Raghu Pasupathy, Professor of Statistics
|
|
Education
|
Research Interests
|
Lecture & Seminar Notes |
Computational Solvers & Software |
Recent Publications
Statistical Inference on Simulation Ouput: Batching as an Inferential Device,
A Retrospective Approximation Framework for Smooth Stochastic Optimization,
Uncertainty Quantification for Multiobjective Stochastic Convex Quadratic Programs,
Overlapping Batch Confidence Regions on the Steady-State Quantile Field,
Overlapping Batch Confidence Intervals on Statistical Functionals Constructed from Time Series: Application to
Quantiles, Optimization, and Estimation,
Bootstrapping and Batching for Output Analysis,
Overlapping Batch Confidence Regions on the Steady-State Quantile Vector,
Weak Convergence Results for Constructing Confidence Regions in Strictly Convex Multi-Objective Simulation Optimization,
Sample Average Approximation over Function Spaces: Statistical Consistency and Rate of Convergence
Adaptive Sampling Line Search for Stochastic Optimization with Integer Variables.
An Adaptive Sequential Sample Average Approximation Framework for Solving Two-stage Stochastic Linear Programs.
Risk-Efficient Sequential Simulation Estimators.
Retrospective Approximation for Smooth Stochastic Optimization.
Multi-objective ranking and selection: optimal sampling laws and tractable approximations via SCORE.
Open Problem--Adaptive Constant-Step Stochastic Approximation.
The ties that bind.
The Number of Random Restarts Required to Identify All Solutions to a Nonlinear System: Applications to Global Stochastic Optimization.
ASTRO for Derivative-based Stochastic Optimization: Algorithm Description \& Numerical Experiments.
Optimal placement of a small order in a diffusive limit order book.
ASTRO-DF: A Class of Adaptive Sampling Trust-Region Algorithms for Derivative-Free Simulation Optimization.
On sampling rates in simulation-based recursions.
|