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L. Jeff Hong (CV) Professor of Industrial
Engineering and Logistics Management Associate Director, Logistics
and Supply Chain Management Institute Director, Financial Engineering
Laboratory The Room 5543, Phone: (852) 23587096 Email: HONGL at UST dot HK |
Education
Ph.D. (2004), M.S. (2002), Industrial Engineering and Management
Sciences, Northwestern University
M.S. (2001), Applied
Mathematics, University of Cincinnati
B.E. (1999), Industrial Engineering, and B.E.
(1999), Automotive Engineering, Tsinghua University,
Publications
1.
Hu,
Z., Cao, J., and L. J. Hong. Robust simulation of global warming policies under
parameter uncertainty. Management Science,
forthcoming.
2.
Chang,
K.-H., L. J. Hong, and H. Wan. Stochastic trust-region response-surface method
(STRONG) – A new response surface framework for simulation optimization.
INFORMS Journal on Computing,
forthcoming.
3.
Xu,
J., B. L. Nelson, and L. J. Hong. An adaptive hyperbox
algorithm for high-dimensional discrete optimization via simulation problems. INFORMS Journal on Computing,
forthcoming.
4.
Zhang,
J., L. J. Hong, and R. Q. Zhang. 2012. Fighting strategies in a market with
counterfeits. Annals of Operations
Research, 192:49-66.
5.
Hong,
L. J., Y. Yang, and L Zhang. 2011. Sequential
convex approximations to joint chance constrained programs: A Monte Carlo
approach. Operations Research, 59:617-630.
6.
Liu,
G. and L. J. Hong. 2011. Kernel estimation of
the Greeks for options with discontinuous payoffs. Operations Research, 59:96-108.
7.
Hong,
L. J., B. L. Nelson, and J. Xu. 2010. Speeding up COMPASS for high-dimensional discrete
optimization via simulation. Operations
Research Letters, 38:550-555.
8.
Sun,
L. and L. J. Hong. 2010. Asymptotic
representations for importance-sampling estimators of value-at-risk and
conditional value-at-risk. Operations
Research Letters, 38:246-251..
9.
Hong,
L. J. and G. Liu. 2010. Pathwise estimation
of probability sensitivities through terminating and steady-state simulations.
Operations Research, 58:357-370.
10.
Xu,
J., B. L. Nelson and L. J. Hong. 2010. Industrial
Strength COMPASS: A comprehensive algorithm and software for optimization via
simulation. ACM Transactions on
Modeling and Computer Simulation, 20: 3/1-3/29.
(Computer programs and user instructions of Industrial Strength COMPASS
Algorithm can be freely downloaded from http://www.iscompass.net.)
11.
Fu,
M. C., L. J. Hong and J. Q. Hu. 2009. Conditional
Monte Carlo estimation of quantile sensitivities. Management Science, 55: 2019-2017.
12.
Liu,
G. and L. J. Hong. 2009. Revisit of stochastic
mesh method for pricing American options. Operations Research Letters, 37:411-414.
13.
Liu,
G. and L. J. Hong. 2009. Kernel estimation of
quantile sensitivities. Naval
Research Logistics, 56: 511-525.
14.
Hong,
L. J. and G. Liu. 2009. Simulating sensitivities of
conditional value-at-risk. Management
Science, 55: 281-293.
15.
Hong,
L. J. 2009. Estimating quantile sensitivities. Operations Research, 57: 118-130.
16.
Hong,
L. J. and B. L. Nelson. 2007. Selecting the best
system when systems are revealed sequentially. IIE Transactions,
39:723-734.
17.
Hong,
L. J. and B. L. Nelson. 2007. A framework of
locally convergent random search algorithms for discrete optimization via
simulation. ACM Transactions on
Modeling and Computer Simulation, 17: 19/1-19/22.
18.
Hong,
L. J. and B. L. Nelson. 2006. Discrete
optimization via simulation using COMPASS. Operations Research, 54:115-129.
19.
Hong,
L. J. 2006. Fully sequential indifference-zone
selection procedures with variance-dependent sampling. Naval Research
Logistics, 53:464-476.
20.
Pichitlamken,
J., B. L. Nelson and L. J. Hong. 2006. A
sequential procedure for neighborhood selection-of-the-best in optimization via
simulation. European Journal of Operational Research, 173:283-298.
21.
Hong,
L. J. and B. L. Nelson. 2005. The tradeoff
between sampling and switching: New sequential procedures for indifference-zone
selection. IIE Transactions, 37:623-634.
22.
Hong,
L. J., B. C. Shultes, and S. Anand.
2001. Robust evaluation of flatness and straightness tolerance using simulated
annealing. Transactions of NAMRI/SME,
29:553-560.
Conference
Papers
1.
Hong, L. J. and G. Liu.
2. Luo, J. and L. J. Hong. Large-scale ranking and selection using cloud computing. Proceedings of the 2011 Winter Simulation Conference, forthcoming.
3. Sun, L., L. J. Hong and Z. Hu. Optimization via simulation using Gaussian process-based search. Proceedings of the 2011 Winter Simulation Conference, forthcoming.
4.
Hu, Z., J. Cao, and L. J. Hong.
Robust simulation of environmental. Proceedings
of the 2010 Winter Simulation Conference, pp.1295-1305.
5.
Hong,
L. J. and B. L. Nelson. A
brief introduction to optimization via simulation. Proceedings of the 2009 Winter Simulation Conference, pp.75-85.
(invited introductory tutorial talk).
6.
Hong,
L. J. and S. Juneja. Estimating
expectations of nonlinear functions. Proceedings
of the 2009 Winter Simulation Conference, pp. 1223-1236.
7.
Sun,
L. and L. J. Hong. The
asymptotic expansions of value-at-risk and conditional value-at-risk. Proceedings of the 2009 Winter Simulation
Conference, pp.415-422.
8.
Liu,
G. and L. J. Hong. Revisit
of stochastic mesh method for pricing American options. Proceedings of the 2008 Winter Simulation
Conference, pp.594-601.
9.
Liu,
G. and L. J. Hong. Kernel
estimation of quantile sensitivity. Proceedings
of the 2007 Winter Simulation Conference, pp. 941-948.
10.
Chen,
N. and L. J. Hong. Monte-Carlo
method in financial engineering. Proceedings
of the 2007 Winter Simulation Conference, pp. 919-931. (invited advanced
tutorial talk)
11.
Chang,
K. H., L. J. Hong and H. Wan. Stochastic trust region
gradient-free method: A new response-surface-based algorithm for simulation
optimization. Proceedings of the 2007 Winter Simulation Conference, pp. 346-354.
12.
Hong,
L. J. Discrete
optimization via simulation using coordinate search. Proceedings of the
2005 Winter Simulation Conference, pp.
803-810.
13.
Hong,
L. J. and B. L. Nelson. An
indifference-zone selection procedure with minimum switching and sequential
sampling. Proceedings of the 2003 Winter Simulation Conference, pp.
474-480.
Awards
and Honors
Siyuan Chair
Professorship, Nanjing University, 2010-2013
Visiting Senior
Financial Economist,
IIE Transactions Best Paper Award – Operations Engineering,
2009
Meritorious Service Award, Operations Research, 2008
The
INFORMS Junior Faculty Interest Group (JFIG)
Paper Competition, Second Prize, 2007
Editorial
Services
Associate Editor (2008-present), Operations Research
Associate Editor (2007-present), ACM Transactions on Modeling and Computer
Simulation
Associate Editor (2006-present), Naval Research Logistics
Guest Editor, Special issue on Service
Science, Annals of Operations Research,
Published on 2012
Ongoing
Research Grants
1.
“Discrete optimization via simulation using stochastic
kriging based random search algorithms” (PI), Hong Kong
Research Grant Council, General Research Fund, Project No. 613011, 2012-2015.
2.
“Combing simulation and optimization with
applications in financial risk management” (Hong Kong PI; China PI:
Jian-Qiang Hu, China Co-I: Xiaoling Sun and Shushang Zhu). Joint NSFC/RGC
(Natural Science Foundation of
3. “Exploring the linkage between smoothed perturbation analysis and the kernel method in pathwise sensitivity estimation with applications in credit risk management” (PI, CI: Michael C. Fu and Jian-Qiang Hu), Hong Kong Research Grant Council, General Research Fund, Project No. 613410, 2010-2013.
4.
“The impacts of environmental
policies on global supply chains” (PI,
CI: Jing Cao, Chung-Yee Lee, Qing Li, Hoi-yin Mak), HKUST Research Project
Competition, Project No. RPC10EG11, 2010-2012.
Courses
Taught
At HKUST
IELM313 System Simulation
IELM320 Facilities Layout and Material Handling
IELM610A Design and Analysis of Simulation
Experiments
EEMT512 Operations/Production Management
EEMT516 Transportation and Logistics
Management
EEMT550 Engineering Statistics and Simulation
At Northwestern
University
IEMS 315 Stochastic Models and Simulation
Postgraduate
Students
Guangwu Liu,
Ph.D., June 2009
Thesis: Sensitivity
Analysis for Expectations of Discontinuous Functions.
Currently an assistant professor at Department
of Management Science at City University of Hong Kong
Lihua Sun, Ph.D., August 2010, co-supervised
by Prof. Ning Cai
Thesis: Essays
on
Currently an assistant professor at
Department of Economics and Finance at
Zhaolin Hu, Ph.D., August 2011
Thesis: Nonconvex Stochastic Optimization and Its Applications in Environmental
Economics and Risk Management.
Currently an assistant professor at
Department of Management Science and Engineering at
Yi Yang, M.Phil.,
August 2008
Richard Wong, M.Phil.,
August 2010
Jun Luo, Ph.D. student, started 2009,
co-supervised by Prof. Jiheng Zhang
Jin Fang, Ph.D. student, started 2010,
co-supervised by Prof. Jiheng Zhang
Weiwei Fan, Ph.D. student, started 2011
Tao Yang, M.Phil. student, started 2010
Yang Wu, M.Phil.
student, started 2012