Michael Fu Directory Page

Michael Fu

Michael Fu

Smith Chair of Management Science


4341 Van Munching Hall

Dr. Fu has a joint appointment with the Institute for Systems Research and an affiliate appointment with the Department of Electrical and Computer Engineering, both in the A. James Clark School of Engineering. He was named a Distinguished Scholar-Teacher at the University of Maryland for 2004-2005. His research interests include simulation modeling and analysis, operations management, applied probability and queueing theory, with application to manufacturing and finance. He received an S.B. in mathematics and S.B./S.M. in electrical engineering & computer science from MIT in 1985 and a Ph.D. in applied mathematics from Harvard University in 1989.

He is co-author/editor of six books: Conditional Monte Carlo: Gradient Estimation and Optimization Applications, which was awarded the INFORMS Simulation Society's Outstanding Publication Award in 1998, Simulation-based Algorithms for Markov Decision Processes, Perspectives in Operations Research, Advances in Mathematical Finance, Encyclopedia of Operations Research and Management Science (3rd edition), and Handbook of Simulation Optimization. Other awards include the Business School's Allen J. Krowe Award for Teaching Excellence (1995), the Institute for Systems Research Outstanding Faculty Award (2002), the IIE Operations Research Division Award (1999), an Operations Research Meritorious Service Award (1999), and an IIE Transactions Best Paper Award (1998).

He served as the Stochastic Models and Simulation Department Editor of Management Science from 2006-2008 and as the Simulation Area Editor of Operations Research from 2000-2005, and on the editorial boards of INFORMS Journal on Computing, IIE Transactions, and Production and Operations Management. He was also Guest Editor of a special issue on simulation optimization for the ACM Transactions on Modeling and Computer Simulation. He served as Program Chair for the 2011 Winter Simulation Conference and as General Co-Chair for the 2020 INFORMS National Conference. His research has been sponsored by grants from the National Science Foundation, the Semiconductor Research Corporation, International SEMATECH, and the Air Force Office of Scientific Research. He is a Fellow of the Institute for Operations Research and the Management Sciences (INFORMS) and the Institute for Electrical and Electronics Engineers (IEEE).

From September 13, 2010, through August 24, 2012, and in 2015, he served as Operations Research Program Director at the National Science Foundation.

From January 1, 2017 through December 31, 2018, he served INFORMS(link is external) as Treasurer and as an Executive Committee Board Member. 

From January 8, 2017 through June 30, 2020, he served as Chairperson of the Decision, Operations & Information Technologies (DO&IT) Department in the Smith School.

Recent Invited Talks

  • Plenary/Keynote, Industrial Engineering/Management Science Workshop on Smart Simulation, Peking University, June 15, 2018
  • Johns Hopkins University Applied Physics Laboratory, Intelligent Systems Center, June 7, 2018
  • Columbia University, November 2, 2017
  • MIT, September 20, 2017
  • Seoul National University, June 23, 2017
  • Korea Advanced Institute of Science and Technology (KAIST), Daejeon, South Korea, June 20 & 21, 2017
  • Zhejiang University, Hangzhou, China, June 2 & 3, 2016.
  • Nankai University, Tianjin, China, May 24, 2016
  • Instituto de Empresa (IE), Madrid, Spain, May 6, 2016,
  • Cornell, April 26, 2016
  • INSEAD, March 14, 2016
  • Tsinghua University, July 7 & 10, 2015.
  • University of Michigan, March 27, 2015
  • Pennsylvania State University, March 21, 2014
  • University of Massachusetts, Amherst, October 18, 2013
  • WINFORMS, Washington, DC, August 20, 2013
  • Zhejiang University, Hangzhou, China, June 7, 2013
  • Arizona State University, April 1, 2013
  • Politecnico de Milano, March 18, 2013
  • University of Washington, March 8, 2013
  • Stony Brook University, November 16, 2012.
  • Rutgers Business School, September 10, 2012.
  • Naval Postgraduate School, May 3, 2012.
  • University of Washington, March 1, 2012.
  • Arizona State University, December 9, 2011.
  • Lehigh University, November 29, 2011.
  • Macquarie University, Sydney, Australia, July 5, 2011.
  • University of California at Berkeley, March 28, 2011.
  • University of Illinois, March 14, 2011.
  • University of Southampton, England, July 16, 2010.
  • Peking University, June 30, 2010.
  • United States Military Academy, West Point, NY, April 30, 2009.
  • University of Wisconsin, May 8, 2009.
  • Duke University Fuqua School of Business, March 21, 2008.
  • University of Minnesota, April 23, 2008.

Birthday Symposium/Conference Celebrations

Simulation modeling and analysis, production/inventory control, applied probability, and queueing theory;
stochastic derivative estimation, simulation optimization, Markov decision processes;
with application to supply chain management and financial engineering.

Current and Recent Research Projects

  • Optimal Desensitization Protocol in Support of a Kidney Paired Donation (KPD) System, research sponsored by the National Science Foundation, PI at Maryland (Project Director Naoru Koizumi, GMU; co-PIs Chun-Hung Chen & Hadi El-Amine, GMU; Monica Gentili, U. Louisville), 2021-2025.
  • An Optimization-based Approach to Breaking the Neural Code. research sponsored by the DARPA, co-PI (Project Director Steve Marcus, co-PIs B. Babadi, J. Simon), 2018-2019.
  • Simulation Optimization: New Approaches to Gradient-based Search & Maximum Likelihood Estimation, sponsored by the Air Force Office of Scientific Research, Project Director (co-PI Steve Marcus), 2020-2023.
  • New Approaches for Simulation-based Optimal Decision Making,
    research sponsored by the National Science Foundation,
    Project Director (co-PI Steve Marcus), 2015-2019.
  • A New Approach to Nonconvex Risk-Sensitive Stochastic Optimization,
    research sponsored by the National Science Foundation,
    co-Principal Investigator (PI Steve Marcus), 2014-2017.
  • Integrating Gradient and Adaptive Search in Simulation Optimization,
    research sponsored by the National Science Foundation,
    Project Director (co-PI Steve Marcus and co-PI Jiaqiao Hu, SUNY Stony Brook), 2009-2013.
  • Particle Filtering for Stochastic Control and Global Optimization,
    research sponsored by the National Science Foundation,
    co-Principal Investigator (PI Steve Marcus, co-PI Enlu Zhou, University of Illinois), 2009-2012.
  • 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), 2010-2013.
  • 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), 2006-2010.
  • Simulation-Based Approaches to Solving Markov Decision Process,
    research sponsored by the National Science Foundation,
    Project Director (co-PI Steve Marcus), 2000-2007.
  • 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 InternationalSEMATECH,
    Project Director (with co-PI Steve Marcus and Emmanuel Fernandez, University of Cincinnati), 2001-2004.

Professional Activities

Click here for pdf file listing publications, including conference proceedings, book chapters, etc.


Selected journal articles, conference proceedings, and recent working Papers

Cumulative Prospect Theory (CPT)

  • Stochastic Optimization in a Cumulative Prospect Theory Framework, IEEE Transactions on Automatic Control, conditionally accepted, 2017 (with C. Jie, P. L.A., S.I. Marcus, C. Szepesvari).
  • Cumulative Prospect Theory Meets Reinforcement Learning: Prediction and Control, Proceedings of the 33rd International Conference on Machine Learning, 1406–1415, 2016 (with P. L.A., C. Jie, S.I. Marcus, C. Szepesvari).
  • Weighted Bandits or: How Bandits Learn Distorted Values that are Not Expected, Proceedings of the Thirty-First AAAI Conference on Artificial Intelligence (AAAI-17), 1941–1947, 2017 (with A. Gopalan, P. L.A., S.I. Marcus).

Markov Decision Processes

Randomized Global Optimization

Gradient Estimation (note: some papers also cross-listed under particular application area)

Simulation Optimization, Stochastic Approximation

Simulation Efficiency

Financial Engineering/Computational Finance

Semiconductor Manufacturing and Supply Chain Management

Queueing and Inventory

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

Courses Taught

  • HONR 229Q Making Decisions in an Uncertain World
  • BMGT 231 Statistical Models for Business
  • BMGT 332 Operations Research for Management Decisions
  • BMGT 435 Introduction to Applied Probability Models
  • BMGT 671 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 798Z Operations Research in Finance
  • BMGT 830 Operations Research: Linear Programming
  • BMGT 834 Operations Research: Probabilistic Models
  • BMGT 835 Simulation of Discrete-Event Systems

PhD students current: Peng Wan, Yi Zhou, Xingyu Ren

PhD students graduated

  1. Sridhar Bashyam, retired (last position at Frito Lay).
  2. Angel Díaz, retired (last position 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 senior director at Capital One (previously Freddie Mac).
  8. Xing Jin (co-advisor Dilip Madan), currently Professor, Tianjin University of Finance and Economics (previously faculty member at Warwick Business School and math department at National University of Singapore).
  9. Scott Laprise, currently at Johns Hopkins Applied Physics Laboratory (previously at Apogee Research and BAE Systems).
  10. Ying He (co-advisor Steve Marcus), currently at Fannie Mae (previously NIH, IMF).
  11. Xiaodong Yao (co-advisor Steve Marcus), currently at SAS.
  12. Jian Chen, currently at MSCI (previously at Fannie Mae, Freddie Mac).
  13. Ahmad Ridley (co-advisor Bill Massey), currently at MitreTek.
  14. Xiaoping Xiong, currently at Freddie Mac.
  15. Sun-Hee Kim (co-advisor Dilip Madan).
  16. Jiaqiao Hu (co-advisor Steve Marcus), currently on Applied Mathematics & Statistics faculty at SUNY Stony Brook.
  17. William Howell, previously at BAE Systems.
  18. Huiju Zhang, currently VP at Morgan Stanley (previously Fitch Ratings, Capital One).
  19. Jeff Heath (co-advisor Wolfgang Jank), currently on faculty at Centre College.
  20. Colonel Scott Nestler (co-advisor Dilip Madan), currently at Accenture (previously on faculty of U.S. Military Academy at West Point, Naval Postgraduate School, U.S. Army War College, Notre Dame Mendoza Business School).
  21. Colonel Andrew Hall, currently on faculty at Marymount University (previously on faculty of U.S. Military Academy at West Point, and served on Pentagon Joint Staff).
  22. Enlu Zhou (co-advisor Steve Marcus), currently on faculty at Georgia Tech (previously University of Illinois).
  23. Matthew Reindorp (previously faculty member at Technical University of Eindhoven).
  24. Lingyan Cao (co-advisor Dilip Madan), currently at Fannie Mae (previously IMF).
  25. Yongqiang Wang (co-advisor Steve Marcus), currently at Amazon (previously at Campbell and Company).
  26. Huashuai Qu (co-advisor Ilya Ryzhov), currently at Netflix (previously Google).
  27. Marie Chau, currently at Johns Hopkins Applied Physics Laboratory (previously Assistant Professor in the Department of Statistical Sciences and Operations Research at Virginia Commonwealth University).
  28. Cheng Jie, currently at Walmart Labs.
  29. Guowei Sun, currently at Facebook.
  30. Yunchuan Li, currently at Facebook.

Postdoctoral Fellows supervised (all jointly with Steve Marcus)

MS students (w/thesis) graduated

  1. Murali Narayanaswamy (MSSE, co-advisor Jeffrey Herrmann).
  2. Praveen Mellacheruvu (MSSE, co-advisor Jeffrey Herrmann).
  3. Vera Osidach (MSSE), 2003.
  4. Mauricio Manterola (ECE), 2011.
  5. Aurora Bristor (AMSC, co-advisor Sean Barnes), 2013.
  6. Narryn Fisher (AMSC), 2014.
  7. Jonathan Lin (MSSE), 2017.
  8. Arturo Davila-Andino (MSSE), 2018.
  9. Aditya Shinde (MSSE), 2018.

Visiting Scholars hosted

  • Yijie Peng, 2012-2013, 2015-2016 (Fudan University), currently on faculty at Peking University.
  • Guangxin Jiang, 2013-2014 (Tongji University), currently on faculty at Harbin Institute of Technology (previously on faculty at Shanghai University, postdoctoral fellow at City University of Hong Kong).
  • Lei Lei, 2016-2017 (Fudan University).
  • Jennifer Guozhen Li, 2017 (Nankai University), currently on faculty at Hunan University.
  • Chunyue Song (Zhejiang University).
  • "Give a man a fish, feed him for a day; teach him how to fish, feed him for a lifetime." –Lao Tzu (Lao Tse, Laozi)
  • “Chance favors the prepared mind.” –Louis Pasteur
  • "When life hands you a lemon, make lemonade."
  • “It is not possible to wait for inspiration, and even inspiration alone is not sufficient. Work and more work is necessary. Man blessed by genius can create nothing really great, not even anything mediocre, if he does not toil as hard as a slave.” –Peter Ilyich Tchaikovsky
  • “As a well spent day brings happy sleep, so a life well used brings happy death.” -Leonardo da Vinci
  • "Success is not final, failure is not fatal: it is the courage to continue that counts." -Winston Churchill


Fu Wins Saul Gass Expository Writing Award
Maryland Smith’s Michael Fu has won the 2021 INFORMS Saul Gass Expository Writing award, becoming only the second Maryland Smith professor…
Read News Story : Fu Wins Saul Gass Expository Writing Award
Maryland Smith’s Michael Fu Works to Improve Kidney Transplants With NSF Grant
Maryland Smith’s Michael Fu received a National Science Foundation grant for research to improve kidney transplants. The project combines…
Read News Story : Maryland Smith’s Michael Fu Works to Improve Kidney Transplants With NSF Grant
18 Maryland Smith Professors Named Among Top 2% Worldwide

A study of the world’s top researchers identifies 18 from the University of Maryland’s Robert H. Smith School of Business in the top 2%…

Read News Story : 18 Maryland Smith Professors Named Among Top 2% Worldwide


How Sellers Can Better Understand Demand

A New Way To Make Better Pricing Decisions

Read the article : How Sellers Can Better Understand Demand
A Mathematically Rigorous Way To Analyze Statistics from Simulations

Research fills gap in probabilistic simulation modeling and analysis

Read the article : A Mathematically Rigorous Way To Analyze Statistics from Simulations
A New Approach to Data-driven Modeling

Research Sheds Light on Limitations of Machine Learning

Read the article : A New Approach to Data-driven Modeling


New Model Supports Better COVID-19 Planning

Predictive model shown to help medical teams make smarter decisions

Read the article : New Model Supports Better COVID-19 Planning
Summer Reading List 2020

Must-Read Recommendations from Maryland Smith's Business Experts

Read the article : Summer Reading List 2020
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