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Michael C. Fu · Study
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Author
Michael C. Fu
43 works
· latest 2018
· 2 institutions
cluster: provisional
ORCID 0000-0003-2105-4932
Works
43 shown
A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
Operations Research
·
2018
·
4 authors
·
Open access
68
citations
Ranking and Selection as Stochastic Control
IEEE Transactions on Automatic Control
·
2018
·
4 authors
·
Open access
92
citations
Handbook of Simulation Optimization
International series in management science/operations research/International series in operations research & management science
·
2014
·
1 author
·
book
411
citations
Stochastic Gradient Estimation
International series in management science/operations research/International series in operations research & management science
·
2014
·
1 author
·
chapter
90
citations
Encyclopedia of Operations Research and Management Science
Springer eBooks
·
2013
·
2 authors
·
other
429
citations
Simulation-Based Algorithms for Markov Decision Processes
Communications and control engineering/Communications and control engineering series
·
2013
·
4 authors
·
book
70
citations
Conditional Monte Carlo: Gradient Estimation and Optimization Applications
·
2011
·
2 authors
200
citations
Simulation optimization using the cross-entropy method with optimal computing budget allocation
ACM Transactions on Modeling and Computer Simulation
·
2010
·
5 authors
60
citations
Conditional Monte Carlo Estimation of Quantile Sensitivities
Management Science
·
2009
·
3 authors
96
citations
Some topics for simulation optimization
Winter Simulation Conference
·
2008
·
3 authors
·
other
71
citations
What you should know about simulation and derivatives
Naval Research Logistics (NRL)
·
2008
·
1 author
61
citations
Efficient Simulation Budget Allocation for Selecting an Optimal Subset
INFORMS journal on computing
·
2008
·
4 authors
236
citations
A Model Reference Adaptive Search Method for Stochastic Global Optimization
Communications in Information and Systems
·
2008
·
3 authors
·
Open access
60
citations
Variance-Gamma and Monte Carlo
Birkhäuser Boston eBooks
·
2007
·
1 author
·
chapter
56
citations
Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling
INFORMS journal on computing
·
2007
·
3 authors
86
citations
Advances in Mathematical Finance
Applied and numerical harmonic analysis
·
2007
·
4 authors
·
book
75
citations
Efficient Dynamic Simulation Allocation in Ordinal Optimization
IEEE Transactions on Automatic Control
·
2006
·
3 authors
59
citations
Simulation Optimization: A Review, New Developments, and Applications
Winter Simulation Conference
·
2006
·
3 authors
·
other
382
citations
Chapter 19 Gradient Estimation
Handbooks in operations research and management science
·
2006
·
1 author
·
chapter
133
citations
An Adaptive Sampling Algorithm for Solving Markov Decision Processes
Operations Research
·
2005
·
4 authors
·
Open access
136
citations
Convergence of simultaneous perturbation stochastic approximation for nondifferentiable optimization
IEEE Transactions on Automatic Control
·
2003
·
3 authors
68
citations
Guest editorial
ACM Transactions on Modeling and Computer Simulation
·
2003
·
2 authors
·
editorial
·
Open access
174
citations
Two-timescale simultaneous perturbation stochastic approximation using deterministic perturbation sequences
ACM Transactions on Modeling and Computer Simulation
·
2003
·
4 authors
90
citations
Estimating customer service in a two-location continuous review inventory model with emergency transshipments
European Journal of Operational Research
·
2002
·
3 authors
51
citations
Feature Article: Optimization for simulation: Theory vs. Practice
INFORMS journal on computing
·
2002
·
1 author
742
citations
Optimization for Simulation: Theory vs. Practice
·
2002
·
1 author
506
citations
Simulation optimization
Winter Simulation Conference
·
2001
·
1 author
·
other
68
citations
Pricing American options: a comparison of Monte Carlo simulation approaches
The Journal of Computational Finance
·
2001
·
5 authors
163
citations
Monotone Optimal Policies for a Transient Queueing Staffing Problem
Operations Research
·
2000
·
3 authors
·
Open access
28
citations
Integrating Optimization And Simulation: Research And Practice
·
2000
·
3 authors
69
citations
Integrating optimization and simulation: research and practice
Winter Simulation Conference
·
2000
·
8 authors
·
other
64
citations
Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation
Management Science
·
1999
·
2 authors
47
citations
Queueing theory in manufacturing: A survey
Journal of Manufacturing Systems
·
1999
·
2 authors
170
citations
Optimization of (s, S) Inventory Systems with Random Lead Times and a Service Level Constraint
Management Science
·
1998
·
2 authors
133
citations
Pricing continuous Asian options: a comparison of Monte Carlo and Laplace transform inversion methods
The Journal of Computational Finance
·
1998
·
2 authors
155
citations
Models for multi-echelon repairable item inventory systems with limited repair capacity
European Journal of Operational Research
·
1997
·
2 authors
175
citations
Sensitivity Analysis for Monte Carlo Simulation of Option Pricing
Probability in the Engineering and Informational Sciences
·
1995
·
2 authors
·
Open access
106
citations
Optimization via simulation: A review
Annals of Operations Research
·
1994
·
1 author
418
citations
Smoothed perturbation analysis derivative estimation for Markov chains
Operations Research Letters
·
1994
·
2 authors
30
citations
Sample Path Derivatives for (s, S) Inventory Systems
Operations Research
·
1994
·
1 author
91
citations
A simulation study of donor scheduling systems for the American Red Cross
Computers & Operations Research
·
1993
·
4 authors
21
citations
Extensions and generalizations of smoothed perturbation analysis in a generalized semi-Markov process framework
IEEE Transactions on Automatic Control
·
1992
·
2 authors
61
citations
Convergence of a stochastic approximation algorithm for the GI/G/1 queue using infinitesimal perturbation analysis
Journal of Optimization Theory and Applications
·
1990
·
1 author
85
citations