This repository archives codes/software written or collected by SHEN Haihui or his team for the purpose of research in the areas of simulation optimization, ranking & selection, kriging metamodeling, etc. These codes are mainly implementations of some models and algorithms developed by SHEN Haihui and other researchers.
LICENSE: All codes written by SHEN Haihui can be freely redistributed and used under the terms of the BSD 3-Clause License.
WARNING: These codes are written only for the purpose of demonstration and verification. While the correctness has been carefully checked, the quality such as standardability, clarity, generality, and efficiency may have not been well considered.
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
(MATLAB R2015a. Last update: 2018-05-03)
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
(MATLAB R2018b. Last update: 2020-06-19)
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
(MATLAB R2018b. Last update: 2021-09-08)
Guangxin Jiang, L. Jeff Hong, and Haihui Shen (2024).
Real-time derivative pricing and hedging with consistent metamodels.
INFORMS Journal on Computing, 36(5):1168-1189.
PDF
E-Companion
Codes
(MATLAB R2022a. Last update: 2024-01)
Xiuxian Wang, L. Jeff Hong, Zhibin Jiang, and Haihui Shen (2023).
Gaussian process-based random search for continuous optimization via simulation.
Operations Research, online.
ResearchGate
Codes
(MATLAB. Last update: 2023)
石志浩, 沈海辉* (2024).
不确定情景下AGV系统调度算法的离散事件仿真.
系统仿真学报, 36(2):385-404.
PDF
AGV系统仿真平台
(Beta版)
Queueing Network Simulator
- open queueing network that consists of a finite number of G/G/s/K stations
Esophageal Cancer Simulator
- a Markov simulation model of esophageal cancer adapted from
Hur et al. (2004)
and
Choi et al. (2014)
AGV系统仿真平台
- 不确定情景下AGV系统调度算法的离散事件仿真平台
Stochastic Kriging (SK)
- a metamodeling methodology developed for stochastic simulation experiments
- based on the highly successful kriging method for the design and analysis of computer experiments
Stochastic Kriging with Gradient (SKG)
- proposed by
Chen et al. (2013)
Gradient-Enhanced Stochastic Kriging (GESK) for Derivative Pricing and Hedging
SimOpt Testbed [github.com/simopt-admin/simopt/wiki] for comparison of simulation optimization solvers (algorithms)
Stochastic Kriging [stochastickriging.net]
Industrial Strength COMPASS (ISC) [www.iscompass.net]
👨 SHEN Haihui
✉️ shenhaihui@gmail.com
🏠 shenhaihui.github.io
© simopt.github.io
Last Update: 2024-11-13