Yijie Peng
Title
Cited by
Cited by
Year
A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
Y Peng, MC Fu, JQ Hu, B Heidergott
Operations Research 66 (2), 487-499, 2018
392018
Ranking and selection as stochastic control
Y Peng, EKP Chong, CH Chen, MC Fu
IEEE Transactions on Automatic Control 63 (8), 2359-2373, 2018
372018
Dynamic sampling allocation and design selection
Y Peng, CH Chen, MC Fu, JQ Hu
INFORMS Journal on Computing 28 (2), 195-208, 2016
372016
Efficient simulation resource sharing and allocation for selecting the best
Y Peng, CH Chen, MC Fu, JQ Hu
IEEE Transactions on Automatic Control 58 (4), 1017-1023, 2012
262012
Myopic allocation policy with asymptotically optimal sampling rate
Y Peng, MC Fu
IEEE Transactions on Automatic Control 62 (4), 2041-2047, 2016
222016
On the asymptotic analysis of quantile sensitivity estimation by Monte Carlo simulation
Y Peng, MC Fu, PW Glynn, J Hu
2017 Winter Simulation Conference (WSC), 2336-2347, 2017
152017
Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling
Y Peng, MC Fu, B Heidergott, H Lam
Operations Research 68 (6), 1896-1912, 2020
122020
Gradient-based myopic allocation policy: An efficient sampling procedure in a low-confidence scenario
Y Peng, CH Chen, MC Fu, JQ Hu
IEEE Transactions on Automatic Control 63 (9), 3091-3097, 2017
112017
Gradient-based simulated maximum likelihood estimation for LÚvy-driven Ornstein–Uhlenbeck stochastic volatility models
YJ Peng, MC Fu, JQ Hu
Quantitative Finance 14 (8), 1399-1414, 2014
112014
On the variance of single-run unbiased stochastic derivative estimators
Z Cui, MC Fu, JQ Hu, Y Liu, Y Peng, L Zhu
INFORMS Journal on Computing 32 (2), 390-407, 2020
102020
Non-monotonicity of probability of correct selection
Y Peng, CH Chen, MC Fu, JQ Hu
2015 Winter Simulation Conference (WSC), 3678-3689, 2015
102015
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation
L Lei, Y Peng, MC Fu, JQ Hu
Discrete Event Dynamic Systems 28 (1), 109-125, 2018
92018
Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions
Y Peng, MC Fu, JQ Hu
Quantitative Finance 16 (9), 1393-1411, 2016
82016
Central limit theorems for estimated functions at estimated points
PW Glynn, L Fan, MC Fu, JQ Hu, Y Peng
Operations Research 68 (5), 1557-1563, 2020
52020
Computing sensitivities for distortion risk measures
PW Glynn, Y Peng, MC Fu, JQ Hu
INFORMS Journal on Computing, 2021
42021
Efficient sampling allocation procedures for optimal quantile selection
Y Peng, CH Chen, MC Fu, JQ Hu, IO Ryzhov
INFORMS Journal on Computing 33 (1), 230-245, 2021
42021
Generalized Likelihood Ratio Method for Stochastic Models with Uniform Random Numbers As Inputs
Y Peng, M Fu, J Hu, P L'ecuyer, B Tuffin
42020
A review of static and dynamic optimization for ranking and selection
Y Peng, CH Chen, EKP Chong, MC Fu
2018 Winter Simulation Conference (WSC), 1909-1920, 2018
42018
Estimating distribution sensitivity using generalized likelihood ratio method
Y Peng, MC Fu, JQ Hu
2016 13th International Workshop on Discrete Event Systems (WODES), 123-128, 2016
42016
Sensitivity analysis of portfolio credit derivatives by conditional Monte Carlo simulation
L Lei, Y Peng, M Fu, J Hu
Available at SSRN 3404231, 2019
32019
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Articles 1–20