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Sensitivity analysis in Monte Carlo Simulation of stochastic activity networks

Fu, Michael - In: Perspectives in operations research : papers in honor …, (pp. 351-366). 2006

Persistent link: https://www.econbiz.de/10003674859

Optimal importance sampling in securities pricing

Su, Yi; Fu, Michael - In: The journal of computational finance 5 (2002) 4, pp. 27-50

Persistent link: https://www.econbiz.de/10001695832

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

Fu, Michael; Madan, Dilip B.; Wang, Tong - In: The journal of computational finance 2 (1998/1999) 2, pp. 49-74

Persistent link: https://www.econbiz.de/10001633397

Capital renewal as a real option

Reindorp, Matthew J.; Fu, Michael - In: European journal of operational research : EJOR 214 (2011) 1, pp. 109-117

Persistent link: https://www.econbiz.de/10009238164

Efficient simulation budget allocation for selecting an optimal subset

Chen, Chun-hung; He, Donghai; Fu, Michael; Lee, Loo Hay - In: INFORMS journal on computing : JOC 20 (2008) 4, pp. 579-595

Persistent link: https://www.econbiz.de/10003772390

Dynamic sampling allocation and design selection

Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang - In: INFORMS journal on computing : JOC 28 (2016) 2, pp. 195-208

Persistent link: https://www.econbiz.de/10011489257

Sequential selection with unknown correlation structures

Qu, Huashuai; Ryzhov, Ilya O.; Fu, Michael; Ding, Zi - In: Operations research 63 (2015) 4, pp. 931-948

Persistent link: https://www.econbiz.de/10011313170

Handbook of Simulation Optimization

Fu, Michael - 2015

The Handbook of Simulation Optimization presents an overview of the state of the art of simulation optimization, providing a survey of the most well-established approaches for optimizing stochastic simulation models and a sampling of recent research advances in theory and methodology. Leading...

Persistent link: https://www.econbiz.de/10012401970

Efficient sampling allocation procedures for optimal quantile selection

Peng, Yijie; Chen, Chun-hung; Fu, Michael; Hu, Jian-Qiang; … - In: INFORMS journal on computing : JOC 33 (2021) 1, pp. 230-245

Persistent link: https://www.econbiz.de/10012496377

Sequential learning with a similarity selection index

Zhou, Yi; Fu, Michael; Ryzhov, Ilya O. - In: Operations research 72 (2024) 6, pp. 2526-2542

Persistent link: https://www.econbiz.de/10015371520