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