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Conditional Monte Carlo estimation of quantile sensitivities

Fu, Michael; Hong, L. Jeff; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 55 (2009) 12, pp. 2019-2027

Persistent link: https://www.econbiz.de/10003928512

Dynamic sampling allocation and design selection

Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 195-208

Persistent link: https://www.econbiz.de/10011489257

Computing sensitivities for distortion risk measures

Glynn, Peter W.; Peng, Yijie; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 33 (2021) 4, pp. 1520-1532

Persistent link: https://www.econbiz.de/10012796944

Efficient sampling allocation procedures for optimal quantile selection

Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang; … - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 230-245

Persistent link: https://www.econbiz.de/10012496377

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

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

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

Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation

Fu, Michael C.; Hu, Jian-Qiang - In: Management Science 45 (1999) 3, pp. 395-413

The design of control charts in statistical quality control addresses the optimal selection of the design parameters (such as the sampling frequency and the control limits) and includes sensitivity analysis with respect to system parameters (such as the various process parameters and the...

Persistent link: https://www.econbiz.de/10009214156

Conditional Monte Carlo Estimation of Quantile Sensitivities

Fu, Michael C.; Hong, L. Jeff; Hu, Jian-Qiang - In: Management Science 55 (2009) 12, pp. 2019-2027

Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...

Persistent link: https://www.econbiz.de/10009208830

Efficent Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation

Fu, Michael C.; Hu, Jian-Qiang - In: Management science : journal of the Institute for … 45 (1999) 3, pp. 395-413

Persistent link: https://www.econbiz.de/10006096805

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