| Publication | Date of Publication | Type |
|---|
Rare-event simulation for neural network and random forest predictors
ACM Transactions on Modeling and Computer Simulation | 2024-11-14 | Paper |
Higher-order coverage errors of batching methods via Edgeworth expansions on \(t\)-statistics
The Annals of Statistics | 2024-10-18 | Paper |
Parametric scenario optimization under limited data: a distributionally robust optimization view
ACM Transactions on Modeling and Computer Simulation | 2024-09-08 | Paper |
Uncertainty quantification and exploration for reinforcement learning
Operations Research | 2024-09-05 | Paper |
A shrinkage approach to improve direct bootstrap resampling under input uncertainty
INFORMS Journal on Computing | 2024-09-05 | Paper |
Do price trajectory data increase the efficiency of market impact estimation?
Quantitative Finance | 2024-08-14 | Paper |
Efficient learning for clustering and optimizing context-dependent designs
Operations Research | 2024-07-25 | Paper |
Burn-in selection in simulating stationary time series
Computational Statistics and Data Analysis | 2024-06-12 | Paper |
Enhanced Balancing of Bias-Variance Tradeoff in Stochastic Estimation: A Minimax Perspective
Operations Research | 2024-03-15 | Paper |
Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models
Naval Research Logistics | 2023-10-12 | Paper |
Subsampling to Enhance Efficiency in Input Uncertainty Quantification
Operations Research | 2022-08-05 | Paper |
General feasibility bounds for sample average approximation via Vapnik-Chervonenkis dimension
SIAM Journal on Optimization | 2022-07-08 | Paper |
| Higher-Order Coverage Errors of Batching Methods via Edgeworth Expansions on $t$-Statistics | 2021-11-12 | Paper |
Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations
Operations Research Letters | 2021-04-07 | Paper |
Maximum likelihood estimation by Monte Carlo simulation: toward data-driven stochastic modeling
Operations Research | 2021-01-19 | Paper |
Optimization-based calibration of simulation input models
Operations Research | 2020-10-26 | Paper |
Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization
Operations Research | 2020-10-26 | Paper |
Robust analysis in stochastic simulation: computation and performance guarantees
Operations Research | 2020-10-12 | Paper |
Minimax Efficient Finite-Difference Stochastic Gradient Estimators Using Black-Box Function Evaluations
(available as arXiv preprint) | 2020-07-08 | Paper |
| Combating Conservativeness in Data-Driven Optimization under Uncertainty: A Solution Path Approach | 2019-09-13 | Paper |
Robust Actuarial Risk Analysis
North American Actuarial Journal | 2019-05-08 | Paper |
Uncertainty quantification of stochastic simulation for black-box computer experiments
Methodology and Computing in Applied Probability | 2019-04-26 | Paper |
The empirical likelihood approach to quantifying uncertainty in sample average approximation
Operations Research Letters | 2019-02-22 | Paper |
Robust and parallel Bayesian model selection
Computational Statistics and Data Analysis | 2018-08-21 | Paper |
Tail analysis without parametric models: a worst-case perspective
Operations Research | 2018-01-11 | Paper |
| Learning-based Robust Optimization: Procedures and Statistical Guarantees | 2017-04-13 | Paper |
Robust sensitivity analysis for stochastic systems
Mathematics of Operations Research | 2016-11-16 | Paper |
Rare-event simulation for many-server queues
Mathematics of Operations Research | 2015-04-24 | Paper |
Two-parameter sample path large deviations for infinite-server queues
Stochastic Systems | 2014-10-07 | Paper |
Two-parameter sample path large deviations for infinite-server queues
Stochastic Systems | 2014-10-07 | Paper |
Uniform large deviations for heavy-tailed queues under heavy traffic
Boletín de la Sociedad Matemática Mexicana. Third Series | 2014-09-09 | Paper |
A heavy traffic approach to modeling large life insurance portfolios
Insurance Mathematics & Economics | 2014-04-15 | Paper |
Efficient rare-event simulation for perpetuities
Stochastic Processes and their Applications | 2012-09-12 | Paper |
Chernoff-Hoeffding bounds for Markov chains: generalized and simplified
(available as arXiv preprint) | 2012-08-23 | Paper |
Spectral library searching for peptide identification in proteomics
Statistics and Its Interface | 2012-08-18 | Paper |
Corrections to the central limit theorem for heavy-tailed probability densities
Journal of Theoretical Probability | 2012-02-13 | Paper |
Rare event simulation for a slotted time M/G/s model
Queueing Systems | 2010-03-17 | Paper |
Propagation of Input Tail Uncertainty in Rare-Event Estimation: A Light versus Heavy Tail Dichotomy
(available as arXiv preprint) | N/A | Paper |
