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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

On the variance of single-run unbiased stochastic derivative estimators

Cui, Zhenyu; Fu, Michael; Hu, Jian-Qiang; Liu, Yanchu; … - In: INFORMS journal on computing : JOC 32 (2020) 2, pp. 390-407

Persistent link: https://www.econbiz.de/10012242769

A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters

Peng, Yijie; Fu, Michael; Hu, Jian-Qiang; Heidergott, Bernd - In: Operations research 66 (2018) 2, pp. 487-499

Persistent link: https://www.econbiz.de/10011845997

Asymptotically optimal sampling policy for selecting top-m alternatives

Zhang, Gongbo; Peng, Yijie; Zhang, Jianghua; Zhou, Enlu - In: INFORMS journal on computing : JOC ; charting new … 35 (2023) 6, pp. 1261-1285

Persistent link: https://www.econbiz.de/10014471465

Efficient learning for clustering and optimizing context-dependent designs

Li, Haidong; Lam, Henry; Peng, Yijie - In: Operations research 72 (2024) 2, pp. 617-638

Persistent link: https://www.econbiz.de/10014520851

Optimal unbiased estimation for expected cumulative discounted cost

Cui, Zhenyu; Fu, Michael; Peng, Yijie; Zhu, Lingjiong - In: European journal of operational research : EJOR 286 (2020) 2, pp. 604-618

Persistent link: https://www.econbiz.de/10012291551

Technical note: central limit theorems for estimated functions at estimated points

Glynn, Peter W.; Fan, Lin; Fu, Michael; Hu, Jian-Qiang; … - In: Operations research 68 (2020) 5, pp. 1557-1563

Persistent link: https://www.econbiz.de/10012301573

Variance reduction for generalized likelihood ratio method by conditional Monte Carlo and randomized Quasi-Monte Carlo methods

Peng, Yijie; Fu, Michael; Hu, Jiaqiao; L'Ecuyer, Pierre; … - In: Journal of management science and engineering 7 (2022) 4, pp. 550-577

The generalized likelihood ratio (GLR) method is a recently introduced gradient estimation method for handling discontinuities in a wide range of sample performances. We put the GLR methods from previous work into a single framework, simplify regularity conditions to justify the unbiasedness of...

Persistent link: https://www.econbiz.de/10014315671

A stochastic approximation method for simulation-based quantile optimization

Hu, Jiaqiao; Peng, Yijie; Zhang, Gongbo; Zhang, Qi - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2889-2907

Persistent link: https://www.econbiz.de/10014326308

Copula sensitivity analysis for portfolio credit derivatives

Lei, Lei; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: European journal of operational research : EJOR 308 (2023) 1, pp. 455-466

Persistent link: https://www.econbiz.de/10014283065