Michael C. Fu

ORCID

Publication Activity (10 Years)

Years Active: 1988-2024
Publications (10 Years): 68

Top Venues

WSC

IEEE Trans. Autom. Control.

CoRR

INFORMS J. Comput.

Publications

Michael C. Fu
Escalator Etiquette: Stand or Walk? A Systems Analysis. Syst. 12 (6) (2024)
Meichen Song, Jiaqiao Hu, Michael C. Fu
Simultaneous Perturbation-Based Stochastic Approximation For Quantile Optimization. WSC (2023)
Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Copula sensitivity analysis for portfolio credit derivatives. Eur. J. Oper. Res. 308 (1) (2023)
Xingyu Ren, Michael C. Fu, Steven I. Marcus
Sensitivity Analysis for Stopping Criteria with Application to Organ Transplantations. WSC (2023)
Xingyu Ren, Michael C. Fu, Steven I. Marcus
Stochastic control for organ donations: A review. Syst. Control. Lett. 173 (2023)
Prashanth L. A., Michael C. Fu
Risk-Sensitive Reinforcement Learning via Policy Gradient Search. Found. Trends Mach. Learn. 15 (5) (2022)
Phillip Guo, Michael C. Fu
Bandit-Based Multi-Start Strategies for Global Continuous Optimization. WSC (2022)
Zhongshun Shi, Yijie Peng, Leyuan Shi, Chun-Hung Chen, Michael C. Fu
Dynamic Sampling Allocation Under Finite Simulation Budget for Feasibility Determination. INFORMS J. Comput. 34 (1) (2022)
Yuanlu Bai, Shengyi He, Henry Lam, Guangxin Jiang, Michael C. Fu
Importance Sampling for Rare-Event Gradient Estimation. WSC (2022)
Xingyu Ren, Michael C. Fu, Steven I. Marcus
Optimal Acceptance of Incompatible Kidneys. CoRR (2022)
Yunchuan Li, Michael C. Fu, Jie Xu
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search. IEEE Trans. Autom. Control. 67 (6) (2022)
Yi Zhou, Michael C. Fu, Ilya O. Ryzhov
Policy Evaluation with Stochastic Gradient Estimation Techniques. WSC (2022)
Yi Zhou, Michael C. Fu, Ilya O. Ryzhov
Estimating a Conditional Expectation with the Generalized Likelihood Ratio Method. WSC (2021)
Peng Wan, Michael C. Fu, Steven I. Marcus
Sensitivity Analysis and Time-Cost Tradeoffs in Stochastic Activity Networks. WSC (2021)
Peter W. Glynn, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Computing Sensitivities for Distortion Risk Measures. INFORMS J. Comput. 33 (4) (2021)
Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu, Ilya O. Ryzhov
Efficient Sampling Allocation Procedures for Optimal Quantile Selection. INFORMS J. Comput. 33 (1) (2021)
Yijie Peng, Michael C. Fu, Jiaqiao Hu, Pierre L'Ecuyer, Bruno Tuffin
Variance Reduction for Generalized Likelihood Ratio Method in Quantile Sensitivity Estimation. WSC (2021)
Michael C. Fu
A Tutorial Introduction to Monte Carlo Tree Search. WSC (2020)
Jian Chen, Michael C. Fu, Wenhong Zhang, Junhua Zheng
Predictive Modeling for Epidemic Outbreaks: A New Approach and COVID-19 Case Study. Asia Pac. J. Oper. Res. 37 (3) (2020)
Zhenyu Cui, Michael C. Fu, Jian-Qiang Hu, Yanchu Liu, Yijie Peng, Lingjiong Zhu
On the Variance of Single-Run Unbiased Stochastic Derivative Estimators. INFORMS J. Comput. 32 (2) (2020)
Michael C. Fu, Bernd Heidergott, Haralambie Leahu, Felisa J. Vázquez-Abad
Differentiation via Logarithmic Expansions. Asia Pac. J. Oper. Res. 37 (1) (2020)
Yijie Peng, Michael C. Fu, Bernd Heidergott, Henry Lam
Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling. Oper. Res. 68 (6) (2020)
Sina Miran, Alessandro Presacco, Jonathan Z. Simon, Michael C. Fu, Steven I. Marcus, Behtash Babadi
Dynamic estimation of auditory temporal response functions via state-space models with Gaussian mixture process noise. PLoS Comput. Biol. 16 (8) (2020)
Peter W. Glynn, Lin Fan, Michael C. Fu, Jian-Qiang Hu, Yijie Peng
Technical Note - Central Limit Theorems for Estimated Functions at Estimated Points. Oper. Res. 68 (5) (2020)
Yunchuan Li, Michael C. Fu, Jie Xu
An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search. CoRR (2020)
Peng Wan, Michael C. Fu
Sensitivity Analysis of ARC Criticalities in Stochastic Activity Networks. WSC (2020)
Prashanth L. A., Shalabh Bhatnagar, Nirav Bhavsar, Michael C. Fu, Steven I. Marcus
Random Directions Stochastic Approximation With Deterministic Perturbations. IEEE Trans. Autom. Control. 65 (6) (2020)
Zhenyu Cui, Michael C. Fu, Yijie Peng, Lingjiong Zhu
Optimal unbiased estimation for expected cumulative discounted cost. Eur. J. Oper. Res. 286 (2) (2020)
Guowei Sun, Yunchuan Li, Michael C. Fu
Utility-Based Statistical Selection Procedures. WSC (2019)
Michael C. Fu
Simulation-Based Algorithms for Markov Decision Processes: Monte Carlo Tree Search from AlphaGo to AlphaZero. Asia Pac. J. Oper. Res. 36 (6) (2019)
Yijie Peng, Michael C. Fu, Jian-Qiang Hu, Lei Lei
Estimating Quantile Sensitivity for Financial Models with Correlations and Jumps. WSC (2019)
Sina Miran, Jonathan Z. Simon, Michael C. Fu, Steven I. Marcus, Behtash Babadi
Estimation of State-Space Models with Gaussian Mixture Process Noise. DSW (2019)
Yunchuan Li, Michael C. Fu, Jie Xu
Monte Carlo tree search with optimal computing budget allocation. CDC (2019)
Uro Lyi, Michael C. Fu
European option Pricing with stochastic volatility and jumps: Comparison of Monte Carlo and Fast Fourier transform Methods. WSC (2018)
Yijie Peng, Chun-Hung Chen, Edwin K. P. Chong, Michael C. Fu
A Review of Static and Dynamic Optimization for Ranking and Selection. WSC (2018)
Cheng Jie, Prashanth L. A., Michael C. Fu, Steven I. Marcus, Csaba Szepesvári
Stochastic Optimization in a Cumulative Prospect Theory Framework. IEEE Trans. Autom. Control. 63 (9) (2018)
Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu
Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario. IEEE Trans. Autom. Control. 63 (9) (2018)
Michael C. Fu
Monte Carlo Tree Search: a Tutorial. WSC (2018)
Henry Lam, Guangxin Jiang, Michael C. Fu
On efficiencies of stochastic Optimization Procedures under Importance Sampling. WSC (2018)
Guangxin Jiang, Michael C. Fu
Importance Splitting for Finite-Time Rare Event Simulation. IEEE Trans. Autom. Control. 63 (6) (2018)
Lei Lei, Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation. Discret. Event Dyn. Syst. 28 (1) (2018)
Prashanth L. A., Shalabh Bhatnagar, Nirav Bhavsar, Michael C. Fu, Steven I. Marcus
Random directions stochastic approximation with deterministic perturbations. CoRR (2018)
Prashanth L. A., Michael C. Fu
Risk-Sensitive Reinforcement Learning: A Constrained Optimization Viewpoint. CoRR (2018)
Yijie Peng, Edwin K. P. Chong, Chun-Hung Chen, Michael C. Fu
Ranking and Selection as Stochastic Control. IEEE Trans. Autom. Control. 63 (8) (2018)
Yijie Peng, Michael C. Fu, Jian-Qiang Hu, Bernd Heidergott
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters. Oper. Res. 66 (2) (2018)
Aditya Gopalan, Prashanth L. A., Michael C. Fu, Steven I. Marcus
Weighted Bandits or: How Bandits Learn Distorted Values That Are Not Expected. AAAI (2017)
Michael C. Fu, Shane G. Henderson
History of seeking better solutions, AKA simulation optimization. WSC (2017)
Prashanth L. A., Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus
Adaptive System Optimization Using Random Directions Stochastic Approximation. IEEE Trans. Autom. Control. 62 (5) (2017)
Yijie Peng, Michael C. Fu
Myopic Allocation Policy With Asymptotically Optimal Sampling Rate. IEEE Trans. Autom. Control. 62 (4) (2017)
Michael C. Fu, Bingqing Li, Guozhen Li, Rongwen Wu
Option Pricing for a Jump-Diffusion Model with General Discrete Jump-Size Distributions. Manag. Sci. 63 (11) (2017)
Yijie Peng, Edwin K. P. Chong, Chun-Hung Chen, Michael C. Fu
Ranking and Selection as Stochastic Control. CoRR (2017)
Felisa J. Vázquez-Abad, Silvano Bernabel, Michael C. Fu
Data-driven adaptive threshold control for bike share systems. WSC (2017)
Yijie Peng, Michael C. Fu, Peter W. Glynn, Jianqiang Hu
On the asymptotic analysis of quantile sensitivity estimation by Monte Carlo simulation. WSC (2017)
Guangxin Jiang, Michael C. Fu
Quantile sensitivity estimation for dependent sequences. J. Appl. Probab. 53 (3) (2016)
Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu
Dynamic Sampling Allocation and Design Selection. INFORMS J. Comput. 28 (2) (2016)
Prashanth L. A., Cheng Jie, Michael C. Fu, Steven I. Marcus, Csaba Szepesvári
Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Control. ICML (2016)
Michael C. Fu
AlphaGo and Monte Carlo tree search: The simulation optimization perspective. WSC (2016)
Yijie Peng, Michael C. Fu, Jian-Qiang Hu
Estimating distribution sensitivity using generalized likelihood ratio method. WODES (2016)
Yijie Peng, Michael C. Fu, Jian-Qiang Hu
On the regularity conditions and applications for generalized likelihood ratio method. WSC (2016)
Aditya Gopalan, Prashanth L. A., Michael C. Fu, Steven I. Marcus
Weighted bandits or: How bandits learn distorted values that are not expected. CoRR (2016)
Guangxin Jiang, Chenglong Xu, Michael C. Fu
On sample average approximation algorithms for determining the optimal importance sampling parameters in pricing financial derivatives on Lévy processes. Oper. Res. Lett. 44 (1) (2016)
Prashanth L. A., Cheng Jie, Michael C. Fu, Steven I. Marcus
Cumulative Prospect Theory Meets Reinforcement Learning: Estimation and Control. CoRR (2015)
Guangxin Jiang, Michael C. Fu, Chenglong Xu
Optimal importance sampling for simulation of lévy processes. WSC (2015)
Guangxin Jiang, Michael C. Fu
Technical Note - On Estimating Quantile Sensitivities via Infinitesimal Perturbation Analysis. Oper. Res. 63 (2) (2015)
Andrew O. Hall, Michael C. Fu
Optimal Army officer force profiles. Optim. Lett. 9 (8) (2015)
Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu, Zi Ding
Sequential Selection with Unknown Correlation Structures. Oper. Res. 63 (4) (2015)
Keiichiro Urayama, Michael C. Fu, Steven I. Marcus
Simulation-based work load and job release control for semiconductor manufacturing. CDC (2015)
Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu
Non-monotonicity of probability of correct selection. WSC (2015)
Marie Chau, Michael C. Fu, Huashuai Qu, Ilya O. Ryzhov
Simulation optimization: a tutorial overview and recent developments in gradient-based methods. WSC (2014)
Michael C. Fu, Huashuai Qu
Regression Models Augmented with Direct Stochastic Gradient Estimators. INFORMS J. Comput. 26 (3) (2014)
Aurora J. Bristor, Sean L. Barnes, Michael C. Fu
Regulation of systemic risk through contributory endogenous agent-based modeling. WSC (2014)
Marie Chau, Michael C. Fu
On the sensitivity of greek kernel estimators to bandwidth parameters. WSC (2014)
Huashuai Qu, Michael C. Fu
Gradient Extrapolated Stochastic Kriging. ACM Trans. Model. Comput. Simul. 24 (4) (2014)
Michael C. Fu, Güzin Bayraksan, Shane G. Henderson, Barry L. Nelson, Warren B. Powell, Ilya O. Ryzhov, Benjamin G. Thengvall
Simulation optimization: a panel on the state of the art in research and practice. WSC (2014)
Enlu Zhou, Michael C. Fu, Steven I. Marcus
Particle Filtering Framework for a Class of Randomized Optimization Algorithms. IEEE Trans. Autom. Control. 59 (4) (2014)
Marie Chau, Huashuai Qu, Michael C. Fu
A New Hybrid Stochastic Approximation Algorithm. WODES (2014)
Yijie Peng, Chun-Hung Chen, Michael C. Fu, Jian-Qiang Hu
Efficient Simulation Resource Sharing and Allocation for Selecting the Best. IEEE Trans. Autom. Control. 58 (4) (2013)
Marie Chau, Huashuai Qu, Michael C. Fu, Ilya O. Ryzhov
An empirical sensitivity analysis of the Kiefer-Wolfowitz algorithm and its variants. WSC (2013)
Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu
Learning logistic demand curves in business-to-business pricing. WSC (2013)
Yijie Peng, Michael C. Fu, Chun-Hung Chen, Jian-Qiang Hu
A dynamic framework for statistical selection problems. WSC (2013)
Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu
Ranking and selection with unknown correlation structures. WSC (2012)
Yongqiang Wang, Michael C. Fu, Steven I. Marcus
A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives. Oper. Res. 60 (2) (2012)
Huashuai Qu, Michael C. Fu
On direct gradient enhanced simulation metamodels. WSC (2012)
Matthew J. Reindorp, Michael C. Fu
Dynamic lead time promising. ADPRL (2011)
Matthew J. Reindorp, Michael C. Fu
Capital renewal as a real option. Eur. J. Oper. Res. 214 (1) (2011)
Jiaqiao Hu, Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus
Dynamic sample budget allocation in model-based optimization. J. Glob. Optim. 50 (4) (2011)
Donghai He, Loo Hay Lee, Chun-Hung Chen, Michael C. Fu, Segev Wasserkrug
Simulation optimization using the cross-entropy method with optimal computing budget allocation. ACM Trans. Model. Comput. Simul. 20 (1) (2010)
Min Chen, Jian-Qiang Hu, Michael C. Fu
Perturbation Analysis of a Dynamic Priority Call Center. IEEE Trans. Autom. Control. 55 (5) (2010)
Yongqiang Wang, Michael C. Fu, Steven I. Marcus
Model-based Evolutionary Optimization. WSC (2010)
Enlu Zhou, Michael C. Fu, Steven I. Marcus
Solving Continuous-State POMDPs via Density Projection. IEEE Trans. Autom. Control. 55 (5) (2010)
Lingyan Cao, Michael C. Fu
Estimating Greeks for Variance-Gamma. WSC (2010)
Hyeong Soo Chang, Jiaqiao Hu, Michael C. Fu, Steven I. Marcus
Adaptive Adversarial Multi-Armed Bandit Approach to Two-Person Zero-Sum Markov Games. IEEE Trans. Autom. Control. 55 (2) (2010)
Michael C. Fu, L. Jeff Hong, Jian-Qiang Hu
Conditional Monte Carlo Estimation of Quantile Sensitivities. Manag. Sci. 55 (12) (2009)
Yongqiang Wang, Michael C. Fu, Steven I. Marcus
Dynamic pricing with continuous stochastic demand. CDC (2009)
Yongqiang Wang, Michael C. Fu, Steven I. Marcus
A new stochastic gradient estimator for American option pricing. ECC (2009)
Enlu Zhou, Lin Kun, Michael C. Fu, Steven I. Marcus
A Numerical Method for Financial Decision Problems under Stochastic Volatility. WSC (2009)
Jeffrey W. Heath, Michael C. Fu, Wolfgang Jank
New global optimization algorithms for model-based clustering. Comput. Stat. Data Anal. 53 (12) (2009)
Yongqiang Wang, Michael C. Fu, Steven I. Marcus
Sensitivity Analysis for Barrier Options. WSC (2009)
Enlu Zhou, Michael C. Fu, Steven I. Marcus
A particle filtering framework for randomized optimization algorithms. WSC (2008)
Chun-Hung Chen, Donghai He, Michael C. Fu, Loo Hay Lee
Efficient Simulation Budget Allocation for Selecting an Optimal Subset. INFORMS J. Comput. 20 (4) (2008)

Michael C. Fu.css-eqlu8i{font-size:small;padding-left:4px;}

Publication Activity (10 Years)

Top Topics

Top Venues

Michael C. Fu