Michael C. Fu

Stochastic Gradient Estimation 1 (2008)

We propose a randomized search method called Stochastic Model Reference Adaptive Search (SMRAS) for solving stochastic optimization problems in situations where the objective functions cannot be...

1 TWO TIMESCALE SPSA ALGORITHMS FOR RATE-BASED ABR (2008)

We consider the problem of efficiently estimating gradients from stochastic simulation. Although the primary motivation is their use in simulation optimization, the resulting estimators can also be...

Flow Control, Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus

Jiaqiao Hu, Michael C. Fu, Vahid R. Ramezani, Steven I. Marcus

informs ®

A SURVEY OF SOME SIMULATION-BASED ALGORITHMS FOR MARKOV DECISION PROCESSES (2008)

Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, I. Marcus

Abstract. Many problems modeled by Markov decision processes (MDPs) have very large state and/or action spaces, leading to the well-known curse of dimensionality that makes solution of the resulting...

Feature article: Optimization for simulation: Theory vs. practice (2008)

Sensitivity Analysis in Monte Carlo Simulation of Stochastic Activity Networks (2008)

Probably one of the most successful interfaces between operations research and computer science has been the development of discrete-event simulation software. The recent integration of optimization...

Admitted to Young Talented Mixed Class, a two-year Honors Program (2008)

Summary. Stochastic activity networks (SANs) such as those arising in Project Evaluation Review Technique (PERT) and Critical Path Method (CPM) are an important classical set of models in operations...

Huiju Joy Zhang, Dissertation Advisor, Michael C. Fu, Research Experience

� Sample Path Derivatives for (s, S) Inventory Systems with Price Determination (Advisor Dr. M. Fu) Considered the problem of simultaneous price determination and inventory management. Optimizing...

Optimal Joint Preventive Maintenance and Production Policies* (2008)

Xiaodong Yao, Xiaolan Xie, Michael C. Fu, Steven I. Marcus

Abstract: We study joint preventive maintenance (PM) and production policies for an unreliable production-inventory system in which maintenance/repair times are non-negligible and stochastic. A joint...

Index Terms (2008)

Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus

We present a sampling algorithm, called “Recursive Automata Sampling Algorithm ” (RASA), for control of finite horizon Markov decision processes. By extending in a recursive manner the learning...

Scott B. Laprise, Michael C. Fu, Steven I. Marcus, Huiju Zhang

informs ® doi 10.1287/mnsc.1050.0447

A Model Reference Adaptive Search Method for Global Optimization (2008)

A Model Reference Adaptive Search Method for Global Optimization (2008)

Rate Based ABR Flow Control using Two Timescale SPSA (2007)

We introduce a new randomized method called Model Reference Adaptive Search (MRAS) for solving global optimization problems. The method works with a parameterized probabilistic model on the solution...

ABSTRACT INTEGRATING OPTIMIZATION AND SIMULATION: RESEARCH AND PRACTICE (2007)

In this paper, a two timescale simultaneous perturbation stochastic approximation (SPSA) algorithm is developed and applied to closed loop rate based available bit rate (ABR) flow control. The...

J. A. Joines, R. R. Barton, K. Kang, P. A. Fishwick, Michael C. Fu, John S. Carson, ...

The integration of optimization and simulation has become nearly ubiquitous in practice, as most discrete-event simulation packages now include some type of optimization routine. This panel...

An asymptotically efficient simulation-based algorithm for finite horizon stochastic dynamic programming (2007)

Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I

Abstract — We present a simulation-based algorithm called “Simulated Annealing Multiplicative Weights ” (SAMW) for solving large finitehorizon stochastic dynamic programming problems. At each...

An Evolutionary Random Policy Search Algorithm for Solving Markov Decision Processes (2007)

Jiaqiao Hu, Michael C. Fu, Vahid R. Ramezani, Steven I. Marcus

This paper presents a new randomized search method called evolutionary random policy search (ERPS) for solving infinite-horizon discounted-cost Markov-decision-process (MDP) problems. The algorithm...

An asymptotically efficient simulation-based algorithm for finite horizon stochastic dynamic programming (2007)

Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus

We present a simulation-based algorithm called “Simulated Annealing Multiplicative Weights” (SAMW) for solving large finite-horizon stochastic dynamic programming problems. At each iteration of...

An adaptive sampling algorithm for solving Markov decision processes (2005)

Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus, Hyeong Soo Chang, Michael C. Fu, Steven I. Marcus

Based on recent results for multi-armed bandit problems, we propose an adaptive sampling algorithm that approximates the optimal value of a finite horizon Markov decision process (MDP) with infinite...

An adaptive sampling algorithm for solving Markov decision processes (2005)

Hyeong Soo Chang, Michael C. Fu, Jiaqiao Hu, Steven I. Marcus

A Model Reference Adaptive Search Method for Stochastic Global Optimization (2005)

Evolutionary policy iteration for solving Markov decision processes (2005)

We propose a new method called Stochastic Model Reference Adaptive Search (SMRAS) for finding a global optimal solution to a stochastic optimization problem in situations where the objective...

Hyeong Soo Chang, Hong-gi Lee, Michael C. Fu, Steven I

Abstract — We propose a novel algorithm called Evolutionary Policy Iteration (EPI) for solving infinite horizon discounted reward Markov decision processes. EPI inherits the spirit of policy...

Optimal preventive maintenance scheduling in semiconductor manufacturing (2004)

Xiaodong Yao, Emmanuel Fernández-gaucher, Michael C. Fu, Steven I. Marcus

Preventive Maintenance (PM) scheduling is a very challenging task in semiconductor manufacturing, due to the complexity of highly integrated fab tools and systems, the interdependence between PM...

Probabilistic error bounds for simulation quantile estimators (2003)

Xing Jin, Michael C. Fu, Xiaoping Xiong

Quantile estimation has become increasingly important,particularly in the financial industry,where value at risk (VaR) has emerged as a standard measurement tool for controlling portfolio risk. In...

Two-Timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences (2003)

Ying He, Michael C. Fu, Steven I. Marcus

In this paper, we consider Simultaneous Perturbation Stochastic Approximation (SPSA) for function minimization. The standard assumption for convergence is that the function be three times...

Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization (2003)

Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization (2003)

Simultaneous perturbation stochastic approximation (SPSA) algorithms have been found to be very effective for high-dimensional simulation optimization problems. The main idea is to estimate the...

Convergence of Simultaneous Perturbation Stochastic Approximation for Nondifferentiable Optimization (2003)

Simultaneous perturbation stochastic approximation (SPSA) algorithms have been found to be very effective for high-dimensional simulation optimization problems. The main idea is to estimate the...

Ying He, Michael C. Fu, Steven I. Marcus

Abstract—In this note, we consider simultaneous perturbation stochastic approximation for function minimization. The standard assumption for convergence is that the function be three times...

Optimal importance sampling in securities pricing (2002)

Yi Su, Michael C. Fu

To reduce variance in estimating security prices via Monte Carlo simulation, we formulate a parametric minimization problem for the optimal importance sampling measure, which is solved using in...

Two-Timescale Simultaneous Perturbation Stochastic Approximation Using Deterministic Perturbation Sequences (2001)

Shalabh Bhatnagar \lambda, Michael C. Fu, Steven I. Marcus

1

Optimal Structured Feedback Policies for ABR Flow Control using Two-Timescale SPSA \Lambda (2001)

Shalabh Bhatnagar Y, Michael C. Fu, Steven I. Marcus, Pedram Jaefari, M. Fard

Simulation Optimization (2001)

Randomized difference two-timescale simultaneous perturbation stochastic approximation algorithms for simulation optimization of hidden Markov models (2000)

Introduction: Optimization in operations research and the management sciences is generally identified with mathematical programming techniques, where analytical expressions for quantities of interest...

Shalabh Bhatnagar, Michael C. Fu, Steven I. Marcus, Shashank Bhatnagar

We propose two finite difference two-timescale simultaneous perturbation stochastic approximation (SPSA) algorithms for simulation optimization of hidden Markov models. Stability and convergence of...

A Simulation-Based Policy Iteration Algorithm for Average Cost Unichain Markov Decision Processes (2000)

Ying He, Michael C. Fu, Steven I. Marcus

In this paper, we propose a simulation-based policy iteration algorithm on Markov decision process (MDP) problems with average cost criterion under the unichain assumption, which is a weaker...

Monotone Optimal Policies for a Transient Queueing Staffing Problem (2000)

Michael C. Fu, Steven I. Marcus, I-jeng Wang

We consider the problem of determining the optimal policy for staffing a queueing system over multiple periods, using a model that takes into account transient queueing effects. Formulating the...

Pricing American options: A comparison of Monte Carlo simulation approaches (1999)

Michael C. Fu, Scott B. Laprise, Dilip B. Madan, Yi Su, Rongwen Wu

A number of Monte Carlo simulation-based approaches have been proposed within the past decade to address the problem of pricing American-style derivatives. The purpose of this paper is to empirically...

Pricing American options: A comparison of Monte Carlo simulation approaches (1999)

Scott B. Laprise, Yi Su, Rongwen Wu, Michael C. Fu, Dilip B. Madan

A number of Monte Carlo simulation-based approaches have been proposed within the past decade to address the problem of pricing American-style derivatives. The purpose of this paper is to empirically...

A Markov Decision Process Model for Capacity Expansion and Allocation (1999)

Shalabh Bhatnagar, Emmanuel Fernandez-Gaucherand, Michael C. Fu, Ying He, Steven I. Marcus

We present a finite-horizon Markov decision process (MDP) model for providing decision support in semiconductor manufacturing on such critical operational issues as when to add additional capacity...

ISR develops, applies and teaches advanced methodologies of design and analysis to solve complex, hierarchical, (1999)

Heterogeneous And Dynamic, Shalabh Bhatnagar, Shalabh Bhatnagar, Michael C. Fu, Michael C. Fu, Steven I. Marcus, ...

Optimal multilevel feedback control policies for rate based flow control in available bit rate (ABR) service in asynchronous transfer mode (ATM) networks are obtained in the presence of information...

Optimal Multilevel Feedback Policies for ABR Flow Control using Two Timescale SPSA (1999)

Efficient Design and Sensitivity Analysis of Control Charts using Monte Carlo Simulation (1999)

Optimal multilevel feedback control policies for rate based flow control in available bit rate (ABR) service in asynchronous transfer mode (ATM) networks are obtained in the presence of information...

Michael C. Fu, Jian-qiang Hu

The design of control charts in statistical quality control addresses the optimal selection of the design parameters such as the sampling frequency and the control limits; and includes sensitivity...

Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods (1998)

Michael C. Fu, Dilip B. Madan, Tong Wang

In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform inversion and Monte Carlo simulation. In attempting to numerically invert the Laplace transform of the...

Application of Perturbation Analysis to Multiproduct Capacitated Production-Inventory Control (1998)

To Multiproduct Capacitated, Sridhar Bashyam, Michael C. Fu, Bharat K. Kaku, Multiproduct Capacitated

We consider a multiproduct periodic review system with a capacity constraint and no setup cost. Since the optimal stationary control policy for such a system is characterized by a complex switching...

Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods (1998)

Michael C. Fu, Dilip B. Madan, Tong Wang

In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform inversion and Monte Carlo simulation. In attempting to numerically invert the Laplace transform of the...

Monotone Optimal Policies for a . . . (1997)

M. C. Fu, S. I. Marcus, I-j. Wang, Michael C. Fu, Steven I. Marcus, I-jeng Wang

We consider the problem of determining the optimal policy for staffing a queueing system over multiple periods, using a model that takes into account transient queueing effects. Formulating the...

A Multi-Location Continuous Review (Q,R) Inventory Model with Emergency Transshipments (1997)

Kefeng Xu, Philip T. Evers, Michael C. Fu

Previous studies on multi-location inventory systems with transshipments have focused mainly on periodic review systems with no fixed ordering cost. Since continuous review systems are also...

Application of Perturbation Analysis to the Design and Analysis of Control Charts (1997)

Michael C. Fu, Jian-qiang Hu

The design of control charts in statistical quality control addresses the optimal selection of the design parameters such as the sampling frequency and the control limits; and includes sensitivity...

Optimization of (s,S) Inventory Systems with Random Lead Times and a Service Level Constraint (1997)

Sridhar Bashyam, Michael C. Fu

A major assumption in the analysis of (s; S) inventory systems with stochastic lead times is that orders are received in the same sequence as they are placed. Even under this assumption, much of the...

A Lower Bounding Result for the Optimal Policy in an Adaptive Staffing Problem (1997)

Arjang A. Assad, Michael C. Fu

We derive a lower bound for the staffing levels required to meet a projected load in a retail service facility. We model the queueing system as a Markovian process with non-homogeneous Poisson...

Pricing Asian Options: A Comparison Of Analytical And Monte Carlo Methods (1997)

Michael C. Fu, Dilip B. Madan, Tong Wang, Monte Carlo Methods

Asian options paying the excess over strike, of either the arithmetic or geometric average of the asset price over either discrete or continuous time, are valued using analytical and simulation...

Multi-echelon models for repairable items: A review (1995)

Angel Diaz, Michael C. Fu

We review multi-echelon inventory models for repairable items. Such models have been widely applied to the management of critical spare parts for military equipment for around three decades, but the...

s,S) Inventory systems with Random Leadtimes: Harris Recurrence and (1994)

Sridhar Bashyam, Michael C. Fu

major assumption in the analysis of (s, S) inventory systems with stochastic lead times is that orders are received in the same sequence as they are placed. Even under this assumption, much of the...

Optimization via simulation: a review (1994)