Michael Fu [Research] [Teaching/Mentoring] [Professional Activities]

Ralph J. Tyser Professor of Management Science
Decision and Information Technologies Department, Robert H. Smith School of Business
  joint appointment with the Institute for Systems Research
  affiliate appointment with the Department of Electrical and Computer Engineering, A. James Clark School of Engineering

Telephone: (301) 405-2241
Office: 4305 Van Munching Hall
E-Mail: mfu (at) rhsmith.umd.edu

What's New

• co-editor (with Robert Elliott, Bob Jarrow, Ju-Yi Yen) of book published July 2007:
  Advances in Mathematical Finance (Festschrift for Dilip Madan’s 60th birthday), Birkhäuser, (preface/TOC/photos, my article) [also available at amazon.com];
  associated Conference (Sep.29-Oct.1, 2006).
• co-author (with Hyeong Soo Chang, Jiaqiao Hu, Steve Marcus) of book published March 2007:
  Simulation-Based Methods for Markov Decision Processes, Springer (cover, preface/TOC/index) [also available at amazon.com].
• co-editor (with Frank Alt and Bruce Golden) of book published October 2006:
  Perspectives in Operations Research: Papers in Honor of Saul Gass’ 80th Birthday, Springer (preface/TOC/photos, my article); [also available at amazon.com]
  associated Symposium (Feb.25, 2006).

Highlights

• Distinguished Scholar-Teacher, 2004-2005, University of Maryland.
• Guest Editor, Special Issue on Simulation Optimization, ACM Transactions on Modeling and Computer Simulation, 2003.
• 2002 Institute for Systems Research Outstanding Faculty Award.
• 1999 IIE Operations Research Division Award.
• 1998 INFORMS Simulation Society OUTSTANDING SIMULATION PUBLICATION AWARD for the book,
  Conditional Monte Carlo: Gradient Estimation and Optimization Applications (co-author Jian-Qiang Hu).
• 1998 IIE Transactions on Operations Engineering Best Paper Award, for the paper,
  Optimization of Discrete Event Systems via Simultaneous Perturbation Stochastic Approximation (co-author Stacy Hill).

Recent Invited Talks

• Fudan University, School of Management, Department of Management Science, August 6, 2007.
• Tsinghua University, Center for Intelligent & Networked Systems, June 20, 2007.
• SUNY-Buffalo Department of Industrial Engineering, April 20, 2007.
• Carnegie-Mellon University Tepper School of Business, March 23, 2007.
• Workshop on Stochastics in Logistics and Transportation, Håholmen by Molde, Norway, June 12-14, 2006.
• Instituto de Empresa, Madrid, Spain, December 16, 2005.
• 1st Argonne-University of Chicago-Northwestern–Wisconsin Optimization Tutorial, June 13, 2005.
• Princeton University and University of California, Berkeley (spring 2005).

---

EDUCATION (Back to Top)

Ph.D., Applied Mathematics, Harvard University, 1989; M.S., 1986;
National Science Foundation Graduate Fellow, 1995-98.
S.M., S.B., Electrical Engineering and Computer Science, S.B., Mathematics, MIT, 1985.

---

RESEARCH (Back to Top)

Simulation modeling and analysis, production/inventory control, applied probability, and queueing theory;

stochastic derivative estimation, simulation optimization of discrete-event systems, Markov decision processes;

with application to supply chain management and financial engineering.

Current and Recent Research Projects

• Simulation-Based Approaches to Solving Markov Decision Process,
  research sponsored by the National Science Foundation,
  Project Director (co-PI Steve Marcus), 2000-2007.

• Simulation-Based Methodologies for Global Optimization and Planning,
  sponsored by the Air Force Office of Scientific Research,
  co-Principal Investigator (PI Steve Marcus and co-PI Jiaqiao Hu, SUNY Stony Brook), 2007-2009. 
• Dynamic Real-Time Order Promising and Fulfillment for Global Make-to-Order Supply Chains,
  sponsored by the National Science Foundation,
  co-Principal Investigator (PI Michael Ball), 2006-2008.

• Mathematical and Computational Finance Research Interactions Team (joint with Dilip Madan).

• Preventive Maintenance Scheduling in Semiconductor Manufacturing Fabs,
  sponsored by the Semiconductor Research Corporation and International SEMATECH,
  Project Director (with co-PI Steve Marcus and Emmanuel Fernandez, University of Cincinnati), 2001-2004. 

Publications (click here for pdf file of all publications, including conference proceedings, book chapters, etc.)

BOOKS

• Conditional Monte Carlo: Gradient Estimation and Optimization Applications,
  joint with J. Q. Hu; Kluwer Academic Publishers (now part of Springer), 1997 (order from Amazon.com).
  Running list of errata. (Please e-mail any errors/typos you may catch. Thanks!)
• Perspectives in Operations Research: Papers in Honor of Saul Gass’ 80th Birthday, Springer, October 2006,
  co-edited with Frank Alt and Bruce Golden (preface/TOC/photos, my article).
• Simulation-Based Methods for Markov Decision Processes
  (with Hyeong Soo Chang, Jiaqiao Hu, Steve Marcus), Springer, March 2007 (preface/TOC).
• Advances in Mathematical Finance (Festschrift for Dilip Madan’s 60th birthday), Birkhäuser, July 2007,
  co-edited with Robert Elliott, Bob Jarrow, and Ju-Yi Yen (preface/TOC/photos, my article) [also available at amazon.com]);
  associated Conference (Sep.29-Oct.1, 2006).

Selected JOURNAL ARTICLES, Conference Proceedings, and Recent Working Papers

Markov decision processes

• An Adaptive Sampling Algorithm for Solving Markov Decision Processes, Operations Research, Vol.53, No.1, 126-139, 2005 (with H.S. Chang, J. Hu, S.I. Marcus) PDF
  earlier version available as TR 2002-19.
• An Evolutionary Random Search Algorithm for Solving Markov Decision Processes, INFORMS Journal on Computing, Vol.19, No.2, 161-174, 2007 (with J. Hu, V. Ramezani, S.I. Marcus) PDF
  earlier version available as TR 2005-3.
• Evolutionary Policy Iteration for Solving Markov Decision Processes, IEEE Transactions on Automatic Control, Vol.50, No.11, 1804-1808, 2005 (with H.S. Chang, H.-G. Lee, S.I. Marcus) PDF
  earlier version available at TR 2002-31 (Note there is a minor technical error in one of the proofs in that version).
• Recursive Learning Automata Approach to Markov Decision Processes, IEEE Transactions on Automatic Control, Vol.52, No.7, 1249-55, 2007 (with H.S. Chang, J. Hu, S.I. Marcus). PDF
• A Two-Timescale Stochastic Approximation Algorithm for Weighted Cost-to-Go Markov Decision Processes, Proceedings of the 44th IEEE Conference on Decision and Control, 8022-8027, 2005 (with Y. He, S.I. Marcus). PDF
• An Asymptotically Efficient Algorithm for Finite Horizon Stochastic Dynamic Programming Problems, IEEE Transactions on Automatic Control, Vol.52, No.1, 89-94, 2007. PDF
  earlier version available as TR 2003-26.
• TR 2005-84: Convergence of Sample Path Optimal Policies for Stochastic Dynamic Programming.
• TR 2003-25: A Distributed Algorithm for Solving a Class of Multi-agent Markov Decision Problems.
• TR 99-56: Simulation-Based Algorithms for Average Cost Markov Decision Processes.

randomized global optimization

• A Model Reference Adaptive Search Algorithm for Global Optimization, Operations Research, Vol.55, No.3, 549-568, 2007 (with J. Hu, S.I. Marcus). PDF
  earlier version available as TR 2005-81.
• A Model Reference Adaptive Search Algorithm for Stochastic Global Optimization, under review (with J. Hu, S.I. Marcus). PDF
• New Global Optimization Algorithms for Model-Based Clustering, under review (with J. Heath, W. Jank). PDF
• Global Convergence of Model Reference Adaptive Search for Gaussian Mixtures, under review (with J. Heath, W. Jank). PDF
• Model-Based Randomized Methods for Global Optimization, Proceedings of the 17th International Symposium on Mathematical Theory of Networks and Systems, 355-363, 2006 (with J. Hu, S.I. Marcus). PDF

gradient estimation (note: some papers also cross-listed under particular application area)

• Stochastic Gradient Estimation, Chapter 19, in Handbook on Operations Research and Management Science: Simulation, S.G. Henderson and B.L. Nelson, editors, Elsevier, 575-616, 2006. PDF
  earlier version available as TR 2005-93:
• Extensions and Generalizations of Smoothed Perturbation Analysis in a Generalized Semi-Markov Process Framework, IEEE Transactions on Automatic Control, Vol.37, No.10, 1483-1500, 1992 (with J.Q.Hu). PDF
• Sample Path Derivatives for (s,S) Inventory Systems, Operations Research, Vol.42, No.2, 351-364, 1994. PDF
• Sensitivity Analysis for Simulation of Stochastic Activity Networks, in Perspectives in Operations Research: Papers in Honor of Saul Gass' 80th Birthday (eds. Alt, Fu, Golden), Springer, 351-366, 2006. PDF
• Simulation Optimization of Traffic Light Signal Timings via Perturbation Analysis, working paper (with W.C. Howell). PDF
• Online Traffic Light Control Through Gradient Estimation Using Stochastic Fluid Models, Proceedings of the IFAC 16th Triennial World Congress, 2005 (with C. Panayiotou, W.C. Howell). PDF
• Fluid Approximation and Perturbation Analysis of a Dynamic Priority Call Center, Proceedings of the 43rd IEEE Conference on Decision and Control, 2304-2309, 2004 (with M. Chen, J.Q. Hu). PDF
• Efficient Design and Sensitivity Analysis of Control Charts Using Monte Carlo Simulation, Management Science, Vol.45, No.3, 395-413, 1999 (with  J.Q. Hu) PDF
  earlier version available as TR 97-91.
• Conditional Monte Carlo Gradient Estimation in Economic Design of Control Charts, POM, under review. (with  S. Lele, T. Vossen) PDF
• Second Derivative Sample Path Estimators for the GI/G/m Queue, Management Science, Vol.39, No.3, 359-383, 1993 (with J.Q.Hu). PDF
• Derivative Estimation for Buffer Capacity of Continuous Transfer Lines Subject to Operation-dependent Failures, Discrete Event Dynamic Systems, Vol.12, No.4, 447-469, 2002 (with X. Xie); PDF
  earlier version available as TR 98-57.
• Efficient Sensitivity Analysis of Mortgage-Backed Securities (with J. Chen), unpublished manuscript, 2001. PDF
  much abbreviated version available here (Hedging Beyond Duration and Convexity, Proceedings of the 2002 Winter Simulation Conference, 1593-1599).
• Sensitivity Analysis for Monte Carlo Simulation of Option Pricing, Probability in the Engineering and Information Sciences, Vol.9, No.3, 417-446, 1995 (with J.Q.Hu).
  corrected version as pdf file (published version has some typos and errors).
• A Note on Perturbation Analysis Estimators for American-Style Options, Probability in Engineering and Informational Sciences, Vol.14, 385-392, 2000 (with R. Wu, G. Gürkan, A.Y. Demir). PDF

simulation optimization, stochastic approximation

• Optimization for Simulation: Theory vs. Practice (Feature Article), INFORMS Journal on Computing, Vol.14, No.3, 192-215, 2002. PDF
• Optimization via Simulation: A Review, Annals of Operations Research, Vol. 53, 199-248, 1994. PDF
• Two-Timescale Simultaneous Perturbation Stochastic Approximation Using Deterministic Perturbation Sequences, ACM Transactions on Modeling and Computer Simulation, 180-209, 2003 (with S. Bhatnagar, S.I. Marcus, I.J.Wang). PDF
• Convergence of Simultaneous Perturbation Stochastic Approximation for Nondifferentiable Optimization, IEEE Transactions on Automatic Control, Vol.48, No.8, 1459-1463, 2003 (with Y. He, S.I. Marcus). PDF
• On the Convergence Rate of Ordinal Comparison of Random Variables, IEEE Transactions on Automatic Control, Vol.,46, No.12, 1950-1954, 2001 (with X. Jin). PDF
• An Optimal Structured Feedback Policy for ABR Flow Control Using Two Timescale SPSA, IEEE/ACM Transactions on Networking, Vol.9, No.4, 479-491, 2001 (with S. Bhatnagar, S.I. Marcus, P.J.M. Fard); PDF
  earlier version available as TR 99-86.
• Two Timescale Algorithms for Simulation Optimization of Hidden Markov Models, IIE Transactions, Vol.33, No.3, 245-258, 2001 (with S. Bhatnagar, S.I. Marcus, S. Bhatnagar); PDF
  earlier version available as TR 2000-13.
• Optimization of Discrete Event Systems via Simultaneous Perturbation Stochastic Approximation, IIE Transactions, Vol. 29, No.3, pp.233-243, 1997 (with S.D. Hill). PDF
• Convergence of a Stochastic Approximation Algorithm for the GI/G/1 Queue Using Infinitesimal Perturbation Analysis, Journal of Optimization Theory and Applications, Vol.65, No.1, 149-160, 1990. PDF

simulation efficiency

• Simulation Allocation for Determining the Best Design in the Presence of Correlated Sampling, INFORMS Journal on Computing, Vol.19, No.1, 101-111, 2007 (with J.Q. Hu, C.H. Chen, X. Xiong). PDF
• Efficient Dynamic Simulation Allocation in Ordinal Optimization, IEEE Transactions on Automatic Control, Vol.51, No.12, 2005-2009, 2006 (with D. He, C.H. Chen). PDF
• Efficient Simulation Budget Allocation for Selecting an Optimal Subset, INFORMS Journal on Computing, under review (with D. He, C.H. Chen). PDF
• Asymptotically Optimal Simulation Allocation under Dependent Sampling, Mathematics of Operations Research, under review (with X. Xiong, S. Juneja). PDF
• Probabilistic Error Bounds for Simulation Quantile Estimation, Management Science, Vol.49, No.2, 230-246, 2003 (with  X. Jin, X. Xiong); PDF
  earlier version finalist in INFORMS Nicholson Student Paper competition: A Large Deviations Analysis of Quantile Estimation with Application to Value at Risk, available as pdf at DRUM.

financial engineering/computational finance

• Variance-Gamma and Monte Carlo, in Advances in Mathematical Finance (eds. Fu, Jarrow, Yen, Elliott), Birkhäuser, 21-35, 2007. PDF
  (tutorial article on Monte Carlo simulation for Variance-Gamma process, including bridge sampling and sensitivity estimation)
• Pricing American-Style Derivatives with European Call Options, Management Science, Vol.52, No.1, 95-110, 2006 (with S. Laprise, S.I. Marcus, A.E.B. Lim, H. Zhang); PDF
  much abbreviated preliminary version available here (A New Approach to Pricing American-Style Derivatives, Proceedings of the 2001 Winter Simulation Conference, 329-337).
• Optimal Exercise Policies and Simulation-based Valuation for American-Asian Options, Operations Research, Vol.51, No.1, 52-66, 2003 (with R. Wu). PDF
• Optimal Importance Sampling in Securities Pricing, Journal of Computational Finance, Vol.5, No.4, 27-50, 2002 (with Y. Su); PDF (Note: published version has numerous typos.)
  much abbreviated preliminary version available here (Importance Sampling in Derivative Securities Pricing, Proceedings of the 2000 Winter Simulation Conference, 587-596).
• Pricing American Options: A Comparison of Monte Carlo Simulation Approaches, Journal of Computational Finance, Vol.4, No.3, 39-88, Spring 2001 (with S.B.Laprise, D.B. Madan, Y. Su, R. Wu). PDF
• Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods, Journal of Computational Finance, Vol.2, No.2, 49-74, 1999 (with D.B. Madan, T. Wang). PDF
• Efficient Sensitivity Analysis of Mortgage-Backed Securities (with J. Chen), unpublished manuscript, 2001. PDF
  much abbreviated version available here (Hedging Beyond Duration and Convexity, Proceedings of the 2002 Winter Simulation Conference, 1593-1599).
• Sensitivity Analysis for Monte Carlo Simulation of Option Pricing, Probability in the Engineering and Information Sciences, Vol.9, No.3, 417-446, 1995 (with J.Q.Hu).
  corrected version as pdf file (published version has some typos and errors).
• A Note on Perturbation Analysis Estimators for American-Style Options, Probability in Engineering and Informational Sciences, Vol.14, 385-392, 2000 (with R. Wu, G. Gürkan, A.Y. Demir). PDF

semiconductor manufacturing and supply chain management

• Optimal Preventive Maintenance Scheduling in Semiconductor Manufacturing, IEEE Transactions on Semiconductor Manufacturing, Vol.17, No.3, 345-356, 2004 (with X. Yao, E. Fernández-Gaucherand, S.I. Marcus). PDF
• Optimal Joint Preventive Maintenance and Production Policies, Naval Research Logistics, Vol.52, No.7, 668-681, 2005 (with X. Yao, X. Xie, S.I. Marcus). PDF
• TR 2000-49: Approximate Policy Iteration for Semiconductor Fab-Level Decision Making - a Case Study
• TR 2000-48: Simulation-Based Approach for Semiconductor Fab-Level Decision Making - Implementation Issues
• TR 2000-1: Comparing Gradient Estimation Methods Applied to Stochastic Manufacturing Systems

queueing and inventory

• Optimization of (s,S) Inventory Systems with Random Lead Times and a Service Level Constraint,  Management Science, Vol.44, No.12, S243-S256, 1998 (with S. Bashyam). PDF
• Queueing Theory in Manufacturing: A Review, Journal of Manufacturing Systems, Vol.18, No.3, 214-240, 1999 (with M.K. Govil). PDF
• Sample Path Derivatives for (s,S) Inventory Systems, Operations Research, Vol.42, No.2, 351-364, 1994. PDF
• Monotone Optimal Policies for a Transient Queueing Staffing Problem, Operations Research, No.2, 327-331, 2000 (with S.I. Marcus, I.J. Wang); PDF
  earlier version available as TR 97-62. 
• Minimizing Work-in-Process and Material Handling in the Facilities Layout Problem, IIE Transactions, Vol. 29, No.1, pp.29-36, 1997 (with B.K. Kaku); PDF
  earlier version available as TR 95-41.
• Models for Multi-Echelon Repairable Item Inventory Systems with Limited Repair Capacity, European Journal of Operational Research, Vol. 97, No.3, pp.480-492, 1997 (with A. Diáz). PDF
• Second Derivative Sample Path Estimators for the GI/G/m Queue, Management Science, Vol.39, No.3, 359-383, 1993 (with J.Q.Hu). PDF
• TR 98-7: A Lower Bounding Result for the Optimal Policy in an Adaptive Staffing Problem.
• Multi-Echelon Models for Repairable Items: A Review (with A. Diaz). available as pdf at DRUM.

Note: other unpublished Technical Reports can be found at the ISR TR Web site.

---

TEACHING/MENTORING (Back to Top)

Courses Taught

• BMGT 231 Statistical Models for Business
• BMGT 332 Operations Research for Management Decisions
• BMGT 435 Introduction to Applied Probability Models
• BMGT671 Supply Chain Logistics and Operations Management (MBA Core Course Coordinator 1999-2005)
• BMGT 734 Models for Operations Management
• BMGT 772 Logistics Management (Executive MBA)
• BMGT 798B Computational Finance
• BMGT 834 Operations Research: Probabilistic Models
• BMGT 798Z Operations Research in Finance
• BMGT 835 Simulation of Discrete-Event Systems

PhD students current

• Enlu Zhou (co-advisor Steve Marcus)
• Scott Nestler (co-advisor Dilip Madan)
• Yongqiang Wang (co-advisor Steve Marcus)
• Andrew Hall
• Matthew Reindorp

PhD students graduated

1. Sridhar Bashyam, currently at Frito Lay.

2. Angel Diáz-Matalobos, currently on faculty at Instituto de Empresa, Madrid, Spain.

3. Jae-sin Yoo (co-advisor Arjang Assad).

4. Kefeng Xu (co-advisor Phil Evers), currently on faculty at University of Texas–San Antonio.

5. Tong Wang (co-advisor Dilip Madan), currently at the World Bank.

6. Yi Su (co-advisor Dilip Madan).

7. Rongwen Wu (co-advisor Dilip Madan), currently at Freddie Mac.