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Robust simulation with likelihood-ratio constrained input uncertainty
Hu, Zhaolin; Hong, L. Jeff - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 4, pp. 2350-2367
Persistent link: https://www.econbiz.de/10013362754
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An augmented Lagrangian-type stochastic approximation method for convex stochastic semidefinite programming defined by expectations
Zhang, Yule; Wu, Jia; Zhang, Liwei - In: Operations research letters : a journal of INFORMS … 59 (2025), pp. 1-7
Persistent link: https://www.econbiz.de/10015358604
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Solving stochastic optimization with expectation constraints efficiently by a stochastic augmented Lagrangian-type algorithm
Zhang, Liwei; Zhang, Yule; Wu, Jia; Xiao, Xiantao - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 6, pp. 2989-3006
Persistent link: https://www.econbiz.de/10014326332
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Stochastic approximation proximal method of multipliers for convex stochastic programming
Zhang, Liwei; Zhang, Yule; Xiao, Xiantao; Wu, Jia - In: Mathematics of operations research 48 (2023) 1, pp. 177-193
Persistent link: https://www.econbiz.de/10014312542
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Real-time derivative pricing and hedging with consistent metamodels
Jiang, Guangxin; Hong, L. Jeff; Shen, Haihui - In: INFORMS journal on computing : JOC ; charting new … 36 (2024) 5, pp. 1168-1189
Persistent link: https://www.econbiz.de/10015164392
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Stochastic trust-region response-surface method (STRONG) : a new response-surface framework for simulation optimization
Chang, Kuo-hao; Hong, L. Jeff; Wan, Hong - In: INFORMS journal on computing : JOC 25 (2013) 2, pp. 230-243
Persistent link: https://www.econbiz.de/10009753758
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A new likelihood ratio method for training artificial neural networks
Peng, Yijie; Xiao, Li; Heidergott, Bernd; Hong, L. Jeff; … - In: INFORMS journal on computing : JOC ; charting new … 34 (2022) 1, pp. 638-655
Persistent link: https://www.econbiz.de/10013361323