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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

Optimization-based calibration of simulation input models

Goeva, Aleksandrina; Lam, Henry; Qian, Huajie; Zhang, Bo - In: Operations research 67 (2019) 5, pp. 1362-1382

Persistent link: https://www.econbiz.de/10012107785

Robust analysis in stochastic simulation : computation and performance guarantees

Ghosh, Soumyadip; Lam, Henry - In: Operations research 67 (2019) 1, pp. 232-249

Persistent link: https://www.econbiz.de/10012000817

Robust actuarial risk analysis

Blanchet, Jose; Lam, Henry; Tang, Qihe; Yuan, Zhongyi - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 1, pp. 33-63

Persistent link: https://www.econbiz.de/10012180603

Tail analysis without parametric models : a worst-case perspective

Lam, Henry; Mottet, Clementine - In: Operations research 65 (2017) 6, pp. 1696-1711

Persistent link: https://www.econbiz.de/10011777905

The empirical likelihood approach to quantifying uncertainty in sample average approximation

Lam, Henry; Zhou, Enlu - In: Operations research letters 45 (2017) 4, pp. 301-307

Persistent link: https://www.econbiz.de/10011740327

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