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math.OC2026
Understanding the Variance Dichotomy in Continuous Simulation Optimization: A Minimax Lower Bound Perspective
Jianzhong Du, L. Jeff Hong
This paper studies the variance dichotomy in continuous simulation optimization (CSO). Existing literature shows a sharp contrast between deterministic CSO and stochastic CSO, with…
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.OC2022★ 3 cited
A Contextual Ranking and Selection Method for Personalized Medicine
Jianzhong Du, Siyang Gao, Chun-Hung Chen
Problem definition: Personalized medicine (PM) seeks the best treatment for each patient among a set of available treatment methods. Since a specific treatment does not work well o…