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Hong Liu

Professor/Department Chair
Department of Management Science
Room 530, Siyuan Building
25011159(TEL)
65642412(FAX)
hong_liu@fudan.edu.cn
Research Field:Modeling & Optimization of Stochastic Simulation, Financial Engineering & Risk Management, Business Analytics


Educational Background
Ph.D, Industrial Engineering & Management Science, Northwestern University, USA
Master, Applied Mathematics, University of Cincinnati, USA
Bachelor, Automobile Engineering, Tsinghua University


Journal Papers
1. L. Jeff Hong, Chenghuai Li, and Jun Luo2020Technical note: Finite‐time regret analysis of Kiefer‐Wolfowitz stochastic approximation algorithm and nonparametric multi‐product dynamic pricing with unknown demandNaval Research Logistics 67(5) 368-379 
2. Guangxin Jiang, L. Jeff Hong, and Barry L. Nelson2020Online risk monitoring using offline simulationINFORMS Journal on Computing 32(2) 356-375 
3. L. Jeff Hong and Guangxin Jiang2019Offline simulation online application: A new framework of simulation-based decision makingAsia-Pacific Journal of Operational Research 36(6) 1-22 
4. Xin Yun L. Jeff Hong, Guangxin Jiang, Shouyang Wang2019On gamma estimation via matrix krigingNaval Research Logistics 66(5) 393-410 
5. Weiwei Fan, L. Jeff Hong, and Xiaowei Zhang2019Distributionally robust selection of the bestManagement Science 66(1) 190-208 
6. Haihui Shen, L. Jeff Hong, and Xiaowei Zhang2018Enhancing stochastic kriging for queueing simulation with stylized modelsIISE Transactions 50(11) 943–958 
7. Fang Jin and L. Jeff Hong2017A simulation-based estimation method for bias reductionIISE Transactions 50(1) 14-26 
8. L. Jeff Hong, Sandeep Juneja, and Guangwu Liu2017Kernel smoothing for nested estimation with application to portfolio risk measurementOperations Research 65(3) 657–673 
9. L. Jeff Hong and Guang-Xin Jiang2017Gradient and Hessian of Joint Probability Function with Applications on Chance-Constrained ProgramsJournal of the Operations Research Society of China 5(4) 431-455 
10. Weiwei Fan, L. Jeff Hong, and Barry L. Nelson2016Indifference-zone-free selection of the bestOperations Research 64(6) 1499-1514 
11. Jun Luo, L. Jeff Hong, Barry L. Nelson, and Yang Wu2015Fully sequential procedures for large-scale ranking-and-selection problems in parallel computing environmentsOperations Research 63(5) 1177-1194 
12. L. Jeff Hong, Xiaowei Xu, and Sheng Hao Zhang2015Capacity reservation for time-sensitive service providers: An application in seaport managementEuropean Journal of Operational Research 245(2) 470-479 
13. L. Jeff Hong, Jun Luo, and Barry L. Nelson2015Chance constrained selection of the bestINFORMS Journal on Computing 27(2) 317-334 
14. Lihua Sun, L. Jeff Hong, and Zhaolin Hu2014Balancing exploitation and exploration in discrete optimization via simulation through a gaussian process-based searchOperations Research 62(6) 1416-1438 
15. L. Jeff Hong, Sandeep Juneja, and Jun Luo2014Estimating sensitivities of portfolio credit risk using Monte CarloINFORMS Journal on Computing 26(4) 645-914 
16. L. Jeff Hong, Zhaolin Hu, and Guangwu Liu2014Monte Carlo methods for value-at-risk and conditional value-at-risk: A reviewACM Transactions on Modeling and Computer Simulation 24(4) 22:1-37 
17. L. Jeff Hong, Zhaolin Hu, and Liwei Zhang2014Conditional value-at-risk approximation to value-at-risk constrained programs : A remedy via Monte CarloINFORMS Journal on Computing 26(2) 385-400 
18. Jie Xu, Barry L. Nelson, and L. Jeff Hong2013An adaptive hyperbox algorithm for high-dimensional discrete optimization via simulation problemsINFORMS Journal on Computing 25(1) 133-146 
19. Zhaolin Hu, L. Jeff Hong, and Liwei Zhang2013A smooth Monte Carlo approach to joint chance-constrained programsIIE Transactions 45(7) 716-735 
20. Kuo-Hao Chang, L. Jeff Hong, and Hong Wan2013Stochastic trust-region response-surface method (STRONG) - A new response-surface framework for simulation optimizationINFORMS Journal on Computing 25(2) 230-243 
21. Zhaolin Hu, Jing Cao, and L. Jeff Hong2012Robust simulation of global warming policies using the DICE modelManagement Science 58(12) 2190-2206 
22. Jie Zhang, L.Jeff Hong, and Rachel Q. Zhang2012Fighting strategies in a market with counterfeitsAnnals of Operations Research 192(1) 49-66 
23. L. Jeff Hong, Yi Yang, and Liwei Zhang2011Sequential convex approximations to joint chance constrained programs: A Monte Carlo approachOperations Research 59(3) 617-630 
24. Guangwu Liu and L. Jeff Hong2011Kernel estimation of the Greeks for options with discontinuous payoffsOperations Research 59(1) 96-108 
25. L. Jeff Hong, Barry L. Nelson, and Jie Xu2010Speeding up COMPASS for high-dimensional discrete optimization via simulationOperations Research Letters 38(6) 550-555 
26. Lihua Sun and L. Jeff Hong2010Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-riskOperations Research Letters 38(4) 246-251 
27. L. Jeff Hong and Guangwu Liu2010Pathwise estimation of probability sensitivities through terminating or steady-state simulationsOperations Research 58(2) 357-370 
28. Jie Xu, Barry L Nelson, and L. Jeff Hong2010Industrial strength compass: a comprehensive algorithm and software for optimization via simulationACM Transactions on Modeling and Computer Simulation 20(1) 3:1-29 
29. Michael C. Fu, L. Jeff Hong, and Jian-Qiang Hu2009Conditional Monte Carlo estimation of quantile sensitivitiesManagement Science 55(12) 2019-2027 
30. Guangwu Liu and L. Jeff Hong2009Revisit of stochastic mesh method for pricing American optionsOperations Research Letters 37(6) 411-414 
31. Guangwu Liu and Liu Jeff Hong2009Kernel estimation of quantile sensitivitiesNaval Research Logistics 56(6) 511-525 
32. L. Jeff Hong and Guangwu Liu2009Simulating sensitivities of conditional value at riskManagement Science 55(2) 281-293 
33. L. Jeff Hong2009Estimating quantile sensitivitiesOperations Research 57(1) 118-130 
34. L. Jeff Hong and Barry L. Nelson2007A framework for locally convergent random-search algorithms for discrete optimization via simulationACM Transactions on Modeling and Computer Simulation 17(4) 1-22 
35. L. Jeff Hong and Barry L. Nelson2007Selecting the best system when systems are revealed sequentiallyIIE Transactions 39(7) 723-734 
36. Juta Pichitlamken, Barry L. Nelson, and L. Jeff Hong2006A sequential procedure for neighborhood selection-of-the-best in optimization via simulationEuropean Journal of Operational Research 173(1) 283-298 
37. L. Jeff Hong2006Fully sequential indifference-zone selection procedures with variance-dependent samplingNaval Research Logistics 53(5) 464-476 
38. L. Jeff Hong and Barry L. Nelson2006Discrete optimization via simulation using COMPASSOperations Research 54(1) 115-129 
39. L. Jeff Hong and Barry L. Nelson2005The tradeoff between sampling and switching: New sequential procedures for indifference-zone selectionIIE Transactions 37(7) 623-634 


Conference Proceedings
1. Haihui Shen, L. Jeff Hong, and Xiaowei Zhang2017Ranking and selection with covariatesProceedings of the 2017 Winter Simulation Conference Las Vegas, USA 2137-2148 
2. Ying Zhong and L. Jeff Hong2017A new framework of designing sequential ranking-and-selection proceduresProceedings of the 2017 Winter Simulation Conference Las Vegas, USA 2237-2244 
3. L. Jeff Hong, Zhiyuan Huang, and Henry Lam2017Approximating data-driven joint chance-constrained programs via uncertainty set constructionProceedings of the 2016 Winter Simulation Conference Arlington, USA 389-400 
4. L. Jeff Hong, Jun Luo, and Ying Zhong2016Speeding up pairwise comparisons for large scale ranking and selectionProceedings of the 2016 Winter Simulation Conference Arlington, USA 749-757 
5. Guangxin Jiang, L. Jeff Hong, and Barry L. Nelson2016A simulation analytics approach to dynamic risk monitoringProceedings of the 2016 Winter Simulation Conference Arlington, USA 437-447 
6. L. Jeff Hong and Henry Lam2015A statistical perspective on linear programs with uncertain parametersProceedings of the 2015 Winter Simulation Conference Huntington Beach, USA 3690-3701 
7. Eunhye Song, Barry L. Nelson, and L. Jeff Hong2015Input uncertainty and indifference-zone ranking and selectionProceedings of the 2015 Winter Simulation Conference Huntington Beach, USA 414-424 
8. Zhaolin Hu and L. Jeff Hong2015Robust simulation of stochastic systems with input uncertainties modeled by statistical divergencesProceedings of the 2015 Winter Simulation Conference Huntington Beach, USA 643-654 
9. Weiwei Fan and L. Jeff Hong2015A frequentist selection-of-the-best procedure without indifference zoneProceedings of the 2014 Winter Simulation Conference Savannah, USA 3737-3748 
10. Xiaowei Zhang, L. Jeff Hong, and Jiheng Zhang2014Scaling and modeling of call center arrivalsProceedings of the 2014 Winter Simulation Conference Savannah, USA 476-485 
11. Jin Fang and L. Jeff Hong2013Linking statistical estimation and decision making through simulationProceedings of the 2013 Winter Simulation Conference Washington, USA 766-777 
12. Weiwei Fan, L. Jeff Hong, and Xiaowei Zhang2013Robust selection of the bestProceedings of the 2013 Winter Simulation Conference Washington, USA 868-876 
13. Jun Luo and L. Jeff Hong2011Large-scale ranking and selection using cloud computingProceedings - Winter Simulation Conference Phoenix, USA 4051-4061 
14. L. Jeff Hong and Guangwu Liu2011Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivitiesProceedings of the 2011 Winter Simulation Conference Phoenix, USA 95-107 
15. Lihua Sun, L. Jeff Hong, and Zhaolin Hu2011Optimization via simulation using Gaussian process-based searchProceedings of the 2011 Winter Simulation Conference Phoenix, USA 4139-4150 
16. Zhaolin Hu, Jing Cao, and L. Jeff Hong2010Robust simulation of environmental policies using the dice modelProceedings of the 2010 Winter Simulation Conference  1295-1305 
17. L. Jeff Hong and Barry L. Nelson2009A brief introduction to optimization via simulationProceedings of the 2009 Winter Simulation Conference Austin, USA 75-85 
18. Lihua Sun and L. Jeff Hong2009A general framework of importance sampling for value-at-risk and conditional value-at-riskProceedings of the 2009 Winter Simulation Conference Austin, USA 415-422 
19. L. Jeff Hong and Sandeep Juneja2009Estimating the mean of a non-linear function of conditional expectationProceedings of the 2009 Winter Simulation Conference Austin, USA 1223-1236 
20. Guangwu Liu and L. Jeff Hong2008Revisit of stochastic mesh method for pricing American optionsProceedings of the 2008 Winter Simulation Conference Miami, USA 594-601 
21. Nan Chen and L. Jeff Hong2007Monte-Carlo simulation in financial engineeringProceedings of the 2007 Winter Simulation Conference Washington, USA 919-931 
22. Kuo-Hao Chang, L. Jeff Hong, and Hong Wan2007Stochastic trust region gradient-free method (strong) - A new response-surface-based algorithm in simulation optimizationProceedings of the 2007 Winter Simulation Conference Washington, USA 346-354 
23. L. Jeff Hong2005Discrete optimization via simulation using coordinate searchProceedings of the 2005 Winter Simulation Conference Orlando, USA 803-810 
24. L. Jeff Hong and Barry L. Nelson2003An indifference-zone selection procedure with minimum switching and sequential samplingProceedings of the 2003 Winter Simulation Conference New Orleans, USA 474-480 


Academic Posts
2018.01—, Simulation Area Editor, Operations Research
2018.01—, Associate Editor, Management Science
2018.01—, Vice-President/President-Elect, INFORMS Simulation Society
2017.01—2020.12, Member of the 10th Council, The Operations Research Society of China
2008.01—2017.12, Area Editor, Operations Research
2007.01—, Associate Editor, ACM Transactions on Modeling and Computer Simulation



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