| Publication | Date of Publication | Type |
|---|
Stochastic control for organ donations: a review
Systems & Control Letters | 2023-06-26 | Paper |
Risk-Sensitive Reinforcement Learning via Policy Gradient Search
Foundations and Trends® in Machine Learning | 2022-09-06 | Paper |
Option pricing under a discrete-time Markov switching stochastic volatility with co-jump model
Frontiers of Mathematical Finance | 2022-08-30 | Paper |
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search
IEEE Transactions on Automatic Control | 2022-07-28 | Paper |
Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination
INFORMS Journal on Computing | 2022-06-28 | Paper |
Predictive modeling for epidemic outbreaks: a new approach and COVID-19 case study
Asia-Pacific Journal of Operational Research | 2021-02-11 | Paper |
Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
Operations Research | 2021-01-19 | Paper |
Random Directions Stochastic Approximation With Deterministic Perturbations
IEEE Transactions on Automatic Control | 2020-10-07 | Paper |
Optimal unbiased estimation for expected cumulative discounted cost
European Journal of Operational Research | 2020-05-27 | Paper |
Differentiation via logarithmic expansions
Asia-Pacific Journal of Operational Research | 2020-02-20 | Paper |
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes
Operations Research Letters | 2018-09-28 | Paper |
Stochastic Optimization in a Cumulative Prospect Theory Framework
IEEE Transactions on Automatic Control | 2018-09-18 | Paper |
Ranking and Selection as Stochastic Control
IEEE Transactions on Automatic Control | 2018-09-18 | Paper |
Importance Splitting for Finite-Time Rare Event Simulation
IEEE Transactions on Automatic Control | 2018-09-14 | Paper |
Random directions stochastic approximation with deterministic perturbations
(available as arXiv preprint) | 2018-08-08 | Paper |
Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
ACM Transactions on Modeling and Computer Simulation | 2018-06-12 | Paper |
Simulation optimization using the cross-entropy method with optimal computing budget allocation
ACM Transactions on Modeling and Computer Simulation | 2018-04-16 | Paper |
A Survey of Some Model-Based Methods for Global Optimization
Systems & Control: Foundations & Applications | 2017-11-22 | Paper |
Perturbation Analysis of a Dynamic Priority Call Center
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Solving Continuous-State POMDPs via Density Projection
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
Adaptive Adversarial Multi-Armed Bandit Approach to Two-Person Zero-Sum Markov Games
IEEE Transactions on Automatic Control | 2017-08-25 | Paper |
An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Recursive Learning Automata Approach to Markov Decision Processes
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Efficient Dynamic Simulation Allocation in Ordinal Optimization
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Adaptive System Optimization Using Random Directions Stochastic Approximation
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Myopic Allocation Policy With Asymptotically Optimal Sampling Rate
IEEE Transactions on Automatic Control | 2017-07-27 | Paper |
Evolutionary policy iteration for solving Markov decision processes
IEEE Transactions on Automatic Control | 2017-07-12 | Paper |
Gradient Extrapolated Stochastic Kriging
ACM Transactions on Modeling and Computer Simulation | 2017-06-30 | Paper |
Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
IEEE Transactions on Automatic Control | 2017-06-20 | Paper |
Particle Filtering Framework for a Class of Randomized Optimization Algorithms
IEEE Transactions on Automatic Control | 2017-05-16 | Paper |
Quantile sensitivity estimation for dependent sequences
Journal of Applied Probability | 2016-12-09 | Paper |
Sensitivity analysis for Monte Carlo simulation of option pricing
Probability in the Engineering and Informational Sciences | 2016-05-11 | Paper |
Sequential selection with unknown correlation structures
Operations Research | 2016-01-22 | Paper |
Optimal Army officer force profiles
Optimization Letters | 2015-12-04 | Paper |
Technical Note—On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis
Operations Research | 2015-11-20 | Paper |
Regression models augmented with direct stochastic gradient estimators
INFORMS Journal on Computing | 2015-01-27 | Paper |
Simulation-based algorithms for Markov decision processes
Communications and Control Engineering | 2013-04-16 | Paper |
A new stochastic derivative estimator for discontinuous payoff functions with application to financial derivatives
Operations Research | 2012-10-01 | Paper |
Simulation allocation for determining the best design in the presence of correlated sampling
INFORMS Journal on Computing | 2012-06-18 | Paper |
An evolutionary random policy search algorithm for solving Markov decision processes
INFORMS Journal on Computing | 2012-06-18 | Paper |
Optimization for simulation: theory vs. practice
INFORMS Journal on Computing | 2012-05-30 | Paper |
Pricing American-style derivatives with European call options
Management Science | 2012-02-21 | Paper |
Probabilistic Error Bounds for Simulation Quantile Estimators
Management Science | 2012-02-19 | Paper |
Efficient design and sensitivity analysis of control charts using Monte Carlo simulation
Management Science | 2012-02-12 | Paper |
Dynamic sample budget allocation in model-based optimization
Journal of Global Optimization | 2011-11-08 | Paper |
Capital renewal as a real option
European Journal of Operational Research | 2011-08-09 | Paper |
New global optimization algorithms for model-based clustering
Computational Statistics and Data Analysis | 2010-04-01 | Paper |
A Model Reference Adaptive Search Method for Global Optimization
Operations Research | 2009-08-13 | Paper |
An Adaptive Sampling Algorithm for Solving Markov Decision Processes
Operations Research | 2009-07-17 | Paper |
Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options
Operations Research | 2009-07-05 | Paper |
A model reference adaptive search method for stochastic global optimization
Communications in Information and Systems | 2009-06-17 | Paper |
What you should know about simulation and derivatives
Naval Research Logistics | 2009-03-03 | Paper |
| Variance-gamma and Monte Carlo | 2009-01-28 | Paper |
A survey of some simulation-based algorithms for Markov decision processes
Communications in Information and Systems | 2008-08-14 | Paper |
Optimal joint preventive maintenance and production policies
Naval Research Logistics | 2008-01-23 | Paper |
| scientific article; zbMATH DE number 5168305 (Why is no real title available?) | 2007-06-28 | Paper |
Simulation-based algorithms for Markov decision processes.
Communications and Control Engineering | 2007-03-13 | Paper |
Estimating customer service in a two-location continuous review inventory model with emergency transshipments
European Journal of Operational Research | 2003-04-10 | Paper |
Derivative estimation for buffer capacity of continuous transfer lines subject to operation-dependent failures
Discrete Event Dynamic Systems | 2003-03-12 | Paper |
A time aggregation approach to Markov decision processes
Automatica | 2002-09-05 | Paper |
On the convergence rate of ordinal comparisons of random variables
IEEE Transactions on Automatic Control | 2002-07-21 | Paper |
| Two timescale SPSA algorithms for rate-based ABR flow control | 2001-12-17 | Paper |
A note on perturbation analysis estimators for American-style options
Probability in the Engineering and Informational Sciences | 2000-01-01 | Paper |
Models for multi-echelon repairable item inventory systems with limited repair capacity
European Journal of Operational Research | 1999-06-28 | Paper |
Optimization of \((s,S)\) inventory systems with random lead times and a service level constraint
Management Science | 1998-01-01 | Paper |
| scientific article; zbMATH DE number 1002915 (Why is no real title available?) | 1997-04-23 | Paper |
On the relationship of capacitated production/inventory models to manufacturing flow control models
Operations Research Letters | 1996-10-20 | Paper |
| scientific article; zbMATH DE number 744082 (Why is no real title available?) | 1996-05-08 | Paper |
On unbounded hazard rates for smoothed perturbation analysis
Journal of Applied Probability | 1996-02-01 | Paper |
Addendum to "Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework"
IEEE Transactions on Automatic Control | 1995-11-28 | Paper |
Comparison of gradient estimation techniques for queues with non- identical servers
Computers & Operations Research | 1995-07-24 | Paper |
Optimization via simulation: A review
Annals of Operations Research | 1995-05-18 | Paper |
Smoothed perturbation analysis derivative estimation for Markov chains
Operations Research Letters | 1995-01-11 | Paper |
| Application of perturbation analysis to a class of periodic review (s, S) inventory systems | 1994-09-22 | Paper |
Sample Path Derivatives for (s, S) Inventory Systems
Operations Research | 1994-07-21 | Paper |
Sample path properties of the G/D/\(m\) queue
European Journal of Operational Research | 1993-09-28 | Paper |
Second Derivative Sample Path Estimators for the GI/G/m Queue
Management Science | 1993-06-29 | Paper |
Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework
IEEE Transactions on Automatic Control | 1993-04-01 | Paper |
Bias properties of infinitesimal perturbation analysis for systems with parallel servers
Computers & Operations Research | 1993-01-16 | Paper |
Consistency of infinitesimal perturbation analysis for the GI/G/m queue
European Journal of Operational Research | 1991-01-01 | Paper |
On the consistency of second derivative perturbation analysis estimators for the M/G/1 queue
Applied Mathematics Letters | 1989-01-01 | Paper |
