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Ben Mingbin Feng
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Cited by
Cited by
Year
Complementarity formulations of l0-norm optimization problems
M Feng, JE Mitchell, JS Pang, X Shen, A Wächter
Industrial Engineering and Management Sciences. Technical Report …, 2013
682013
Systemic risk components in a network model of contagion
J Staum, M Feng, M Liu
IIE Transactions 48 (6), 501-510, 2016
632016
Green simulation: Reusing the output of repeated experiments
M Feng, J Staum
ACM Transactions on Modeling and Computer Simulation (TOMACS) 27 (4), 1-28, 2017
342017
Green simulation designs for repeated experiments
M Feng, J Staum
2015 Winter Simulation Conference (WSC), 403-413, 2015
212015
Practical algorithms for value-at-risk portfolio optimization problems
M Feng, A Wächter, J Staum
Quantitative Finance Letters 3 (1), 1-9, 2015
192015
Uniform convergence of sample average approximation with adaptive multiple importance sampling
MB Feng, A Maggiar, J Staum, A Wächter
2018 Winter Simulation Conference (WSC), 1646-1657, 2018
10*2018
Unbiased metamodeling via likelihood ratios
J Dong, MB Feng, BL Nelson
2018 Winter Simulation Conference (WSC), 1778-1789, 2018
102018
Coherent distortion risk measures in portfolio selection
MB Feng, KS Tan
Systems Engineering Procedia 4, 25-34, 2012
92012
Efficient nested simulation for conditional tail expectation of variable annuities
O Dang, M Feng, MR Hardy
North American Actuarial Journal 24 (2), 187-210, 2020
82020
Efficient simulation designs for valuation of large variable annuity portfolios
BM Feng, Z Tan, J Zheng
North American Actuarial Journal 24 (2), 275-289, 2020
72020
Green simulation optimization using likelihood ratio estimators
DJ Eckman, MB Feng
2018 Winter Simulation Conference (WSC), 2049-2060, 2018
62018
Efficient input uncertainty quantification via green simulation using sample path likelihood ratios
BM Feng, E Song
2019 Winter Simulation Conference (WSC), 3693-3704, 2019
42019
Green simulation assisted policy gradient to accelerate stochastic process control
H Zheng, W Xie, MB Feng
arXiv preprint arXiv:2110.08902, 2021
32021
Efficient nested simulation of tail risk measures
JO Dang, BM Feng, MR Hardy
2019 Winter Simulation Conference (WSC), 938-949, 2019
32019
Green simulation with database Monte Carlo
M Feng, J Staum
2016 Winter Simulation Conference (WSC), 1108-1118, 2016
3*2016
Green simulation assisted reinforcement learning with model risk for biomanufacturing learning and control
H Zheng, W Xie, MB Feng
2020 Winter Simulation Conference (WSC), 337-348, 2020
22020
Optimal Nested Simulation Experiment Design via Likelihood Ratio Method
MB Feng, E Song
arXiv preprint arXiv:2008.13087, 2020
12020
Sample average approximation with adaptive importance sampling
A Wächter, J Staum, A Maggiar, M Feng
tech. rep., IEMS Department, Northwestern University 14, 15-27, 2017
12017
Dynamic importance allocated nested simulation for variable annuity risk measurement
O Dang, M Feng, MR Hardy
Annals of Actuarial Science, 1-30, 2022
2022
Online Supplement for “Systemic Risk Components in a Network Model of Contagion” by Jeremy Staum et al.
J Staum, M Feng
2015
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Articles 1–20