Papers

• Liang Ding, L. Jeff Hong, Haihui Shen*, and Xiaowei Zhang (2022). Technical note—Knowledge gradient for selection with covariates: Consistency and computation. Naval Research Logistics, 69(3):496-507. PDF Appendix arXiv Codes
• Haihui Shen, L. Jeff Hong, and Xiaowei Zhang (2021). Ranking and selection with covariates for personalized decision making. INFORMS Journal on Computing, 33(4):1500-1519. PDF E-Companion arXiv Codes
        ♢ Best Student Paper (Second-Place Prize) in The Ninth POMS-HK International Conference, 2018
  
• Haihui Shen, L. Jeff Hong, and Xiaowei Zhang (2018). Enhancing stochastic kriging for queueing simulation with stylized models. IISE Transactions, 50(11):943-958. PDF Codes
• Yingcui Yan, Haihui Shen*, and Zhibin Jiang (2021). Stochastic approximation with Gaussian process regression. In Proceedings of the 2021 Winter Simulation Conference, 1–12. PDF
• Haihui Shen, L. Jeff Hong, and Xiaowei Zhang (2017). Ranking and selection with covariates. In Proceedings of the 2017 Winter Simulation Conference, 2137–2148. PDF
• Xiuxian Wang, L. Jeff Hong, Zhibin Jiang, and Haihui Shen (2022). Gaussian process based search for continuous optimization via simulation. Under Review. ResearchGate
• 石志浩, 沈海辉* (2022). 不确定情景下AGV系统调度算法的离散事件仿真. 在审. AGV系统仿真平台
• Guangxin Jiang, Haihui Shen, and L. Jeff Hong (2020). Building closed-form formula for real-time derivative pricing and Greeks calculation using offline simulation. Working Paper.

Codes

This repository archives codes written or collected by me for the purpose of research in the areas of simulation optimization, ranking & selection, kriging metamodeling, etc.

Presentations

• "Building Closed-Form Formula for Real-Time Derivative Pricing and Greeks Calculation Using Offline Simulation", presented at
      - 中国运筹学会金融工程与金融风险管理分会第九届学术年会，上海，2019年8月28-30日.
• "Knowledge Gradient for Selection with Covariates: Consistency and Computation", presented at
      - 2020 INFORMS Annual Meeting (Virtual), Nov. 7-13, 2020. Video
      - 2019 POMS International Conference in China, Tianjin, Jun. 21-24, 2019. Slides
  
• "Ranking and Selection with Covariates (for Personalized Decision Making)", presented at
      - The 15th International Conference on Service Systems and Service Management, Hangzhou, Jul. 21-22, 2018.
      - The 9th POMS-HK International Conference 2018, Hong Kong, Jan. 6-7, 2018. Slides
      - 2017 Winter Simulation Conference, Las Vegas, Nevada, Dec. 3-6, 2017. Slides
      - 2017 INFORMS Annual Meeting, Houston, Texas, Oct. 21-25, 2017. Slides
  

Team

Current Members

• SHAO Yifei, master student
• LI Jie, master student

Previous Members

• SHI Zhihao, master, SJTU, 2022
  Placement after graduation: Management Trainee, Bank of Communications
• YAN yingcui, master, SJTU, 2022 (co-supervised by JIANG Zhibin)
  National Scholarship, SJTU Outstanding Graduates
  Placement after graduation: Algorithm Engineer, Ant Group
• LAI Junyi, master, SJTU, 2021
  SJTU Outstanding Graduates
  Placement after graduation: Algorithm Engineer, Huawei