L. Jeff Hong's Research Group
L. Jeff Hong's Research Group
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Simulation Optimization
A new likelihood ratio method for training artificial neural networks
Gaussian process based search for continuous optimization via simulation
Large-scale inventory optimization: A recurrent-neural-networks-inspired simulation approach
Option Pricing By Neural Stochastic Differential Equations: A Simulation-optimization Approach
Classical option pricing models rely on prior assumptions made on the dynamics of the underlying assets and the rationality of the market. While empirical evidence showed that these models may explain the option prices to certain extend, their …
Surrogate-based simulation optimization
Training Artificial Neural Networks by Generalized Likelihood Ratio Method: An Effective Way to Improve Robustness
Gaussian Mixture Model-based Random Search for Continuous Optimization via Simulation
Balancing exploitation and exploration in discrete optimization via simulation through a Gaussian process-based search
An adaptive hyperbox algorithm for high-dimensional discrete optimization via simulation problems
Stochastic trust-region response-surface method (STRONG) – A new response surface framework for simulation optimization
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