Michael Fu

Maximum Likelihood Estimation by Monte Carlo Simulation: Toward Data-Driven Stochastic Modeling

Operations Research · 2020 · 25 citations

A Simulation-Based Approach for Calibrating Stochastic Models

An Optimal Computing Budget Allocation Tree Policy for Monte Carlo Tree Search

IEEE Transactions on Automatic Control · 2021 · 24 citations

We analyze a tree search problem with an underlying Markov decision process, in which the goal is to identify the best action at the root that achieves the highest cumulative reward. We present a new tree policy that optimally allocates a limited computing budget to maximize a lower bound on the probability of correctly selecting the best action at each node. Compared to widely used upper confidence bound (UCB) tree policies, the new tree policy presents a more balanced approach to manage the ex…

Predictive Modeling for Epidemic Outbreaks: A New Approach and COVID-19 Case Study

Asia Pacific Journal of Operational Research · 2020 · 17 citations

Since the onset of the COVID-19 outbreak in Wuhan, China, numerous forecasting models have been proposed to project the trajectory of coronavirus infection cases. Most of these forecasts are based on epidemiology models that utilize deterministic differential equations and have resulted in widely varying predictions. We propose a new discrete-time Markov chain model that directly incorporates stochastic behavior and for which parameter estimation is straightforward from available data. Using suc…

Generalized likelihood ratio method for stochastic models with uniform random numbers as inputs

European Journal of Operational Research · 2024-10-09 · 9 citations

Simulation optimization of conditional value-at-risk

IISE Transactions · 2024-11-15 · 6 citations