L. Jeff Hong

Available identifiers

zbMath Open hong.liu-jeffMaRDI QIDQ614037

List of research outcomes

Publication	Date of Publication	Type
Technical note—Knowledge gradient for selection with covariates: Consistency and computation	2023-10-18	Paper
Technical note: <scp>Finite‐time</scp> regret analysis of <scp>Kiefer‐Wolfowitz</scp> stochastic approximation algorithm and nonparametric <scp>multi‐product</scp> dynamic pricing with unknown demand	2023-10-12	Paper
Solving Large-Scale Fixed-Budget Ranking and Selection Problems	2023-01-11	Paper
Robust Simulation with Likelihood-Ratio Constrained Input Uncertainty	2022-09-19	Paper
Speeding Up Paulson’s Procedure for Large-Scale Problems Using Parallel Computing	2022-06-28	Paper
Knockout-Tournament Procedures for Large-Scale Ranking and Selection in Parallel Computing Environments	2022-02-18	Paper
Online Risk Monitoring Using Offline Simulation	2021-01-07	Paper
On gamma estimation via matrix kriging	2019-08-19	Paper
A framework for locally convergent random-search algorithms for discrete optimization via simulation	2018-06-12	Paper
Kernel Smoothing for Nested Estimation with Application to Portfolio Risk Measurement	2018-03-06	Paper
Gradient and Hessian of joint probability function with applications on chance-constrained programs	2018-01-12	Paper
Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk	2017-06-30	Paper
Conditional Value-at-Risk Approximation to Value-at-Risk Constrained Programs: A Remedy via Monte Carlo	2017-02-17	Paper
Indifference-Zone-Free Selection of the Best	2017-01-26	Paper
Fully Sequential Procedures for Large-Scale Ranking-and-Selection Problems in Parallel Computing Environments	2016-03-22	Paper
Chance Constrained Selection of the Best	2016-01-25	Paper
Balancing Exploitation and Exploration in Discrete Optimization via Simulation Through a Gaussian Process-Based Search	2015-08-28	Paper
Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo	2015-01-26	Paper
Simulating Sensitivities of Conditional Value at Risk	2012-03-01	Paper
Sequential Convex Approximations to Joint Chance Constrained Programs: A Monte Carlo Approach	2012-01-26	Paper
Pathwise Estimation of Probability Sensitivities Through Terminating or Steady-State Simulations	2011-11-24	Paper
Kernel Estimation of the Greeks for Options with Discontinuous Payoffs	2011-07-19	Paper
Speeding up COMPASS for high-dimensional discrete optimization via simulation	2010-12-23	Paper
Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk	2010-09-07	Paper
Kernel estimation of quantile sensitivities	2010-03-09	Paper
Revisit of stochastic mesh method for pricing American options	2009-12-07	Paper
Discrete Optimization via Simulation Using COMPASS	2009-08-13	Paper
A sequential procedure for neighborhood selection-of-the-best in optimization via simulation	2006-05-29	Paper

Research outcomes over time

Doctoral students

No records found.

Known relations from the MaRDI Knowledge Graph

Property	Value
MaRDI profile type	MaRDI person profile
instance of	human

This page was built for person: L. Jeff Hong