仿真优化的理论与应用

71571048
2015
G0102.运筹与管理
胡建强
面上项目
教授
复旦大学
46万元
随机波动模型;风险控制;参数估计;随机最优化;仿真模拟
2016-01-01到2019-12-31
  • 中英文摘要
  • 结题摘要
  • 结题报告
  • 项目成果
  • 项目参与人
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序号 标题 类型 作者
1 Computing equilibrium prices for a capital asset pricing model with heterogeneous beliefs and margin-requirement constraints 期刊论文 Jun Tong;Jiaqiao Hu;Jianqiang Hu
2 BalancingSearch and Estimation in Random Search Based Stochastic Simulation Optimization 期刊论文 Chenbo Zhu;Jie Xu;Chun-Hung Chen;Loo Hay Lee;Jian-Qiang Hu
3 Moment estimators for parameters of Ornstein-Uhlenbeck processes driven by compound Poisson processes 期刊论文 Yanfeng Wu;Jianqiang Hu;Xinsheng Zhang
4 Dynamic Sampling Allocation and Design Selection 期刊论文 Peng Yijie;Chen Chun-Hung;Fu Michael C.;Hu Jian-Qiang
5 Managing Perishable Inventories in Retailing: Replenishment, Clearance Sales, and Segregation 期刊论文 Qing Li;Peiwen YU;Xiaoli Wu
6 On the Regularity Conditions and Applications for Generalized Likelihood Ratio Method 会议论文 Yijie Peng;Michael Fu;Jianqiang Hu
7 A Coordinate Optimization Approach for Concurrent Design 期刊论文 Yijie Peng;Edward Huang;Jie Xu;Zhongshun Shi;Chun-Hung Chen
8 Efficient Simulation Sampling Allocation Using Multi-Fidelity Models 期刊论文 Yijie Peng;Jie Xu;Loo Hay Lee;Jian-Qiang Hu;Chun-Hung Chen
9 A Computational Algorithm for Equilibrium Asset Pricing Under Heterogeneous Information and Short-Sale Constraints 期刊论文 Jun Tong;JianQiang Hu;Jiaqiao Hu
10 A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters 期刊论文 Peng Yijie;Michael Fu;Jian-Qiang Hu;B. Heidergott
11 Applications of Generalized Likelihood Ratio Method to Distribution Sensitivity and Steady-state Simulation 期刊论文 Lei Lei;Yijie Peng;Michael C. Fu;Jian-Qiang Hu
12 Gradient-based simulated maximum likelihood estimation for stochastic volatility models using characteristic functions 期刊论文 Peng Yijie;Fu Michael C.;Hu Jian-Qiang
13 Estimating Quantile Sensitivity for Financial Models with Correlations and Jump 会议论文 Yijie Peng;Michael Fu;Jian-Qiang Hu;Lei Lei
14 Shelf Life Extending Packaging, Inventory Control and Grocery Retailing 期刊论文 Li Qing;Yu Peiwen;Wu Xiaoli
15 Flight Schedule Recovery: A Simulation Based Approach 期刊论文 Derui Wang;Yanfeng Wu;Jian-Qiang Hu;MiaoMiao Liu;Peiwen Yu;Cheng Zhang;Yan Wu
16 On the Asymptotic Anlysis of Quantile Sensitivity Estimation by Monte Carlo Simulation 会议论文 Yijie Peng;Michael Fu;Peter Glynn;JianQiang Hu
17 (s,S) Inventory Systems with Correlated Demands 期刊论文 Jian-Qiang Hu;Cheng Zhang;Chenbo Zhu
18 Asynchronous Algorithms for Computing Equilibrium Prices in a Capital Asset Pricing Model 期刊论文 Jun Tong;Jian-Qiang Hu;Jianxin You
19 Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario 期刊论文 Y.J. Peng;Chun-Hung Chen;Michael C. Fu;JianQiang Hu
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