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Gongbo Zhang, Bin Chen, Qinshan Jia, and Yijie Peng*, “Dynamic Sampling Allocation for Selecting a Good Enough Alternative”, IEEE Transactions on Automatic Control, accepted.
Haidong Li, Henry Lam, Yijie Peng*, “Efficient Learning for Clustering and Optimizing Context-Dependent Designs”, Operations Research, accepted.
Jiaqiao Hu, Yijie Peng*, Gongbo Zhang, Qi Zhang, “A Stochastic Approximation Method for Simulation-based Quantile Optimization”, INFORMS Journal on Computing, accepted.
Haidong Li, Yijie Peng*, Xiaoyun Xu, Bend Heidergott, and Chun-Hung Chen, `` Efficient Learning for Decomposing and Optimizing Random Networks”, Fundamental Research, 2, 487–495, 2022.
Yijie Peng, Michael Fu, Jiaqiao Hu*, Pierre L’ Ecuyer, and Bruno Tuffin, “Variance Reduction for Generalized Likelihood Ratio Method By Conditional Monte Carlo and Randomized Quasi-Monte Carlo”, Journal of Management Science and Engineering, accepted.
Bernd Heidergott, and Yijie Peng*, ``Random Horizon Gradient Estimation for Smooth Stopping Criteria”, Advances in Applied Probability, accepted.
Yijie Peng, Li Xiao*, Bernd Heidergott, Jeff Hong, and Henry Lam, ``A New Likelihood Ratio Method for Training Artificial Neural Network”, INFORMS journal on Computing, 34(1), 638-655, 2022.
Zhongshun Shi, Yijie Peng*, Leyuan Shi, Chun-Hung Chen, and Michael C. Fu, ``Dynamic Sampling Allocation Under Finite Budget for Feasibility Determination”, INFORMS Journal on Computing, 34(1), 557-568, 2022.
Peter W. Glynn, Yijie Peng*, Michael C. Fu, and Jian-Qiang Hu, ``Computing Sensitivity of Distortion Risk Measure”, INFORMS Journal on Computing, 33(4), 1520-1532, 2021.
Haidong Li, Xiaoyun Xu*, Yijie Peng, and Chun-Hung Chen, ``Efficient Sampling for Selecting Important Nodes in Random Network”, IEEE Transactions on Automatic Control, 66(3), 1321 – 1328, 2021.
Yijie Peng*, Chun‐Hung Chen, Michael C. Fu, Jian-Qiang Hu and Ilya O. Ryzhov, ``Efficient Sampling Allocation Procedure for Optimal Quantile Selection”, INFORMS Journal on Computing, 33(1), 230–245, 2021.
Yijie Peng*, Michael C. Fu, Bernd Heidergott, and Henry Lam ``Maximum Likelihood Estimation by Monte Carlo Simulation: Towards Data-Driven Stochastic Modeling”, Operations Research, 68(6), 1896–1912, 2020.
Zhenyu, Cui, Michael C. Fu, Yijie Peng, Lingjiong Zhu*, ``Optimal Unbiased Estimation for Expected Cumulative Discounted Cost”, European Journal of Operations Research, 286 (2), 604-618, 2020.
Yijie Peng, Jie Song*, Jie Xu, and Edwin K. P. Chong, `` Stochastic Control Framework for Determining Feasible Alternatives in Sampling Allocation”, IEEE Transactions on Automatic Control, 65(6), 2647 - 2653, 2020.
{C}Peter W. Glynn, Lin Fan, Michael C. Fu, Jian-Qiang Hu, and Yijie Peng*, ``Technical Note: Central Limit Theorems for Estimated Functions at Estimated Points”, Operations Research, 68(5), 1557-1563, 2020.
{C}Zhenyu Cui, Michael C. Fu, Jian-Qiang Hu, Yanchu Liu, Yijie Peng*, and Lingjiong Zhu, ``On the Variance Property of Single-Run Unbiased Stochastic Derivative Estimators”, INFORMS Journal on Computing, 32 (2), 390-407, 2020.
Joost Berkhout, Bernd Heidergott*, Henry Lam, and Yijie Peng, `` From Data to Stochastic Modeling and Decision Making: What Can We Do Better?”, Asia-Pacific Journal of Operational Research, 36(6), 1940012, 2019.
Yijie Peng, Edward Huang, Jie Xu, Zhongshun Shi*, and Chun-Hung Chen, ``A Coordinate Optimization Approach for Concurrent Design”, IEEE Transactions on Automatic Control, 64 (7), 2913-2920, 2019.
Yijie Peng*, Jie Xu, Loo-Hay Lee, Jian-Qiang Hu, and Chun-Hung Chen, ``Efficient Simulation Sampling Allocation Using Multifidelity Models”, IEEE Transactions on Automatic Control, 64 (8), 3156-3169, 2019.
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.
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.
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. (INFORMS Simulation Society Outstanding Simulation Publication Award)
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.
Yijie Peng* and Michael C. Fu, ``Myopic Allocation Policy with Asymptotically Optimal Sampling Rate”, IEEE Transactions on Automatic Control, 62 (4), 2041-2047, 2017.
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.
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.
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.
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
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协会成员：INFORMS、IEEE 会员，中国运筹协会会员，中国运筹协会金融工程 与风险控制分会常务理事 期刊与会议编辑：Asia-Pacific Journal of Operational Research 副主编，IEEE Control Systems Society 会议编委（CEB） 同行评议学术杂志审稿人：Operations Research, IEEE Transactions on Automatic Control, INFORMS Journal on Computing, Mathematics of Operations Research, Naval Research Logistics, Stochastic Systems, ACM Transactions on Modeling and Computer Simulation, Transportation Research Part E, IEEE Transactions on Automation Science and Engineering, Frontier of Engineering Management, Journal of Systems Science and Systems Engineering, 管理工程学报，Journal of Discrete Event Dynamic Systems, Journal of Simulation, Asia-Pacific Journal of Operational Research, International Journal of Production Research, Simulation Modelling Practice and Theory, IEEE Transactions on Information Forensics & Security 大会组委会成员: PC member of Winter Simulation Conference (2018, 2019),
International committee member of International Conference on Service Systems and Service Management (2019), organizing committee member of IEEE Conference on Automation Science and Engineering (2020) and INFORMS annual meeting (2020).
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