L. Jeff Hong, Ph.D.
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Journal Papers

  • Weiwei Fan, L. Jeff Hong, Xiaowei Zhang. Robust selection of the best. Management Science, forthcoming. PDF

  • Haihui Shen, L. Jeff Hong, Xiaowei Zhang (2018). Enhancing stochastic kriging for queueing simulation with stylized models. IISE Transactions, 50, 943–958. PDF

  • Jin Fang, L. Jeff Hong (2018). A simulation-based estimation method for bias reduction. IISE Transactions, 50, 14–26. PDF

  • L. Jeff Hong, Guangxin Jiang (2017). Gradient and Hessian of joint probability functions with applications to chance constrained programs. Journal of Operations Research Society of China, 5, 431–455. PDF

  • L. Jeff Hong, Sandeep Juneja, Guangwu Liu (2017). Kernel smoothing for nested simulation with application to portfolio risk measurement.. Operations Research, 65, 657–673. PDF

  • Weiwei Fan, L. Jeff Hong, Barry L. Nelson (2016). Indifference-zone-free selection of the best. Operations Research, 64, 1499–1514. PDF CODE

  • Jun Luo, L. Jeff Hong, Barry L. Nelson, Yang Wu (2015). Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environments. Operations Research, 63, 1177–1194. PDF

  • L. Jeff Hong, Xiaowei Xu, Sheng Hao Zhang (2015). Capacity reservation for time-sensitive service providers: A application in seaport management. European Journal of Operational Research, 245, 470–479. PDF

  • L. Jeff Hong, Jun Luo, Barry L. Nelson (2015). Chance constrained selection of the best. INFORMS Journal on Computing, 27, 317–334. PDF

  • Lihua Sun, L. Jeff Hong, Zhaolin Hu (2014). Balancing exploitation and exploration in discrete optimization via simulation through a Gaussian process-based search. Operations Research, 62, 1416–1438. PDF

  • L. Jeff Hong, Sandeep Juneja, Jun Luo (2014). Estimating sensitivities of portfolio credit risk using Monte Carlo. INFORMS Journal on Computing, 26, 848–865. PDF

  • L. Jeff Hong, Zhaolin Hu, Guangwu Liu (2014). Monte Carlo methods for value-at-risk and conditional value-at-risk: A review. ACM Transactions on Modeling and Computer Simulation, 24, Article 22. PDF

  • L. Jeff Hong, Zhaolin Hu, Liwei Zhang (2014). Conditional value-at-risk approximation to value-at-risk constrained programs: A remedy via Monte Carlo. INFORMS Journal on Computing, 26, 385–400. PDF

  • Zhaolin Hu, L. Jeff Hong, Liwei Zhang (2013). Smoothed sample-average approximation to joint chance constrained programs. IIE Transactions, 45, 716–735. PDF

  • Kuo-Hao Chang, L. Jeff Hong, Hong Wan (2013). Stochastic trust-region response-surface method (STRONG) – A new response surface framework for simulation optimization. INFORMS Journal on Computing, 25, 230–243. PDF

  • Jie Xu, Barry L. Nelson, L. Jeff Hong (2013). An adaptive hyperbox algorithm for high-dimensional discrete optimization via simulation problems. INFORMS Journal on Computing, 25, 133–146. PDF

  • Zhaolin Hu, Jing Cao, L. Jeff Hong (2012). Robust simulation of global warming policies using the DICE model. Management Science, 58, 2190–2206. PDF

  • Jie Zhang, L. Jeff Hong, Rachel Q. Zhang (2012). Fighting strategies in a market with counterfeits. Annals of Operations Research, 192, 49–66. PDF

  • L. Jeff Hong, Yi Yang, Liwei Zhang (2011). Sequential convex approximations to joint chance constrained programs: A Monte Carlo approach. Operations Research, 59, 617–630. PDF

  • Guangwu Liu, L. Jeff Hong (2011). Kernel estimation of the Greeks of financial options. Operations Research, 59, 96–108. PDF

  • L. Jeff Hong, Barry L. Nelson, Jie Xu (2010). Speeding up COMPASS for high-dimensional discrete optimization via simulation. Operations Research Letters, 38, 550–555. PDF

  • Lihua Sun, L. Jeff Hong (2010). Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk. Operations Research Letters, 38, 246–251. PDF

  • L. Jeff Hong, Guangwu Liu (2010). Pathwise estimation of probability sensitivities through terminating and steady-state simulations. Operations Research, 58, 357–370. PDF

  • Jie Xu, Barry L. Nelson, L. Jeff Hong (2010). Industrial Strength COMPASS: A comprehensive algorithm and software for optimization via simulation. ACM Transactions on Modeling and Computer Simulation, 20, Article 3. PDF

  • Michael C. Fu, L. Jeff Hong, Jian-Qiang Hu (2009). Conditional Monte Carlo estimation of quantile sensitivities. Management Science, 55, 2019–2027. PDF

  • Guangwu Liu, L. Jeff Hong (2009). Revisit of stochastic mesh method for pricing American options. Operations Research Letters, 37, 411–414. PDF

  • Guangwu Liu, L. Jeff Hong (2009). Kernel estimation of quantile sensitivities. Naval Research Logistics, 56, 511–525. PDF

  • L. Jeff Hong, Guangwu Liu (2009). Simulating sensitivities of conditional value-at-risk. Management Science, 55, 281–293. PDF

  • L. Jeff Hong (2009). Estimating quantile sensitivities. Operations Research, 57, 118–130. PDF

  • L. Jeff Hong, Barry L. Nelson (2007). Selecting the best system when systems are revealed sequentially. IIE Transactions, 39, 723–734. PDF

  • L. Jeff Hong, Barry L. Nelson (2007). A framework of locally convergent random search algorithms for discrete optimization via simulation. ACM Transactions on Modeling and Computer Simulation, 17, Article 19. PDF

  • L. Jeff Hong (2006). Fully sequential indifference-zone selection procedures with variance dependent sampling. Naval Research Logistics, 53, 464–476. PDF

  • L. Jeff Hong, Barry L. Nelson (2006). Discrete optimization via simulation using COMPASS. Operations Research, 54, 115–129. PDF

  • Juta Pichitlamken, Barry L. Nelson, L. Jeff Hong (2006). A sequential procedure for neighborhood selection-of-the-best in optimization via simulation European Journal of Operational Research, 173, 285–298. PDF

  • L. Jeff Hong, Barry L. Nelson (2005). The tradeoff between sampling and switching: New sequential procedures for indifference-zone selection. IIE Transactions, 37, 623–634. PDF

Technical Reports

  • Zhaolin Hu, L. Jeff Hong, Anthony So (2013). Ambiguous Probabilistic programs, technical report. PDF

  • Zhaolin Hu, L. Jeff Hong (2013). Kullback-Leibler divergence constrained distributionally robust optimizations, technical report. PDF

Conference Papers

  • Ying Zhong, L. Jeff Hong (2017). A new framework of designing sequential ranking-and-selection procedures. Proceedings of the 2017 Winter Simulation Conference, 643–654. PDF

  • Haihui Shen, L. Jeff Hong, Xiaowei Zhang (2017). Ranking and selection with covariates. Proceedings of the 2017 Winter Simulation Conference, 2137–2148. PDF

  • L. Jeff Hong, Zhiyuan Huang, Henry Lam (2016). Approximating data-driving joint chance constrained programs via uncertainty set construction. Proceedings of the 2016 Winter Simulation Conference, 389–400. PDF

  • Guangxin Jiang, L. Jeff Hong, Barry L. Nelson (2016). A simulation analytics approach to dynamic risk monitoring. Proceedings of the 2016 Winter Simulation Conference, 437–447. PDF

  • L. Jeff Hong, Jun Luo, Ying Zhong (2016). Speeding up pairwise comparisons for large scale ranking and selection. Proceedings of the 2016 Winter Simulation Conference, 749–757. PDF

  • Zhaolin Hu, L. Jeff Hong (2015). Robust simulation of stochastic systems with input uncertainties modeled by statistical divergences. Proceedings of the 2015 Winter Simulation Conference, 643–654. PDF

  • Eunhye Song, Barry L. Nelson, L. Jeff Hong (2015). Input uncertainty and indifference-zone ranking and selection. Proceedings of the 2015 Winter Simulation Conference, 414–424. PDF

  • L. Jeff Hong, Henry Lam (2015). A statistical perspective on linear programs with uncertain parameters. Proceedings of the 2015 Winter Simulation Conference, 3690–3701. PDF

  • Weiwei Fan, L. Jeff Hong (2014). A frequentist selection-of-the-best procedure without indifference zone. Proceedings of the 2014 Winter Simulation Conference, 3737–3748. PDF

  • Xiaowei Zhang, L. Jeff Hong, Jiheng Zhang (2014). Scaling and modeling of call center arrivals. Proceedings of the 2014 Winter Simulation Conference, 476–485. PDF

  • Weiwei Fan, L. Jeff Hong, Xiaowei Zhang (2013). Robust selection of the best. Proceedings of the 2013 Winter Simulation Conference, 868–876. PDF

  • Jin Fang, L. Jeff Hong (2013). Linking statistical estimation and decision making through simulation. Proceedings of the 2013 Winter Simulation Conference, 766–777. PDF

  • L. Jeff Hong, Guangwu Liu (2011). Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. Proceedings of the 2011 Winter Simulation Conference, 95–107. (invited advanced tutorial talk) PDF

  • Jun Luo, L. Jeff Hong (2011). Large-scale ranking and selection using cloud computing. Proceedings of the 2011 Winter Simulation Conference, 4051–4061. PDF

  • Lihua Sun, L. Jeff Hong, Zhaolin Hu (2011). Optimization via simulation using Gaussian process-based search. Proceedings of the 2011 Winter Simulation Conference, 4139–4150. PDF

  • Zhaolin Hu, Jing Cao, L. Jeff Hong (2010). Robust simulation of environmental policies using the DICE model. Proceedings of the 2010 Winter Simulation Conference, 1295–1305. PDF

  • L. Jeff Hong, Barry L.Nelson (2009). A brief introduction to optimization via simulation. Proceedings of the 2009 Winter Simulation Conference, 75–85. (invited introductory tutorial talk) PDF

  • L. Jeff Hong, Sandeep Juneja (2009). Estimating expectations of nonlinear functions. Proceedings of the 2009 Winter Simulation Conference, 1223–1236. PDF

  • Lihua Sun, L. Jeff Hong (2009). A general framework of importance sampling for value-at-risk and conditional value-at-risk. Proceedings of the 2009 Winter Simulation Conference, 415–422. PDF

  • Guangwu Liu, L. Jeff Hong (2008). Revisit of stochastic mesh method for pricing American options. Proceedings of the 2008 Winter Simulation Conference, 594–601. PDF

  • Guangwu Liu, L. Jeff Hong (2007). Kernel estimation of quantile sensitivity. Proceedings of the 2007 Winter Simulation Conference, 941–948. PDF

  • Nan Chen, L. Jeff Hong (2007). Monte-Carlo method in financial engineering. Proceedings of the 2007 Winter Simulation Conference, 919–931. (invited advanced tutorial talk) PDF

  • Kuo-Hao Chang, L. Jeff Hong (2007). Stochastic trust region gradient-free method: A new response-surface-based algorithm for simulation optimization. Proceedings of the 2007 Winter Simulation Conference, 346–354. PDF

  • L. Jeff Hong (2005). Discrete optimization via simulation using coordinate search. Proceedings of the 2005 Winter Simulation Conference, 803–810. PDF

  • L. Jeff Hong, Barry L. Nelson (2003). An indifference-zone selection procedure with minimum switching and sequential sampling. Proceedings of the 2003 Winter Simulation Conference, 474–480. PDF

  • Hong, L. J., B. C. Shultes, and S. Anand (2001). Robust evaluation of flatness and straightness tolerance using simulated annealing. Transactions of NAMRI/SME, 29, 553–560.