Publications

click here for pdf file listing publications, including conference proceedings, book chapters, etc.

BOOKS

Selected JOURNAL ARTICLES, Conference Proceedings, and Recent Working Papers

Cumulative prospect theory (CPT)

  • Stochastic Optimization in a Cumulative Prospect Theory Framework, IEEE Transactions on Automatic Control, conditionally accepted, 2017 (with C. Jie, P. L.A., S.I. Marcus, C. Szepesvari).
  • Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Control, Proceedings of the 33rd International Conference on Machine Learning, 1406–1415, 2016 (with P. L.A., C. Jie, S.I. Marcus, C. Szepesvari).
  • Weighted Bandits or: How Bandits Learn Distorted Values that are Not Expected, Proceedings of the Thirty-First AAAI Conference on Artificial Intelligence (AAAI-17), 1941–1947, 2017 (with A. Gopalan, P. L.A., S.I. Marcus).

Markov decision processes

  • An Adaptive Sampling Algorithm for Solving Markov Decision Processes, Operations Research, Vol.53, No.1, 126-139, 2005 (with H.S. Chang, J. Hu, S.I. Marcus) PDF
    earlier version available as TR 2002-19.
  • An Evolutionary Random Search Algorithm for Solving Markov Decision Processes, INFORMS Journal on Computing, Vol.19, No.2, 161-174, 2007 (with J. Hu, V. Ramezani, S.I. Marcus) PDF
    earlier version available as TR 2005-3.
  • Evolutionary Policy Iteration for Solving Markov Decision Processes, IEEE Transactions on Automatic Control, Vol.50, No.11, 1804-1808, 2005 (with H.S. Chang, H.-G. Lee, S.I. Marcus) PDF
    earlier version available at TR 2002-31 (Note there is a minor technical error in one of the proofs in that version).
  • Recursive Learning Automata Approach to Markov Decision Processes, IEEE Transactions on Automatic Control, Vol.52, No.7, 1249-55, 2007 (with H.S. Chang, J. Hu, S.I. Marcus). PDF
  • A Two-Timescale Stochastic Approximation Algorithm for Weighted Cost-to-Go Markov Decision Processes, Proceedings of the 44th IEEE Conference on Decision and Control, 8022-8027, 2005 (with Y. He, S.I. Marcus). PDF
  • An Asymptotically Efficient Algorithm for Finite Horizon Stochastic Dynamic Programming Problems, IEEE Transactions on Automatic Control, Vol.52, No.1, 89-94, 2007. PDF
    earlier version available as TR 2003-26.
  • TR 2005-84: Convergence of Sample Path Optimal Policies for Stochastic Dynamic Programming.
  • TR 2003-25: A Distributed Algorithm for Solving a Class of Multi-agent Markov Decision Problems.
  • TR 99-56: Simulation-Based Algorithms for Average Cost Markov Decision Processes.

randomized global optimization

  • A Model Reference Adaptive Search Algorithm for Global Optimization, Operations Research, Vol.55, No.3, 549-568, 2007 (with J. Hu, S.I. Marcus). PDF
    earlier version available as TR 2005-81.
  • A Model Reference Adaptive Search Algorithm for Stochastic Global Optimization, Communications in Information and Systems, Vol.8, No.3, 245–276, 2008 (with J. Hu, S.I. Marcus). PDF
  • New Global Optimization Algorithms for Model-Based Clustering, Computational Statistics and Data Analysis, Vol.53, No.12, 3999-4017, 2009 (with J. Heath, W. Jank). PDF
  • Global Convergence of Model Reference Adaptive Search for Gaussian Mixtures (with J. Heath, W. Jank). PDF
  • Model-Based Randomized Methods for Global Optimization, Proceedings of the 17th International Symposium on Mathematical Theory of Networks and Systems, 355-363, 2006 (with J. Hu, S.I. Marcus). PDF 

gradient estimation (note: some papers also cross-listed under particular application area)

  • Stochastic Gradient Estimation, Chapter 5 of Handbook on Simulation Optimization, M.C. Fu, editor, Springer, 2015.
  • Naval Research Logistics Cover Article, What You Should Know About Simulation and Derivatives, Vol.55, No.8, 723-736, 2008. PDF
  • A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters, Operations Research, forthcoming, 2017 (with Y. Peng, J.Q. Hu, B. Heidergott).
  • A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives, Operations Research, Vol.60, No.2, 447–460, 2012 (with Y. Wang, S.I. Marcus).
  • On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis, Operations Research, Vol.63, No.2, 435–441, 2015 (with G. Jiang).
  • Conditional Monte Carlo Estimation of Quantile Sensitivities, Management Science, Vol.55, No.12, 2019–2027, 2009 (with L.J. Hong, J.Q. Hu).
  • Conditional Monte Carlo Gradient Estimation in Economic Design of Control Limits, Production and Operations Management, Vol. 18, No. 1, 60–77, 2009 (with S. Lele, T. Vossen).
  • Stochastic Gradient Estimation, Chapter 19, in Handbook on Operations Research and Management Science: Simulation, S.G. Henderson and B.L. Nelson, editors, Elsevier, 575-616, 2006. PDF earlier version available as TR 2005-93.
  • Extensions and Generalizations of Smoothed Perturbation Analysis in a Generalized Semi-Markov Process Framework, IEEE Transactions on Automatic Control, Vol.37, No.10, 1483-1500, 1992 (with J.Q.Hu). PDF
  • Sample Path Derivatives for (s,S) Inventory Systems, Operations Research, Vol.42, No.2, 351-364, 1994. PDF
  • Sensitivity Analysis for Simulation of Stochastic Activity Networks, in Perspectives in Operations Research: Papers in Honor of Saul Gass' 80th Birthday (eds. Alt, Fu, Golden), Springer, 351-366, 2006. PDF
  • Simulation Optimization of Traffic Light Signal Timings via Perturbation Analysis, working paper (with W.C. Howell). PDF
  • Online Traffic Light Control Through Gradient Estimation Using Stochastic Fluid Models, Proceedings of the IFAC 16th Triennial World Congress, 2005 (with C. Panayiotou, W.C. Howell). PDF
  • Fluid Approximation and Perturbation Analysis of a Dynamic Priority Call Center, Proceedings of the 43rd IEEE Conference on Decision and Control, 2304-2309, 2004 (with M. Chen, J.Q. Hu). PDF
  • Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation, Management Science, Vol.45, No.3, 395-413, 1999 (with J.Q. Hu) PDF earlier version available asTR 97-91.
  • Conditional Monte Carlo Gradient Estimation in Economic Design of Control Charts, POM, under review. (with S. Lele, T. Vossen) PDF
  • Second Derivative Sample Path Estimators for the GI/G/m Queue, Management Science, Vol.39, No.3, 359-383, 1993 (with J.Q.Hu). PDF
  • Derivative Estimation for Buffer Capacity of Continuous Transfer Lines Subject to Operation-dependent Failures, Discrete Event Dynamic Systems, Vol.12, No.4, 447-469, 2002 (with X. Xie); PDF earlier version available as TR 98-57.
  • Efficient Sensitivity Analysis of Mortgage-Backed Securities (with J. Chen), unpublished manuscript, 2001. PDF much abbreviated version available here (Hedging Beyond Duration and Convexity, Proceedings of the 2002 Winter Simulation Conference, 1593-1599).
  • Sensitivity Analysis for Monte Carlo Simulation of Option Pricing, Probability in the Engineering and Information Sciences, Vol.9, No.3, 417-446, 1995 (with J.Q.Hu). corrected version as pdf file (published version has some typos and errors).
  • A Note on Perturbation Analysis Estimators for American-Style Options, Probability in Engineering and Informational Sciences, Vol.14, 385-392, 2000 (with R. Wu, G. Gürkan, A.Y. Demir). PDF

simulation optimization, stochastic approximation

  • An Overview of Stochastic Approximation, Chapter 6 of Handbook on Simulation Optimization, M.C. Fu, editor, Springer, 2015 (with M. Chau).
  • History of Seeking Better Solutions, aka Simulation Optimization, Proceedings of the Winter Simulation Conference, forthcoming, 2017 (with S.G. Henderson).
  • Augmented Regression With Direct Gradient Estimates, INFORMS Journal on Computing, Vol.26, No.3, 484–499, 2014 (with H. Qu).
  • Gradient Extrapolated Stochastic Kriging,” ACM Transactions on Modeling and Computer Simulation, 24(4), 2014 (with H. Qu).
  • Optimization for Simulation: Theory vs. Practice (Feature Article), INFORMS Journal on Computing, Vol.14, No.3, 192-215, 2002. PDF
  • Optimization via Simulation: A Review, Annals of Operations Research, Vol. 53, 199-248, 1994. PDF
  • Two-Timescale Simultaneous Perturbation Stochastic Approximation Using Deterministic Perturbation Sequences, ACM Transactions on Modeling and Computer Simulation, 180-209, 2003 (with S. Bhatnagar, S.I. Marcus, I.J.Wang). PDF
  • Convergence of Simultaneous Perturbation Stochastic Approximation for Nondifferentiable Optimization, IEEE Transactions on Automatic Control, Vol.48, No.8, 1459-1463, 2003 (with Y. He, S.I. Marcus). PDF
  • On the Convergence Rate of Ordinal Comparison of Random Variables, IEEE Transactions on Automatic Control, Vol.,46, No.12, 1950-1954, 2001 (with X. Jin). PDF
  • An Optimal Structured Feedback Policy for ABR Flow Control Using Two Timescale SPSA, IEEE/ACM Transactions on Networking, Vol.9, No.4, 479-491, 2001 (with S. Bhatnagar, S.I. Marcus, P.J.M. Fard); PDF earlier version available as TR 99-86.
  • Two Timescale Algorithms for Simulation Optimization of Hidden Markov Models, IIE Transactions, Vol.33, No.3, 245-258, 2001 (with S. Bhatnagar, S.I. Marcus, S. Bhatnagar); PDF earlier version available as TR 2000-13.
  • Optimization of Discrete Event Systems via Simultaneous Perturbation Stochastic Approximation, IIE Transactions, Vol. 29, No.3, pp.233-243, 1997 (with S.D. Hill). PDF
  • Convergence of a Stochastic Approximation Algorithm for the GI/G/1 Queue Using Infinitesimal Perturbation Analysis, Journal of Optimization Theory and Applications, Vol.65, No.1, 149-160, 1990. PDF

simulation efficiency

  • Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling, INFORMS Journal on Computing, Vol.19, No.1, 101-111, 2007 (with J.Q. Hu, C.H. Chen, X. Xiong). PDF
  • Efficient Dynamic Simulation Allocation in Ordinal Optimization, IEEE Transactions on Automatic Control, Vol.51, No.12, 2005-2009, 2006 (with D. He, C.H. Chen). PDF
  • Efficient Simulation Budget Allocation for Selecting an Optimal Subset, INFORMS Journal on ComputingVol.20, No.4, 579–595, 2008 (with D. He, C.H. Chen, L.H. Lee). PDF
  • Asymptotically Optimal Simulation Allocation under Dependent Sampling (with X. Xiong, S. Juneja). PDF
  • Probabilistic Error Bounds for Simulation Quantile Estimation, Management Science, Vol.49, No.2, 230-246, 2003 (with X. Jin, X. Xiong); PDF earlier version finalist in INFORMS Nicholson Student Paper competition: A Large Deviations Analysis of Quantile Estimation with Application to Value at Risk, available as pdf at DRUM.

financial engineering/computational finance

  • Variance-Gamma and Monte Carlo, in Advances in Mathematical Finance (eds. Fu, Jarrow, Yen, Elliott), Birkhäuser, 21-35, 2007. PDF (tutorial article on Monte Carlo simulation for Variance-Gamma process, including bridge sampling and sensitivity estimation)
  • Pricing American-Style Derivatives with European Call Options, Management Science, Vol.52, No.1, 95-110, 2006 (with S. Laprise, S.I. Marcus, A.E.B. Lim, H. Zhang); PDF much abbreviated preliminary version available here (A New Approach to Pricing American-Style Derivatives, Proceedings of the 2001 Winter Simulation Conference, 329-337).
  • Optimal Exercise Policies and Simulation-based Valuation for American-Asian Options, Operations Research, Vol.51, No.1, 52-66, 2003 (with R. Wu). PDF
  • Optimal Importance Sampling in Securities Pricing, Journal of Computational Finance, Vol.5, No.4, 27-50, 2002 (with Y. Su); PDF (Note: published version has numerous typos.) much abbreviated preliminary version available here (Importance Sampling in Derivative Securities Pricing, Proceedings of the 2000 Winter Simulation Conference, 587-596).
  • Pricing American Options: A Comparison of Monte Carlo Simulation Approaches, Journal of Computational Finance, Vol.4, No.3, 39-88, Spring 2001 (with S.B.Laprise, D.B. Madan, Y. Su, R. Wu). PDF
  • Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods, Journal of Computational Finance, Vol.2, No.2, 49-74, 1999 (with D.B. Madan, T. Wang). PDF
  • Efficient Sensitivity Analysis of Mortgage-Backed Securities (with J. Chen), unpublished manuscript, 2001. PDF much abbreviated version available here (Hedging Beyond Duration and Convexity, Proceedings of the 2002 Winter Simulation Conference, 1593-1599).
  • Sensitivity Analysis for Monte Carlo Simulation of Option Pricing, Probability in the Engineering and Information Sciences, Vol.9, No.3, 417-446, 1995 (with J.Q.Hu). corrected version as pdf file (published version has some typos and errors).
  • A Note on Perturbation Analysis Estimators for American-Style Options, Probability in Engineering and Informational Sciences, Vol.14, 385-392, 2000 (with R. Wu, G. Gürkan, A.Y. Demir). PDF

semiconductor manufacturing and supply chain management

  • Optimal Preventive Maintenance Scheduling in Semiconductor Manufacturing, IEEE Transactions on Semiconductor Manufacturing, Vol.17, No.3, 345-356, 2004 (with X. Yao, E. Fernández- Gaucherand, S.I. Marcus). PDF
  • Optimal Joint Preventive Maintenance and Production Policies, Naval Research Logistics, Vol.52, No.7, 668-681, 2005 (with X. Yao, X. Xie, S.I. Marcus). PDF
  • TR 2000-49: Approximate Policy Iteration for Semiconductor Fab-Level Decision Making - a Case Study
  • TR 2000-48: Simulation-Based Approach for Semiconductor Fab-Level Decision Making - Implementation Issues
  • TR 2000-1: Comparing Gradient Estimation Methods Applied to Stochastic Manufacturing Systems

queueing and inventory

  • Optimization of (s,S) Inventory Systems with Random Lead Times and a Service Level Constraint, Management Science, Vol.44, No.12, S243-S256, 1998 (with S. Bashyam). PDF
  • Queueing Theory in Manufacturing: A Review, Journal of Manufacturing Systems, Vol.18, No.3, 214-240, 1999 (with M.K. Govil). PDF
  • Sample Path Derivatives for (s,S) Inventory Systems, Operations Research, Vol.42, No.2, 351-364, 1994. PDF
  • Monotone Optimal Policies for a Transient Queueing Staffing Problem, Operations Research, No.2, 327-331, 2000 (with S.I. Marcus, I.J. Wang); PDF earlier version available as TR 97-62.
  • Minimizing Work-in-Process and Material Handling in the Facilities Layout Problem, IIE Transactions, Vol. 29, No.1, pp.29-36, 1997 (with B.K. Kaku); PDF earlier version available as TR 95-41.
  • Models for Multi-Echelon Repairable Item Inventory Systems with Limited Repair Capacity, European Journal of Operational Research, Vol. 97, No.3, pp.480-492, 1997 (with A. Diáz). PDF
  • Second Derivative Sample Path Estimators for the GI/G/m Queue, Management Science, Vol.39, No.3, 359-383, 1993 (with J.Q.Hu). PDF
  • TR 98-7: A Lower Bounding Result for the Optimal Policy in an Adaptive Staffing Problem.
  • Multi-Echelon Models for Repairable Items: A Review (with A. Diaz). available as pdf at DRUM.

Note: other unpublished Technical Reports can be found at the ISR TR Web site.

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