2010.09-2014.07 Ph.D. School of Management, Major: Operations Research, Fudan University, Shanghai, China
2008.09-2010.07 M.S. School of Mathematics, Fudan University, Shanghai, China
2003.09-2007.07 B.S. School of Mathematics, Wuhan University, Wuhan, China
My research interest mainly lies on how to efficiently combine two most successful paradigms in Operations Research: simulation and optimization. One of my research area is ranking and selection (R&S) which is to intelligently allocate simulation resource among different competing alternatives to efficiently select the best alternative. R&S has been successfully applied to manufacturing, logistics management, and health care. Recently, I have proposed a stochastic control framework for R&S, and published several papers in IEEE Transactions on Automatic Control and INFORMS Journal on Computing.
Another area of my research is sensitivity analysis which aims to estimate the derivative of the expectation of the sample performance for complex stochastic models. Sensitivity analysis has been widely used in gradient-based optimization, financial engineering, and risk management. Recently, I have proposed a generalized likelihood ratio (GLR) method that can systematically handle a large scope of discontinuous sample performance, and published several papers in Operations Research, Journal of Discrete Event Dynamic Systems, and Quantitative Finance.
Selected Recent Publications
1. Yijie Peng, Michael C. Fu, Jian-Qiang Hu and Bernd Heidergott, ``A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters”, Operations Research, accepted.
2. Yijie Peng and Michael C. Fu, ``Myopic Allocation Policy with Asymptotically Optimal Sampling Rate”, IEEE Transaction on Automatic Control, 62(4), 2041-2047, 2017.
3. Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Gradient?Based Simulated Maximum Likelihood Estimation on Stochastic Volatility Models Using Characteristic Functions”, Quantitative Finance, 16 (9), 1393-1411, 2016.
4. Yijie Peng, Chun?Hung Chen, Michael C. Fu and J.Q. Hu, ``Dynamic Sampling Allocation and Design Selection’’, INFORMS Journal on Computing, 28 (2), 195-208, 2016.
5. Yijie Peng, Chun?Hung Chen, Michael C. Fu and J.Q. Hu, ``Efficient Simulation Resource Sharing and Allocation for Selecting the Best’’, IEEE Transactions on Automatic Control, 58 (4), 1017 – 1023, 2013.