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ORCIDMichael C. Fu 0001
Michael Chung-Shu Fu
Other persons with the same name
- Michael C. Fu 0002
![[0000-0002-4623-1491]](https://dblp.uni-trier.de/img/orcid-mark.12x12.png "0000-0002-4623-1491")
— Yale University, New Haven, CT, USA
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2020 – today
- 2025
[j87]Yijie Peng, Michael C. Fu, Jiaqiao Hu, Pierre L'Ecuyer, Bruno Tuffin:
Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs. Eur. J. Oper. Res. 321(2): 493-502 (2025)- [j86]Michael C. Fu, Bingqing Li, Fei Li, Rongwen Wu:
Contagion network, portfolio credit risk, and financial crisis. Eur. J. Oper. Res. 321(3): 942-957 (2025) - [j85]Jiaqiao Hu, Michael C. Fu:
Technical Note - On the Convergence Rate of Stochastic Approximation for Gradient-Based Stochastic Optimization. Oper. Res. 73(2): 1143-1150 (2025) - [j84]Jiaqiao Hu, Meichen Song, Michael C. Fu:
Quantile Optimization via Multiple-Timescale Local Search for Black-Box Functions. Oper. Res. 73(3): 1535-1557 (2025) - 2024
- [j83]Yi Zhou, Michael C. Fu, Ilya O. Ryzhov:
Sequential Learning with a Similarity Selection Index. Oper. Res. 72(6): 2526-2542 (2024) - [j82]Shengyi He, Guangxin Jiang, Henry Lam, Michael C. Fu:
Adaptive Importance Sampling for Efficient Stochastic Root Finding and Quantile Estimation. Oper. Res. 72(6): 2612-2630 (2024) - [j81]Michael C. Fu:
Escalator Etiquette: Stand or Walk? A Systems Analysis. Syst. 12(6): 203 (2024) - [c92]Michael C. Fu, Daniel Qiu, Jie Xu:
A Tutorial for Monte Carlo Tree Search in AI. WSC 2024: 16-30 - [c91]Xingyu Ren, Michael C. Fu:
Generalizing the Generalized Likelihood Ratio Method Through a Push-Out Leibniz Integration Approach. WSC 2024: 513-524 - [c90]Zhenyu Yue, Michael C. Fu, Hadi El-Amine, Jie Xu, Chun-Hung Chen:
A Kidney Paired Donation Program Simulation. WSC 2024: 1011-1022 - 2023
- [j80]Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
Copula sensitivity analysis for portfolio credit derivatives. Eur. J. Oper. Res. 308(1): 455-466 (2023) - [j79]Xingyu Ren, Michael C. Fu, Steven I. Marcus:
Stochastic control for organ donations: A review. Syst. Control. Lett. 173: 105476 (2023) - [c89]Xingyu Ren, Michael C. Fu, Steven I. Marcus:
Sensitivity Analysis for Stopping Criteria with Application to Organ Transplantations. WSC 2023: 504-515 - [c88]Meichen Song, Jiaqiao Hu, Michael C. Fu:
Simultaneous Perturbation-Based Stochastic Approximation For Quantile Optimization. WSC 2023: 3565-3576 - 2022
- [j78]Prashanth L. A., Michael C. Fu:
Risk-Sensitive Reinforcement Learning via Policy Gradient Search. Found. Trends Mach. Learn. 15(5): 537-693 (2022) - [j77]Zhongshun Shi, Yijie Peng, Leyuan Shi, Chun-Hung Chen, Michael C. Fu:
Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination. INFORMS J. Comput. 34(1): 557-568 (2022) - [j76]Yunchuan Li, Michael C. Fu, Jie Xu:
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search. IEEE Trans. Autom. Control. 67(6): 2685-2699 (2022) - [c87]Yi Zhou, Michael C. Fu, Ilya O. Ryzhov:
Policy Evaluation with Stochastic Gradient Estimation Techniques. WSC 2022: 3039-3050 - [c86]Yuanlu Bai, Shengyi He, Henry Lam, Guangxin Jiang, Michael C. Fu:
Importance Sampling for Rare-Event Gradient Estimation. WSC 2022: 3063-3074 - [c85]Phillip Guo, Michael C. Fu:
Bandit-Based Multi-Start Strategies for Global Continuous Optimization. WSC 2022: 3194-3205 - [i7]Xingyu Ren, Michael C. Fu, Steven I. Marcus:
Optimal Acceptance of Incompatible Kidneys. CoRR abs/2212.01808 (2022) - 2021
- [j75]Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu, Ilya O. Ryzhov:
Efficient Sampling Allocation Procedures for Optimal Quantile Selection. INFORMS J. Comput. 33(1): 230-245 (2021) - [j74]Peter W. Glynn, Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
Computing Sensitivities for Distortion Risk Measures. INFORMS J. Comput. 33(4): 1520-1532 (2021) - [c84]Yijie Peng, Michael C. Fu, Jiaqiao Hu, Pierre L'Ecuyer, Bruno Tuffin:
Variance Reduction for Generalized Likelihood Ratio Method in Quantile Sensitivity Estimation. WSC 2021: 1-12 - [c83]Peng Wan, Michael C. Fu, Steven I. Marcus:
Sensitivity Analysis and Time-Cost Tradeoffs in Stochastic Activity Networks. WSC 2021: 1-12 - [c82]Yi Zhou, Michael C. Fu, Ilya O. Ryzhov:
Estimating a Conditional Expectation with the Generalized Likelihood Ratio Method. WSC 2021: 1-12 - 2020
- [j73]Michael C. Fu, Bernd Heidergott, Haralambie Leahu, Felisa J. Vázquez-Abad:
Differentiation via Logarithmic Expansions. Asia Pac. J. Oper. Res. 37(1): 1950034:1-1950034:13 (2020) - [j72]Jian Chen, Michael C. Fu, Wenhong Zhang, Junhua Zheng:
Predictive Modeling for Epidemic Outbreaks: A New Approach and COVID-19 Case Study. Asia Pac. J. Oper. Res. 37(3): 2050028:1-2050028:21 (2020) - [j71]Zhenyu Cui, Michael C. Fu, Yijie Peng, Lingjiong Zhu:
Optimal unbiased estimation for expected cumulative discounted cost. Eur. J. Oper. Res. 286(2): 604-618 (2020) - [j70]Zhenyu Cui, Michael C. Fu, Jian-Qiang Hu, Yanchu Liu, Yijie Peng, Lingjiong Zhu:
On the Variance of Single-Run Unbiased Stochastic Derivative Estimators. INFORMS J. Comput. 32(2): 390-407 (2020) - [j69]Peter W. Glynn, Lin Fan, Michael C. Fu, Jian-Qiang Hu, Yijie Peng:
Technical Note - Central Limit Theorems for Estimated Functions at Estimated Points. Oper. Res. 68(5): 1557-1563 (2020) - [j68]Yijie Peng, Michael C. Fu, Bernd Heidergott, Henry Lam:
Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling. Oper. Res. 68(6): 1896-1912 (2020) - [j67]Sina Miran, Alessandro Presacco, Jonathan Z. Simon, Michael C. Fu, Steven I. Marcus, Behtash Babadi:
Dynamic estimation of auditory temporal response functions via state-space models with Gaussian mixture process noise. PLoS Comput. Biol. 16(8) (2020) - [j66]Prashanth L. A., Shalabh Bhatnagar, Nirav Bhavsar, Michael C. Fu, Steven I. Marcus:
Random Directions Stochastic Approximation With Deterministic Perturbations. IEEE Trans. Autom. Control. 65(6): 2450-2465 (2020) - [c81]Michael C. Fu:
A Tutorial Introduction to Monte Carlo Tree Search. WSC 2020: 1178-1193 - [c80]Peng Wan, Michael C. Fu:
Sensitivity Analysis of ARC Criticalities in Stochastic Activity Networks. WSC 2020: 2911-2922 - [i6]Yunchuan Li, Michael C. Fu, Jie Xu:
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search. CoRR abs/2009.12407 (2020) - no results
2010 – 2019
- 2019
- [j65]Michael C. Fu:
Simulation-Based Algorithms for Markov Decision Processes: Monte Carlo Tree Search from AlphaGo to AlphaZero. Asia Pac. J. Oper. Res. 36(6): 1940009:1-1940009:25 (2019) - [c79]Yunchuan Li, Michael C. Fu, Jie Xu:
Monte Carlo tree search with optimal computing budget allocation. CDC 2019: 6332-6337 - [c78]Sina Miran, Jonathan Z. Simon, Michael C. Fu, Steven I. Marcus, Behtash Babadi:
Estimation of State-Space Models with Gaussian Mixture Process Noise. DSW 2019: 185-189 - [c77]Yijie Peng, Michael C. Fu, Jian-Qiang Hu, Lei Lei:
Estimating Quantile Sensitivity for Financial Models with Correlations and Jumps. WSC 2019: 962-973 - [c76]Guowei Sun, Yunchuan Li, Michael C. Fu:
A Spectral Index for Selecting the Best Alternative. WSC 2019: 3404-3415 - [c75]Guowei Sun, Yunchuan Li, Michael C. Fu:
Utility-Based Statistical Selection Procedures. WSC 2019: 3416-3427 - [c74]Guowei Sun, Yunchuan Li, Michael C. Fu:
Bayesian Sequential Experimental Design for Stochastic Kriging with Jackknife Error Estimates. WSC 2019: 3436-3446 - 2018
- [j64]Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation. Discret. Event Dyn. Syst. 28(1): 109-125 (2018) - [j63]Yijie Peng, Michael C. Fu, Jian-Qiang Hu, Bernd Heidergott:
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters. Oper. Res. 66(2): 487-499 (2018) - [j62]Guangxin Jiang, Michael C. Fu:
Importance Splitting for Finite-Time Rare Event Simulation. IEEE Trans. Autom. Control. 63(6): 1670-1677 (2018) - [j61]Yijie Peng, Edwin K. P. Chong, Chun-Hung Chen, Michael C. Fu:
Ranking and Selection as Stochastic Control. IEEE Trans. Autom. Control. 63(8): 2359-2373 (2018) - [j60]Cheng Jie, Prashanth L. A., Michael C. Fu, Steven I. Marcus, Csaba Szepesvári:
Stochastic Optimization in a Cumulative Prospect Theory Framework. IEEE Trans. Autom. Control. 63(9): 2867-2882 (2018) - [j59]Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu:
Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario. IEEE Trans. Autom. Control. 63(9): 3091-3097 (2018) - [c73]Michael C. Fu:
Monte Carlo Tree Search: a Tutorial. WSC 2018: 222-236 - [c72]Uro Lyi, Michael C. Fu:
European option Pricing with stochastic volatility and jumps: Comparison of Monte Carlo and Fast Fourier transform Methods. WSC 2018: 1682-1693 - [c71]Henry Lam, Guangxin Jiang, Michael C. Fu:
On efficiencies of stochastic Optimization Procedures under Importance Sampling. WSC 2018: 1862-1873 - [c70]Yijie Peng, Chun-Hung Chen, Edwin K. P. Chong, Michael C. Fu:
A Review of Static and Dynamic Optimization for Ranking and Selection. WSC 2018: 1909-1920 - [c69]Yunchuan Li, Michael C. Fu:
Sequential First-order response surface Methodology Augmented with Direct Gradients. WSC 2018: 2143-2154 - [i5]Prashanth L. A., Shalabh Bhatnagar, Nirav Bhavsar, Michael C. Fu, Steven I. Marcus:
Random directions stochastic approximation with deterministic perturbations. CoRR abs/1808.02871 (2018) - [i4]Prashanth L. A., Michael C. Fu:
Risk-Sensitive Reinforcement Learning: A Constrained Optimization Viewpoint. CoRR abs/1810.09126 (2018) - 2017
- [j58]Michael C. Fu, Bingqing Li, Guozhen Li, Rongwen Wu:
Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions. Manag. Sci. 63(11): 3961-3977 (2017) - [j57]Yijie Peng, Michael C. Fu:
Myopic Allocation Policy With Asymptotically Optimal Sampling Rate. IEEE Trans. Autom. Control. 62(4): 2041-2047 (2017) - [j56]Prashanth L. A., Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus:
Adaptive System Optimization Using Random Directions Stochastic Approximation. IEEE Trans. Autom. Control. 62(5): 2223-2238 (2017) - [c68]Aditya Gopalan, Prashanth L. A., Michael C. Fu, Steven I. Marcus:
Weighted Bandits or: How Bandits Learn Distorted Values That Are Not Expected. AAAI 2017: 1941-1947 - [c67]Michael C. Fu, Shane G. Henderson:
History of seeking better solutions, AKA simulation optimization. WSC 2017: 131-157 - [c66]Felisa J. Vázquez-Abad, Silvano Bernabel, Michael C. Fu:
Data-driven adaptive threshold control for bike share systems. WSC 2017: 2033-2044 - [c65]Yijie Peng, Michael C. Fu, Peter W. Glynn, Jianqiang Hu:
On the asymptotic analysis of quantile sensitivity estimation by Monte Carlo simulation. WSC 2017: 2336-2347 - [i3]Yijie Peng, Edwin K. P. Chong, Chun-Hung Chen, Michael C. Fu:
Ranking and Selection as Stochastic Control. CoRR abs/1710.02619 (2017) - 2016
- [j55]Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu:
Dynamic Sampling Allocation and Design Selection. INFORMS J. Comput. 28(2): 195-208 (2016) - [j54]Guangxin Jiang, Michael C. Fu:
Quantile sensitivity estimation for dependent sequences. J. Appl. Probab. 53(3): 715-732 (2016) - [j53]Guangxin Jiang, Chenglong Xu, Michael C. Fu:
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes. Oper. Res. Lett. 44(1): 44-49 (2016) - [c64]Prashanth L. A., Cheng Jie, Michael C. Fu, Steven I. Marcus, Csaba Szepesvári:
Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Control. ICML 2016: 1406-1415 - [c63]Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
Estimating distribution sensitivity using generalized likelihood ratio method. WODES 2016: 123-128 - [c62]Michael C. Fu:
AlphaGo and Monte Carlo tree search: The simulation optimization perspective. WSC 2016: 659-670 - [c61]Yijie Peng, Michael C. Fu, Jian-Qiang Hu:
On the regularity conditions and applications for generalized likelihood ratio method. WSC 2016: 919-930 - [i2]Aditya Gopalan, Prashanth L. A., Michael C. Fu, Steven I. Marcus:
Weighted bandits or: How bandits learn distorted values that are not expected. CoRR abs/1611.10283 (2016) - 2015
- [j52]Guangxin Jiang, Michael C. Fu:
Technical Note - On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis. Oper. Res. 63(2): 435-441 (2015) - [j51]Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu, Zi Ding:
Sequential Selection with Unknown Correlation Structures. Oper. Res. 63(4): 931-948 (2015) - [j50]Andrew O. Hall, Michael C. Fu:
Optimal Army officer force profiles. Optim. Lett. 9(8): 1769-1785 (2015) - [c60]Keiichiro Urayama, Michael C. Fu, Steven I. Marcus:
Simulation-based work load and job release control for semiconductor manufacturing. CDC 2015: 7329-7334 - [c59]Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu:
Non-monotonicity of probability of correct selection. WSC 2015: 3678-3689 - [c58]Guangxin Jiang, Michael C. Fu, Chenglong Xu:
Optimal importance sampling for simulation of lévy processes. WSC 2015: 3813-3824 - [i1]Prashanth L. A., Cheng Jie, Michael C. Fu, Steven I. Marcus:
Cumulative Prospect Theory Meets Reinforcement Learning: Estimation and Control. CoRR abs/1506.02632 (2015) - 2014
- [j49]Michael C. Fu, Huashuai Qu:
Regression Models Augmented with Direct Stochastic Gradient Estimators. INFORMS J. Comput. 26(3): 484-499 (2014) - [j48]Enlu Zhou, Michael C. Fu, Steven I. Marcus:
Particle Filtering Framework for a Class of Randomized Optimization Algorithms. IEEE Trans. Autom. Control. 59(4): 1025-1030 (2014) - [j47]Huashuai Qu, Michael C. Fu:
Gradient Extrapolated Stochastic Kriging. ACM Trans. Model. Comput. Simul. 24(4): 23:1-23:25 (2014) - [c57]Marie Chau, Huashuai Qu, Michael C. Fu:
A New Hybrid Stochastic Approximation Algorithm. WODES 2014: 241-246 - [c56]Marie Chau, Michael C. Fu, Huashuai Qu, Ilya O. Ryzhov:
Simulation optimization: a tutorial overview and recent developments in gradient-based methods. WSC 2014: 21-35 - [c55]Aurora J. Bristor, Sean L. Barnes, Michael C. Fu:
Regulation of systemic risk through contributory endogenous agent-based modeling. WSC 2014: 863-874 - [c54]Michael C. Fu, Güzin Bayraksan, Shane G. Henderson, Barry L. Nelson, Warren B. Powell, Ilya O. Ryzhov, Benjamin G. Thengvall:
Simulation optimization: a panel on the state of the art in research and practice. WSC 2014: 3696-3706 - [c53]Marie Chau, Michael C. Fu:
On the sensitivity of greek kernel estimators to bandwidth parameters. WSC 2014: 3845-3856 - 2013
- [j46]Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu:
Efficient Simulation Resource Sharing and Allocation for Selecting the Best. IEEE Trans. Autom. Control. 58(4): 1017-1023 (2013) - [c52]Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu:
Learning logistic demand curves in business-to-business pricing. WSC 2013: 29-40 - [c51]Yijie Peng, Michael C. Fu, Chun-Hung Chen, Jian-Qiang Hu:
A dynamic framework for statistical selection problems. WSC 2013: 908-921 - [c50]Marie Chau, Huashuai Qu, Michael C. Fu, Ilya O. Ryzhov:
An empirical sensitivity analysis of the Kiefer-Wolfowitz algorithm and its variants. WSC 2013: 945-956 - 2012
- [j45]Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives. Oper. Res. 60(2): 447-460 (2012) - [c49]Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu:
Ranking and selection with unknown correlation structures. WSC 2012: 12:1-12:12 - [c48]Huashuai Qu, Michael C. Fu:
On direct gradient enhanced simulation metamodels. WSC 2012: 43:1-43:12 - 2011
- [j44]Matthew J. Reindorp, Michael C. Fu:
Capital renewal as a real option. Eur. J. Oper. Res. 214(1): 109-117 (2011) - [j43]Jiaqiao Hu, Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus:
Dynamic sample budget allocation in model-based optimization. J. Glob. Optim. 50(4): 575-596 (2011) - [c47]Matthew J. Reindorp, Michael C. Fu:
Dynamic lead time promising. ADPRL 2011: 176-183 - [e1]S. Jain, Roy R. Creasey Jr., Jan Himmelspach, K. Preston White, Michael C. Fu:
Winter Simulation Conference 2011, WSC'11, Phoenix, AZ, USA, December 11-14, 2011. IEEE 2011, ISBN 978-1-4577-2108-3 [contents] - 2010
- [j42]Hyeong Soo Chang, Jiaqiao Hu, Michael C. Fu, Steven I. Marcus:
Adaptive Adversarial Multi-Armed Bandit Approach to Two-Person Zero-Sum Markov Games. IEEE Trans. Autom. Control. 55(2): 463-468 (2010) - [j41]Enlu Zhou, Michael C. Fu, Steven I. Marcus:
Solving Continuous-State POMDPs via Density Projection. IEEE Trans. Autom. Control. 55(5): 1101-1116 (2010) - [j40]Min Chen, Jian-Qiang Hu, Michael C. Fu:
Perturbation Analysis of a Dynamic Priority Call Center. IEEE Trans. Autom. Control. 55(5): 1191-1196 (2010) - [j39]Donghai He, Loo Hay Lee, Chun-Hung Chen, Michael C. Fu, Segev Wasserkrug:
Simulation optimization using the cross-entropy method with optimal computing budget allocation. ACM Trans. Model. Comput. Simul. 20(1): 4:1-4:22 (2010) - [c46]Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
Model-based Evolutionary Optimization. WSC 2010: 1199-1210 - [c45]Lingyan Cao, Michael C. Fu:
Estimating Greeks for Variance-Gamma. WSC 2010: 2620-2628 - no results
2000 – 2009
- 2009
- [j38]Jeffrey W. Heath, Michael C. Fu, Wolfgang Jank:
New global optimization algorithms for model-based clustering. Comput. Stat. Data Anal. 53(12): 3999-4017 (2009) - [j37]Michael C. Fu, L. Jeff Hong, Jian-Qiang Hu:
Conditional Monte Carlo Estimation of Quantile Sensitivities. Manag. Sci. 55(12): 2019-2027 (2009) - [c44]Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
Dynamic pricing with continuous stochastic demand. CDC 2009: 8531-8536 - [c43]Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
A new stochastic gradient estimator for American option pricing. ECC 2009: 1191-1196 - [c42]Yongqiang Wang, Michael C. Fu, Steven I. Marcus:
Sensitivity Analysis for Barrier Options. WSC 2009: 1272-1282 - [c41]Enlu Zhou, Lin Kun, Michael C. Fu, Steven I. Marcus:
A Numerical Method for Financial Decision Problems under Stochastic Volatility. WSC 2009: 1299-1310 - 2008
- [j36]Michael C. Fu, Jiaqiao Hu, Steven I. Marcus:
A Model Reference Adaptive Search Method for Stochastic Global Optimization. Commun. Inf. Syst. 8(3): 245-276 (2008) - [j35]Chun-Hung Chen, Donghai He, Michael C. Fu, Loo Hay Lee:
Efficient Simulation Budget Allocation for Selecting an Optimal Subset. INFORMS J. Comput. 20(4): 579-595 (2008) - [c40]Enlu Zhou, Michael C. Fu, Steven I. Marcus:
A density projection approach to dimension reduction for continuous-state POMDPs. CDC 2008: 5576-5581 - [c39]Michael C. Fu, Chun-Hung Chen, Leyuan Shi:
Some topics for simulation optimization. WSC 2008: 27-38 - [c38]Enlu Zhou, Michael C. Fu, Steven I. Marcus:
A particle filtering framework for randomized optimization algorithms. WSC 2008: 647-654 - 2007
- [j34]Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus:
A survey of some simulation-based algorithms for Markov decision processes. Commun. Inf. Syst. 7(1): 59-92 (2007) - [j33]Michael C. Fu, Jian-Qiang Hu, Chun-Hung Chen, Xiaoping Xiong:
Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling. INFORMS J. Comput. 19(1): 101-111 (2007) - [j32]Jiaqiao Hu, Michael C. Fu, Vahid Reza Ramezani, Steven I. Marcus:
An Evolutionary Random Policy Search Algorithm for Solving Markov Decision Processes. INFORMS J. Comput. 19(2): 161-174 (2007) - [j31]Jiaqiao Hu, Michael C. Fu, Steven I. Marcus:
A Model Reference Adaptive Search Method for Global Optimization. Oper. Res. 55(3): 549-568 (2007) - [j30]Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus:
An Asymptotically Efficient Simulation-Based Algorithm for Finite Horizon Stochastic Dynamic Programming. IEEE Trans. Autom. Control. 52(1): 89-94 (2007) - [j29]Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus:
Recursive Learning Automata Approach to Markov Decision Processes. IEEE Trans. Autom. Control. 52(7): 1349-1355 (2007) - [c37]Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus:
Adversarial multi-armed bandit approach to two-person zero-sum Markov games. CDC 2007: 127-132 - [c36]Jiaqiao Hu, Michael C. Fu, Steven I. Marcus:
A model reference adaptive search method for stochastic optimization with applications to Markov decision processes. CDC 2007: 975-980 - 2006
- [j28]Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim, Huiju Zhang:
Pricing American-Style Derivatives with European Call Options. Manag. Sci. 52(1): 95-110 (2006) - [j27]Chun-Hung Chen, Donghai He, Michael C. Fu:
Efficient Dynamic Simulation Allocation in Ordinal Optimization. IEEE Trans. Autom. Control. 51(12): 2005-2009 (2006) - [c35]Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus:
Adversarial Multi-Armed Bandit Approach to Stochastic Optimization. CDC 2006: 5681-5686 - [c34]Huiju Zhang, Michael C. Fu:
Applying model reference adaptive search to American-style option pricing. WSC 2006: 711-718 - [p1]Michael C. Fu:
Chapter 19 Gradient Estimation. Simulation 2006: 575-616 - 2005
- [j26]Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus:
An Adaptive Sampling Algorithm for Solving Markov Decision Processes. Oper. Res. 53(1): 126-139 (2005) - [j25]Hyeong Soo Chang, Hong-Gi Lee, Michael C. Fu, Steven I. Marcus:
Evolutionary policy iteration for solving Markov decision processes. IEEE Trans. Autom. Control. 50(11): 1804-1808 (2005) - [c33]Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus:
Recursive Learning Automata for Control of Partially Observable Markov Decision Processes. CDC/ECC 2005: 6091-6096 - [c32]Ying He, Michael C. Fu, Steven I. Marcus:
A Two-Timescale Simulation-Based Gradient Algorithm for Weighted Cost Markov Decision Processes. CDC/ECC 2005: 8022-8027 - [c31]Michael C. Fu, Fred W. Glover, Jay April:
Simulation optimization: a review, new developments, and applications. WSC 2005: 83-95 - [c30]Jiaqiao Hu, Michael C. Fu, Steven I. Marcus:
Stochastic optimization using model reference adaptive search. WSC 2005: 811-818 - [c29]Rosalind L. Bennett, Daniel A. Nuxoll, Robert A. Jarrow, Michael C. Fu, Huiju Zhang:
A loss default simulation model of the federal bank deposit insurance funds. WSC 2005: 1835-1843 - 2004
- [c28]Chun-Hung Chen, Donghai He, Michael C. Fu:
A case study for optimal dynamic simulation allocation in ordinal optimization. ACC 2004: 5754-5759 - [c27]Min Chen, Jian-Qiang Hu, Michael C. Fu:
Fluid approximation and perturbation analysis of a dynamic priority call center. CDC 2004: 2304-2309 - [c26]Vahid Reza Ramezani, Steven I. Marcus, Michael C. Fu:
Structured risk-sensitivity for partially observed Markov chains. CDC 2004: 3473-3478 - [c25]Hyeong Soo Chang, Michael C. Fu:
Localization for a class of two-team zero-sum Markov games. CDC 2004: 4844-4849 - [c24]Michael C. Fu, Jian-Qiang Hu, Chun-Hung Chen, Xiaoping Xiong:
Optimal Computing Budget Allocation Under Correlated Sampling. WSC 2004: 595-603 - [c23]Vahid Reza Ramezani, Steven I. Marcus, Michael C. Fu:
Risk and Information in the Estimation of Hidden Markov Models. WSC 2004: 1596-1601 - 2003
- [j24]Kefeng Xu, Philip T. Evers, Michael C. Fu:
Estimating customer service in a two-location continuous review inventory model with emergency transshipments. Eur. J. Oper. Res. 145(3): 569-584 (2003) - [j23]Rongwen Wu, Michael C. Fu:
Optimal Exercise Policies and Simulation-Based Valuation for American-Asian Options. Oper. Res. 51(1): 52-66 (2003) - [j22]Xing Jin, Michael C. Fu, Xiaoping Xiong:
Probabilistic Error Bounds for Simulation Quantile Estimators. Manag. Sci. 49(2): 230-246 (2003) - [j21]Ying He, Michael C. Fu, Steven I. Marcus:
Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization. IEEE Trans. Autom. Control. 48(8): 1459-1463 (2003) - [j20]Michael C. Fu, Barry L. Nelson:
Guest editorial. ACM Trans. Model. Comput. Simul. 13(2): 105-107 (2003) - [j19]Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus, I-Jeng Wang:
Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences. ACM Trans. Model. Comput. Simul. 13(2): 180-209 (2003) - [c22]Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus:
An asymptotically efficient algorithm for finite horizon stochastic dynamic programming problems. CDC 2003: 3818-3823 - [c21]Michael C. Fu, William C. Howell:
Application of perturbation analysis to traffic light signal timing. CDC 2003: 4837-4840 - [c20]Hyeong Soo Chang, Michael C. Fu:
A distributed algorithm for solving a class of multi-agent Markov decision problems. CDC 2003: 5341-5346 - [c19]Ahmad D. Ridley, Michael C. Fu, William A. Massey:
Customer relations management: call center operations: fluid approximations for a priority call center with time-varying arrivals. WSC 2003: 1817-1823 - [c18]Vera Z. Osidach, Michael C. Fu:
Public health: computer simulation of a mobile examination center. WSC 2003: 1868-1875 - 2002
- [j18]Xi-Ren Cao, Zhiyuan Ren, Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus:
A time aggregation approach to Markov decision processes. Autom. 38(6): 929-943 (2002) - [j17]Michael C. Fu, Xiaolan Xie:
Derivative Estimation for Buffer Capacity of Continuous Transfer Lines Subject to Operation-Dependent Failures. Discret. Event Dyn. Syst. 12(4): 447-469 (2002) - [j16]Michael C. Fu:
Feature Article: Optimization for simulation: Theory vs. Practice. INFORMS J. Comput. 14(3): 192-215 (2002) - [j15]Michael C. Fu:
Simulation Optimization in the Future: Evolution or Revolution? INFORMS J. Comput. 14(3): 226-227 (2002) - [c17]Xiaoping Xiong, I-Jeng Wang, Michael C. Fu:
Optimization via simulation: randomized-direction stochastic approximation algorithms using deterministic sequences. WSC 2002: 285-291 - [c16]Jian Chen, Michael C. Fu:
Financial derivatives and real options: hedging beyond duration and convexity. WSC 2002: 1593-1599 - 2001
- [j14]Michael C. Fu, Xing Jin:
On the convergence rate of ordinal comparisons of random variables. IEEE Trans. Autom. Control. 46(12): 1950-1954 (2001) - [j13]Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus, Pedram Jaefari Fard:
Optimal structured feedback policies for ABR flow control using two-timescale SPSA. IEEE/ACM Trans. Netw. 9(4): 479-491 (2001) - [c15]Michael C. Fu:
Simulation optimization. WSC 2001: 53-61 - [c14]Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Andrew E. B. Lim:
A new approach to pricing American-style derivatives. WSC 2001: 329-337 - 2000
- [j12]Michael C. Fu, Steven I. Marcus, I-Jeng Wang:
Monotone Optimal Policies for a Transient Queueing Staffing Problem. Oper. Res. 48(2): 327-331 (2000) - [c13]Yi Su, Michael C. Fu:
Simulation in financial engineering: importance sampling in derivative securities pricing. WSC 2000: 587-596 - [c12]Michael C. Fu, Sigrún Andradóttir, John S. Carson II, Fred W. Glover, Charles R. Harrell, Yu-Chi Ho, James P. Kelly, Stephen M. Robinson:
Integrating optimization and simulation: research and practice. WSC 2000: 610-616 - no results
1990 – 1999
- 1999
- [j11]Xi-Ren Cao, Michael C. Fu, Jian-Qiang Hu:
On performance potentials and conditional Monte Carlo for gradient estimationfor Markov chains. Ann. Oper. Res. 87: 263-272 (1999) - 1998
- [c11]John W. Fowler, Michael C. Fu, Lee Schruben, Steven Brown, Frank Chance, Sean Cunningham, Courtland Hilton, Mani Janakiram, Richard Stafford, James Hutchby:
Operational Modeling and Simulation in Semiconductor Manufacturing. WSC 1998: 1035 - 1997
- [j10]Michael C. Fu, Jeffrey W. Herrmann, Murali Narayanaswamy:
Setting thresholds for periodic order release. J. Intell. Manuf. 8(5): 369-383 (1997) - 1996
- [c10]Michael C. Fu, Jian-Qiang Hu:
A Comparison of Perturbation Analysis Techniques. WSC 1996: 295-301 - 1995
- [j9]Michael C. Fu, Jian-Qiang Hu, Rakesh Nagi:
Comparison of gradient estimation techniques for queues with non-identical servers. Comput. Oper. Res. 22(7): 715-729 (1995) - [j8]Michael C. Fu, Jian-Qiang Hu:
On the relationship of capacitated production/inventory models to manufacturing flow control models. Oper. Res. Lett. 18(1): 15-24 (1995) - [j7]Michael C. Fu, Jian-Qiang Hu:
Addendum to "Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework". IEEE Trans. Autom. Control. 40(7): 1286-1287 (1995) - [c9]Michael C. Fu:
Pricing of Financial Derivatives via Simulation. WSC 1995: 126-132 - [c8]Stacy D. Hill, Michael C. Fu:
Transfer Optimization via Simultaneous Perturbation Stochastic Approximation. WSC 1995: 242-249 - 1994
- [j6]Michael C. Fu:
Optimization via simulation: A review. Ann. Oper. Res. 53(1): 199-247 (1994) - [j5]Michael C. Fu:
Sample Path Derivatives for (s, S) Inventory Systems. Oper. Res. 42(2): 351-364 (1994) - [j4]Michael C. Fu, Jian-Qiang Hu:
Smoothed perturbation analysis derivative estimation for Markov chains. Oper. Res. Lett. 15(5): 241-251 (1994) - [c7]Michael C. Fu:
A tutorial review of techniques for simulation optimization. WSC 1994: 149-156 - [c6]Stacy D. Hill, Michael C. Fu:
Simulation optimization via simultaneous perturbation stochastic approximation. WSC 1994: 1461-1464 - 1993
- [j3]Jennifer D. Michaels, John E. Brennan, Bruce L. Golden, Michael C. Fu:
A simulation study of donor scheduling systems for the American Red Cross. Comput. Oper. Res. 20(2): 199-213 (1993) - [j2]Michael C. Fu, Jian-Qiang Hu:
Smoothed perturbation analysis for queues with finite buffers. Queueing Syst. Theory Appl. 14(1-2): 57-78 (1993) - [c5]Michael C. Fu, Jian-Qiang Hu, Leyuan Shi:
An application of perturbation analysis to a replacement problem in maintenance theory. WSC 1993: 329-337 - 1992
- [j1]Michael C. Fu, Jian-Qiang Hu, Rakesh Nagi:
Bias properties of infinitesimal perturbation analysis for systems with parallel servers. Comput. Oper. Res. 19(5): 409-423 (1992) - [c4]Michael C. Fu, Kevin J. Healy:
Simulation Optimization of (s, S) Inventory Systems. WSC 1992: 506-514 - 1991
- [c3]Sridhar Bashyam, Michael C. Fu:
Application of perturbation analysis to (s, S) inventory systems. WSC 1991: 994-1003 - 1990
- [c2]Michael C. Fu, Jian-Qiang Hu:
Bias properties of infinitesimal perturbation analysis for multi-server queues. WSC 1990: 377-381 - no results
Coauthor Index
Jian-Qiang Hu
aka: Jianqiang Hu
aka: Jianqiang Hu
[j79] [c89] [i7] [c83] [j67] [j66] [c78] [j60] [i5] [j56] [c68] [c64] [i2] [c60] [i1] [j48] [j45] [j43] [j42] [j41] [c46] [c44] [c43] [c42] [c41] [j36] [c40] [c38] [j34] [j32] [j31] [j30] [j29] [c37] [c36] [j28] [c35] [j26] [j25] [c33] [c32] [c30] [c26] [c23] [j21] [j19] [c22] [j18] [j13] [c14] [j12]
no results
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