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math.OC2025
Optimal Simulation Budget Allocation Under Unknown Sampling Variance
Jianzhong Du, Ilya O. Ryzhov, Siyang Gao
The ranking and selection problem is a popular framework in the simulation literature for studying optimal information collection. We study a version of this problem in which the s…
math.OC2014
A New Optimal Stepsize For Approximate Dynamic Programming
Ilya O. Ryzhov, Peter I. Frazier, Warren B. Powell
Approximate dynamic programming (ADP) has proven itself in a wide range of applications spanning large-scale transportation problems, health care, revenue management, and energy sy…