Fu Michael C.

Michael C. Fu

Information about the author Michael C. Fu will soon be added to the site.
Found 25 papers in total
A model reference adaptive search method for global optimization
A model reference adaptive search method for global optimization
2007
Model reference adaptive search (MRAS) for solving global optimization problems works...
Pricing American-style derivatives with European call options
Pricing American-style derivatives with European call options
2006
We present a new approach to pricing American-style derivatives that is applicable to...
An adaptive sampling algorithm for solving Markov decision processes
An adaptive sampling algorithm for solving Markov decision processes
2005
Based on recent results for multiarmed bandit problems, we propose an adaptive...
Optimal joint preventive maintenance and production policies
Optimal joint preventive maintenance and production policies
2005
We study joint preventive maintenance (PM) and production policies for an unreliable...
Estimating customer service in a two-location continuous review inventory model with emergency transshipments
Estimating customer service in a two-location continuous review inventory model with emergency transshipments
2003
In this paper, an approximate analytical two-location inventory transshipment model is...
Probabilistic error bounds for simulation quantile estimators
Probabilistic error bounds for simulation quantile estimators
2003
Quantile estimation has become increasingly important, particularly in the financial...
Optimization for simulation: Theory vs. Practice
Optimization for simulation: Theory vs. Practice
2002
Probably one of the most successful interfaces between operations research and...
Optimal exercise policies and simulation-based valuation for American–Asian options
Optimal exercise policies and simulation-based valuation for American–Asian options
2003
American–Asian options are average-price options that allow early exercise. In...
Two-timescale algorithms for simulation optimization of hidden Markov models
Two-timescale algorithms for simulation optimization of hidden Markov models
2001
We propose two finite difference two-timescale Simultaneous Perturbation Stochastic...
Monotone optimal policies for a transient queueing staffing problem
Monotone optimal policies for a transient queueing staffing problem
2000
We consider the problem of determining the optimal policy for staffing a queueing...
Efficient design and sensitivity analysis of control charts using Monte Carlo simulation
Efficient design and sensitivity analysis of control charts using Monte Carlo simulation
1999
The design of control charts in statistical quality control addresses the optimal...
Optimization of (s, S) inventory systems with random lead times and a service level constraint
Optimization of (s, S) inventory systems with random lead times and a service level constraint
1998
A major assumption in the analysis of ( s , S ) inventory systems with stochastic lead...
On performance potentials and conditional Monte Carlo for gradient estimation for Markov chains
On performance potentials and conditional Monte Carlo for gradient estimation for Markov chains
1999
We consider the problem of sample path-based gradient estimation for long-run...
Models for multi-echelon repairable item inventory systems with limited repair capacity
Models for multi-echelon repairable item inventory systems with limited repair capacity
1997
The dominant models for inventory control of repairable items, both in the literature...
On the relationship of capacitated production/inventory models to manufacturing flow control models
On the relationship of capacitated production/inventory models to manufacturing flow control models
1995
Characterizing and determining optimal operating policies for production/inventory...
Sample path properties of the G/D/m queue
Sample path properties of the G/D/m queue
1993
Infinitesimal perturbation analysis is a technique for estimating gradients of...
Comparison of gradient estimation techniques for queues with non-identical servers
Comparison of gradient estimation techniques for queues with non-identical servers
1995
Gradient estimation techniques for stochastic discrete-event simulation have been a...
Smoothed perturbation analysis derivative estimation for Markov chains
Smoothed perturbation analysis derivative estimation for Markov chains
1994
Using the technique of smoothed perturbation analysis, the authors consider...
Optimization via simulation: A review
Optimization via simulation: A review
1994
The paper reviews techniques for optimizing stochastic discrete-event systems via...
Sample path derivatives for (s,S) inventory systems
Sample path derivatives for (s,S) inventory systems
1994
For ( s,S) inventory systems, the paper derives sample path derivatives of performance...
Application of perturbation analysis to a class of periodic review (s,S) inventory system
Application of perturbation analysis to a class of periodic review (s,S) inventory system
1994
In this article the authors apply perturbation analysis, combined with conditional...
A simulation study of donor scheduling systems for the American Red Cross
A simulation study of donor scheduling systems for the American Red Cross
1993
The authors use computer simulation to evaluate several strategies for scheduling the...
Second derivative sample path estimators for the GI/G/m queue
Second derivative sample path estimators for the GI/G/m queue
1993
Applying the technique of smoothed perturbation analysis (SPA) to the GI/G/m queue...
Consistency of infinitesimal perturbation analysis for the GI/G/m queue
Consistency of infinitesimal perturbation analysis for the GI/G/m queue
1991
We extend the infinitesimal perturbation analysis algorithm developed for the GI/G/1...
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