2007 - Fellow of the Institute for Operations Research and the Management Sciences (INFORMS)
Mathematical optimization, Stochastic approximation, Markov decision process, Management science and Simulation software are his primary areas of study. His Mathematical optimization research is multidisciplinary, incorporating perspectives in Monte Carlo method, Monte Carlo methods for option pricing, Simultaneous perturbation stochastic approximation and Sensitivity. His Stochastic approximation study combines topics from a wide range of disciplines, such as Stochastic control, Simulation, Stochastic optimization and Applied mathematics.
His studies in Markov decision process integrate themes in fields like Sampling, Adaptive sampling, Curse of dimensionality and Operations research. The study incorporates disciplines such as Simulation optimization, Layered queueing network, Industrial engineering and Computer-aided engineering in addition to Management science. His Commercial software research extends to Simulation software, which is thematically connected.
His primary scientific interests are in Mathematical optimization, Estimator, Applied mathematics, Stochastic approximation and Markov decision process. His study in Mathematical optimization is interdisciplinary in nature, drawing from both Sampling, Monte Carlo method and Markov process. His Estimator research integrates issues from Queueing theory, Quantile, Econometrics and Sensitivity.
His research links Random variable with Applied mathematics. His work carried out in the field of Stochastic approximation brings together such families of science as Stochastic process and Simultaneous perturbation stochastic approximation. In his work, Adaptive sampling is strongly intertwined with Algorithm, which is a subfield of Markov decision process.
Michael C. Fu mainly investigates Mathematical optimization, Applied mathematics, Estimator, Monte Carlo method and Surgery. Michael C. Fu works on Mathematical optimization which deals in particular with Approximation algorithm. His Approximation algorithm study combines topics in areas such as Stochastic approximation, Dynamic programming, Stochastic control, Stochastic optimization and Function approximation.
The concepts of his Estimator study are interwoven with issues in Distribution, Quantile, Truncation and Sensitivity. His research in Monte Carlo method intersects with topics in Artificial neural network, Artificial intelligence, Stochastic process and Probability distribution. Michael C. Fu interconnects Decision tree and Markov decision process in the investigation of issues within Artificial neural network.
His primary areas of study are Mathematical optimization, Applied mathematics, Estimator, Ranking and Selection. His Mathematical optimization research focuses on Approximation algorithm in particular. His research investigates the connection between Applied mathematics and topics such as Derivative that intersect with issues in Conditional expectation, Finite difference algorithm, Numerical differentiation, Logarithm and Finite difference.
His Estimator research incorporates themes from Distribution and Quantile. His Sampling research includes elements of Tree, Monte Carlo tree search, Markov decision process and Search problem. His Cumulative prospect theory research includes themes of Stochastic process, Simultaneous perturbation stochastic approximation, Probabilistic logic and Stochastic optimization.
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Optimization for Simulation: Theory vs. Practice
Michael C. Fu.
(2002)
Feature Article: Optimization for simulation: Theory vs. Practice
Michael C. Fu.
Informs Journal on Computing (2002)
OPTIMIZATION VIA SIMULATION: A REVIEW
Michael C. Fu.
Annals of Operations Research (1994)
Simulation optimization: a review, new developments, and applications
Michael C. Fu;Fred W. Glover;Jay April.
winter simulation conference (2005)
Simulation-Based Algorithms for Markov Decision Processes
Hyeong Soo Chang;Jiaqiao Hu;Michael C. Fu;Steven I. Marcus.
(2008)
ACM Transactions on Modeling and Computer Simulation: Guest Editorial
Michael Fu;Barry Nelson.
ACM Transactions on Modeling and Computer Simulation (2003)
Pricing Continuous Asian Options: A Comparison of Monte Carlo and Laplace Transform Inversion Methods
Michael C. Fu;Dilip B. Madan;Tong Wang;Robert H. Smith.
Journal of Computational Finance (1998)
Efficient Simulation Budget Allocation for Selecting an Optimal Subset
Chun-Hung Chen;Donghai He;Michael C. Fu;Loo Hay Lee.
Informs Journal on Computing (2008)
Models for multi-echelon repairable item inventory systems with limited repair capacity
Angel Díaz;Michael C. Fu.
European Journal of Operational Research (1997)
Pricing American Options: A Comparison of Monte Carlo Simulation Approaches ⁄
Michael C. Fu;Scott B. Laprise;Dilip B. Madan;Yi Su.
Journal of Computational Finance (2001)
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