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彭一杰
2023-05-05 16:21
  • 彭一杰
  • 彭一杰 - 助理教授-北京大学-工学院-个人资料

近期热点

资料介绍

个人简历


教育背景
2010.09-2014.07 复旦大学,管理学院博士,专业: 运筹学
2008.09-2010.07 复旦大学,数学科学学院研究生
2003.09-2007.07 武汉大学,数学与统计学院学士
工作经历
2017.08- 助理教授(特聘研究员),工业工程与管理系,北京大学
2016.03- 2017.08 (研究)助理教授,系统工程与运筹系,乔治梅森大学
2015.09-2016.03 博士后研究员,商学院,马里兰大学
2014.07-2015.08 博士后研究员,管理学院,复旦大学
2012.08-2013.08 访问学者, 商学院,马里兰大学

研究领域


仿真建模与分析、仿真优化及其应用、大数据分析、金融工程与风险管理、医疗健康、人工智能

近期论文


Yijie Peng, Edward Huang, Jie Xu, Zhongshun Shi, and Chun-Hung Chen, ``Concurrent Design: A Coordinate Optimization Approach”, IEEE Transactions on Automatic Control, accepted.
Yijie Peng, Jie Xu, Loo-Hay Lee, Jian-Qiang Hu, and Chun-Hung Chen, ``Efficient Simulation Sampling Allocation Using Multi-Fidelity Models”, IEEE Transactions on Automatic Control, accepted.
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.
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.
Rachel Chen, Jianqiang Hu and Yijie Peng, ``Simulation of Lévy-driven Models and Its Application in Finance’’, Numerical Algebra, Control and Optimization, 4, 749-765, 2012.

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