal control.

Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski

Eur. J. Oper. Res., 2021

An Impulse-Regime Switching Game Model of Vertical Competition.

René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski

Dyn. Games Appl., 2021

2020

Generalized Probabilistic Bisection for Stochastic Root Finding.

Sergio Rodriguez, Michael Ludkovski

ACM Trans. Model. Comput. Simul., 2020

Probabilistic bisection with spatial metamodels.

Sergio Rodriguez, Michael Ludkovski

Eur. J. Oper. Res., 2020

2019

Replication or Exploration? Sequential Design for Stochastic Simulation Experiments.

Mickaël Binois, Jiangeng Huang, Robert B. Gramacy, Mike Ludkovski

Technometrics, 2019

2018

Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement.

Jimmy Risk, Michael Ludkovski

SIAM J. Financial Math., 2018

2017

Sequential Design for Ranking Response Surfaces.

Ruimeng Hu, Mike Ludkovski

SIAM/ASA J. Uncertain. Quantification, 2017

2016

Stochastic Optimal Coordination of Small UAVs for Target Tracking using Regression-based Dynamic Programming.

Steven A. P. Quintero, Michael Ludkovski, João P. Hespanha

J. Intell. Robotic Syst., 2016

2015

Sequential Design for Optimal Stopping Problems.

Robert B. Gramacy, Michael Ludkovski

SIAM J. Financial Math., 2015

Optimal Execution with Dynamic Order Flow Imbalance.

Kyle Bechler, Michael Ludkovski

SIAM J. Financial Math., 2015

Information directed sampling for stochastic root finding.

Sergio Rodriguez, Michael Ludkovski

Proceedings of the 2015 Winter Simulation Conference, 2015

2014

Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics.

Junjing Lin, Michael Ludkovski

Stat. Comput., 2014

2012

Bayesian quickest detection with observation-changepoint feedback.

Michael Ludkovski

Proceedings of the 51th IEEE Conference on Decision and Control, 2012

2011

Stochastic Switching Games and Duopolistic Competition in Emissions Markets.

Michael Ludkovski

SIAM J. Financial Math., 2011

Optimal Timing to Purchase Options.

Tim Leung, Mike Ludkovski

SIAM J. Financial Math., 2011

Liquidation in Limit Order Books with Controlled Intensity

Erhan Bayraktar, Michael Ludkovski

CoRR, 2011

Optimal disease outbreak decisions using stochastic simulation.

Mike Ludkovski, Jarad Niemi

Proceedings of the Winter Simulation Conference 2011, 2011

2010

Inventory management with partially observed nonstationary demand.

Erhan Bayraktar, Michael Ludkovski

Ann. Oper. Res., 2010

2001

New Families of Ideal 2-Level Autocorrelation Ternary Sequences From Second Order DHT.

Michael Ludkovski, Guang Gong

Electron. Notes Discret. Math., 2001