Michael Ludkovski

Publication Activity (10 Years)

Years Active: 2001-2023
Publications (10 Years): 11

Top Topics

Gaussian Process

Top Venues

SIAM J. Financial Math.

Eur. J. Oper. Res.

Publications

Guillermo Terrén-Serrano, Michael Ludkovski
Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning. CoRR (2023)
Xiong Lyu, Michael Ludkovski
Adaptive batching for Gaussian process surrogates with application in noisy level set estimation. Stat. Anal. Data Min. 15 (2) (2022)
Tao Chen, Michael Ludkovski
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. SIAM J. Financial Math. 12 (3) (2021)
Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski
Statistical learning for probability-constrained stochastic optimal control. Eur. J. Oper. Res. 290 (2) (2021)
Xiong Lyu, Mickaël Binois, Michael Ludkovski
Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation. Stat. Comput. 31 (4) (2021)
Sergio Rodriguez, Michael Ludkovski
Probabilistic bisection with spatial metamodels. Eur. J. Oper. Res. 286 (2) (2020)
Sergio Rodriguez, Michael Ludkovski
Generalized Probabilistic Bisection for Stochastic Root Finding. ACM Trans. Model. Comput. Simul. 30 (1) (2020)
Jimmy Risk, Michael Ludkovski
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. SIAM J. Financial Math. 9 (4) (2018)
Xiong Lyu, Mickaël Binois, Michael Ludkovski
Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation. CoRR (2018)
Sergio Rodriguez, Michael Ludkovski
Generalized Probabilistic Bisection for Stochastic Root-Finding. CoRR (2017)
Steven A. P. Quintero, Michael Ludkovski, João P. Hespanha
Stochastic Optimal Coordination of Small UAVs for Target Tracking using Regression-based Dynamic Programming. J. Intell. Robotic Syst. 82 (1) (2016)
Kyle Bechler, Michael Ludkovski
Optimal Execution with Dynamic Order Flow Imbalance. SIAM J. Financial Math. 6 (1) (2015)
Sergio Rodriguez, Michael Ludkovski
Information directed sampling for stochastic root finding. WSC (2015)
Robert B. Gramacy, Michael Ludkovski
Sequential Design for Optimal Stopping Problems. SIAM J. Financial Math. 6 (1) (2015)
Junjing Lin, Michael Ludkovski
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Stat. Comput. 24 (6) (2014)
Michael Ludkovski
Bayesian quickest detection with observation-changepoint feedback. CDC (2012)
Erhan Bayraktar, Michael Ludkovski
Liquidation in Limit Order Books with Controlled Intensity CoRR (2011)
Michael Ludkovski
Stochastic Switching Games and Duopolistic Competition in Emissions Markets. SIAM J. Financial Math. 2 (1) (2011)
Erhan Bayraktar, Michael Ludkovski
Inventory management with partially observed nonstationary demand. Ann. Oper. Res. 176 (1) (2010)
Michael Ludkovski, Guang Gong
New Families of Ideal 2-Level Autocorrelation Ternary Sequences From Second Order DHT. Electron. Notes Discret. Math. 6 (2001)