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Robust sensitivity analysis for stochastic systems

Lam, Henry - In: Mathematics of operations research 41 (2016) 4, pp. 1248-1275

Persistent link: https://www.econbiz.de/10011595052

Recovering best statistical guarantees via the empirical divergence-based distributionally robust optimization

Lam, Henry - In: Operations research 67 (2019) 4, pp. 1090-1105

Persistent link: https://www.econbiz.de/10012062921

Sensitivity to serial dependency of input processes : a robust approach

Lam, Henry - In: Management science : journal of the Institute for … 64 (2018) 3, pp. 1311-1327

Persistent link: https://www.econbiz.de/10011847235

Adaptive importance sampling for extreme quantile estimation with stochastic black box computer models

Pan, Qiyun; Byon, Eunshin; Ko, Young Myoung; Lam, Henry - In: Naval Research Logistics (NRL) 67 (2020) 7, pp. 524-547

Persistent link: https://www.econbiz.de/10012407552

A heavy traffic approach to modeling large life insurance portfolios

Blanchet, Jose; Lam, Henry - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 237-251

Persistent link: https://www.econbiz.de/10009785398

Rare-event simulation for many-server queues

Blanchet, Jose; Lam, Henry - In: Mathematics of operations research 39 (2014) 4, pp. 1142-1178

Persistent link: https://www.econbiz.de/10010462154

Learning-based robust optimization : procedures and statistical guarantees

Hong, L. Jeff; Huang, Zhiyuan; Lam, Henry - In: Management science : journal of the Institute for … 67 (2021) 6, pp. 3447-3467

Persistent link: https://www.econbiz.de/10012606927

Assortment Optimization over Dense Universe is Easy

Goutam, Kumar - 2020

Assortment optimization is an important problem in revenue management arising in industries such as online advertising, retailing and airline ticketing. We study assortment optimization under an arbitrary mixture of multi-nomial logit (MNL) models, when the universe of products is dense. In...

Persistent link: https://www.econbiz.de/10012828531

Minimax efficient finite-difference stochastic gradient estimators using black-box function evaluations

Lam, Henry; Li, Haidong; Zhang, Xuhui - In: Operations research letters 49 (2021) 1, pp. 40-47

Persistent link: https://www.econbiz.de/10012485995

Maximum likelihood estimation by Monte Carlo simulation : toward data-driven stochastic modeling

Peng, Yijie; Fu, Michael; Heidergott, Bernd; Lam, Henry - In: Operations research 68 (2020) 6, pp. 1896-1912

Persistent link: https://www.econbiz.de/10012392175