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Yijie Peng
Ph.D., Assistant Professor
Department of Industrial Engineering and Management

Education

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

 


Research Areas

  • Simulation modeling and analysis;
  • Simulation optimization and its applications;
  • Big data analytics;
  • Financial engineering and risk management;
  • Healthcare;
  • Artificial intelligence

Academic Experience
2017.09-                      Assistant Professor, Dept. of Industrial Engineering and Management, Peking University
2016.03-2017.08         Research Assistant Professor, Dept. Systems Engineering & Operations Research, George Mason University
2015.09-2016.03         Postdoctoral Scholar, R.H. Smith Business School,     University of Maryland
2014.07-2015.08         Postdoctoral Scholar, School of Management, Fudan University
2012.08-2013.08         Research Scholar, R.H. Smith Business School, University of Maryland


Honors and Awards
2017                            Outstanding Postdoctoral Scholar of Fudan University
2017                            Best Paper Award Finalists of IEEE Conference on Automation Science and Engineering
2016                            Best Paper Award of Shanghai Forum on Operations Research and Control Theory
2014                            Outstanding Ph.D. Thesis of Fudan University
2013                            National Scholarship of China


Grants
2019.01-2019.12         Efficient Simulation Optimization in New Information Technology Platform, Project for Cultivating International Exchange and Collaboration, Beijing Science Committee
2018.01-2022.12         Simulation and Optimization and its Applications in Complex Management Systems, Key Project for Cultivating International Collaboration, National Natural Science Foundation (Co-PI, 71720107003)
2016.01-2019.12         Simulation Optimization and its Applications, Regular Project, National Natural Science Foundation of China (Co-PI, 71571048)
2016.01-2017.06         Statistical Selection and its Applications, Grant of China Postdoctoral Science Foundation (PI, 2015M571495)


Journal Publications
1.    Yijie Peng, Edward Huang, Jie Xu, Zhongshun Shi, and Chun-Hung Chen, ``Concurrent Design: A Coordinate Optimization Approach”, IEEE Transactions on Automatic Control, accepted.
2.    Yijie Peng, Jie Xu, Loo-Hay Lee, Jian-Qiang Hu, and Chun-Hung Chen, ``Efficient Simulation Sampling Allocation Using Multi-Fidelity Models”, IEEE Transactions on Automatic Control, accepted.
3.    Yijie Peng, Chun-Hung Chen, Michael C. Fu, and Jian-Qiang Hu, ``Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario”, IEEE Transactions on Automatic Control, 63(9), 3091-3097, 2018.
4.    Yijie Peng, Edwin K.P. Chong, Chun-Hung Chen, and Michael C. Fu, ``Ranking and Selection as Stochastic Control”, IEEE Transactions on Automatic Control, 63 (8), 2359-2373, 2018.
5.    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, 66 (2), 487-499, 2018.
6.    Lei Lei, Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Applications of the Generalized Likelihood Ratio Method to Distribution Sensitivity and Steady-State Simulation”, Journal of Discrete Event Dynamic Systems, 28 (1), 109-125, 2018.
7.    Yijie Peng and Michael C. Fu, ``Myopic Allocation Policy with Asymptotically Optimal Sampling Rate”, IEEE Transactions on Automatic Control, 62(4), 2041-2047, 2017.
8.    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.
9.    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.
10.    Yijie Peng, Michael C. Fu and J.Q. Hu, ``Gradient‐Based Simulated Maximum Likelihood Estimation on Lévy Driven Ornstein‐Uhlenbeck Stochastic Volatility Models’’, Quantitative Finance, 14 (8), 1399-1414, 2014.
11.    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.
12.    Rachel Chen, Jianqiang Hu and Yijie Peng, ``Simulation of Lévy-driven Models and Its Application in Finance’’, Numerical Algebra, Control and Optimization, 4, 749-765, 2012.
13.    Rachel Chen, Yijie Peng, and Jianqiang Hu,``金融中的Lévy模型及其仿真’’,Operations Research Transactions,13 (1),1-9,2013.


Conference Proceedings
1.    Yijie Peng, Chun-Hung Chen, Edwin K.P. Chong, and Michael C. Fu, ``A Review of Static and Dynamic Optimization for Ranking and Selection”, Proceedings of Winter Simulation Conference, 2018.
2.    Yijie Peng, Jie Song, Jie Xu, and Edwin K. P. Chong, ``Dynamic Sampling Allocation for Feasibility Determination”, Proceedings of IEEE Conference on Automation Science and Engineering, 2018.
3.    Haidong Li, Xiaoyun Xu, Yijie Peng, and Chun-Hung Chen, `` Efficient Sampling Procedure for Selecting the Largest Stationary Probability of a Markov Chain”, Proceedings of IEEE Conference on Automation Science and Engineering, 2018.
4.    Yijie Peng, Michael C. Fu Peter W. Glynn, and Jian-Qiang Hu, ``On the Asymptotic Analysis of Quantile Sensitivity Estimation by Monte Carlo simulation”, Proceedings of Winter Simulation Conference, 2017, 2336-2347.
5.    Yijie Peng, Edward Huang, Jie Xu, and Chun-Hung Chen, ``Concurrent Engineering: An Optimization Approach for Team Coordination Through Information Sharing’’, Proceedings of IEEE Conference on Automation Science and Engineering, 2017.
6.    Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``On the Regularity Conditions and Applications for Generalized Likelihood Ratio Method”, Proceedings of Winter Simulation Conference, 2016.
7.    Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Estimating Distribution Sensitivity Using Generalized Likelihood Ratio Method”, Proceedings of IEEE International Workshop on Discrete Event Systems, 2016.
8.    Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, `` Non-Monotonicity of Probability of Correct Selection’’, Proceedings of Winter Simulation Conference, 2015.
9.    Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, ``A Dynamic Framework for Statistical Selection Problems’’, Proceedings of Winter Simulation Conference, 2013.


Teaching

  • Graduate Course: Advanced Operations Research, Applied Stochastic Models
  • Undergraduate Course: Introduction to Operational Management and Optimization

Professional Activities

  • INFORMS, IEEE member
  • Guest Editor:Asia-Pacific Journal of Operational Research
  • Reviewers for Operations Research, IEEE Transactions on Automatic Control, INFORMS Journal on Computing, Naval Research Logistics, Stochastic Systems, IEEE Transactions on Automation Science and Engineering, ACM Transactions on Modeling and Computer Simulation, IEEE Transactions on Information Forensics & Security, Journal of Simulation, Asia-Pacific Journal of Operational Research, International Journal of Production Research
  • Program Committee Member: Analysis Methodology Track of 2018 Winter Simulation Conference. Conference Session Chair: 2018 Winter Simulation Conference, 2018 IEEE Conference of Automatic Science and Engineering, 2018 INFORMS International Meeting, 2017 Financial Engineering and Risk Management Conference of Chinese Operations Research Society, 2016 Winter Simulation Conference.