56 citations · 68 across the 13 of their papers we have counts for
14 papers
Sensitivity Analysis and Optimization of Stochastic Epidemic Models under Parameter Uncertainty
Nicholas R. Wu, Michael C. Fu
To address sensitivity analysis and optimization for a discrete-time stochastic epidemic model, we derive unbiased gradient estimators that accommodate uncertainties represented as…
Stochastic Control for Organ Donations: A Review
Xingyu Ren, Michael C. Fu, Steven I. Marcus
We review the literature on individual patient organ acceptance decision making by presenting a Markov Decision Process (MDP) model to formulate the organ acceptance decision proce…
Quantile Optimization via Multiple Timescale Local Search for Black-box Functions
Jiaqiao Hu, Meichen Song, Michael C. Fu
We consider quantile optimization of black-box functions that are estimated with noise. We propose two new iterative three-timescale local search algorithms. The first algorithm us…
Using Importance Samping in Estimating Weak Derivative
Cheng Jie, Michael C Fu
In this paper we study simulation-based methods for estimating gradients in stochastic networks. We derive a new method of calculating weak derivative estimator using importance sa…
Adaptive Importance Sampling for Efficient Stochastic Root Finding and Quantile Estimation
Shengyi He, Guangxin Jiang, Henry Lam +1
In solving simulation-based stochastic root-finding or optimization problems that involve rare events, such as in extreme quantile estimation, running crude Monte Carlo can be proh…
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search
Yunchuan Li, Michael C. Fu, Jie Xu
We analyze a tree search problem with an underlying Markov decision process, in which the goal is to identify the best action at the root that achieves the highest cumulative rewar…