Accesso pubblico

Practical heteroscedastic Gaussian process modeling for large simulation experiments

M Binois, RB Gramacy, M Ludkovski

Journal of Computational and Graphical Statistics 27 (4), 808-821, 2018

Mandati: US National Science Foundation

Replication or exploration? Sequential design for stochastic simulation experiments

M Binois, J Huang, RB Gramacy, M Ludkovski

Technometrics 61 (1), 7-23, 2019

Mandati: US National Science Foundation

Sequential design for ranking response surfaces

R Hu, M Ludkovski

SIAM/ASA Journal on Uncertainty Quantification 5 (1), 212-239, 2017

Mandati: US National Science Foundation

[PDF] ucsb.edu

Stochastic optimal coordination of small UAVs for target tracking using regression-based dynamic programming

SAP Quintero, M Ludkovski, JP Hespanha

Journal of Intelligent & Robotic Systems 82, 135-162, 2016

Mandati: US National Science Foundation

[PDF] nsf.gov

Simulation methods for stochastic storage problems: A statistical learning perspective

M Ludkovski, A Maheshwari

Energy Systems 11 (2), 377-415, 2020

Mandati: US National Science Foundation

Sequential design and spatial modeling for portfolio tail risk measurement

J Risk, M Ludkovski

SIAM Journal on Financial Mathematics 9 (4), 1137-1174, 2018

Mandati: US National Science Foundation

[HTML] springer.com

Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation

X Lyu, M Binois, M Ludkovski

Statistics and Computing 31 (4), 43, 2021

Mandati: US National Science Foundation, US Department of Energy

Statistical learning for probability-constrained stochastic optimal control

A Balata, M Ludkovski, A Maheshwari, J Palczewski

European Journal of Operational Research 290 (2), 640-656, 2021

Mandati: US National Science Foundation, UK Natural Environment Research Council

The effect of rate design on power distribution reliability considering adoption of distributed energy resources

A Maheshwari, M Heleno, M Ludkovski

Applied energy 268, 114964, 2020

Mandati: US National Science Foundation

Technology ladders and R&D in dynamic Cournot markets

M Ludkovski, R Sircar

Journal of Economic Dynamics and Control 69, 127-151, 2016

Mandati: US National Science Foundation

Multi-output Gaussian processes for multi-population longevity modelling

N Huynh, M Ludkovski

Annals of Actuarial Science 15 (2), 318-345, 2021

Mandati: US National Science Foundation

[PDF] ssrn.com

Toward a unified implementation of regression Monte Carlo algorithms

M Ludkovski

Journal of Computational Finance 17 (1), 2023

Mandati: US National Science Foundation

A machine learning approach to adaptive robust utility maximization and hedging

T Chen, M Ludkovski

SIAM Journal on Financial Mathematics 12 (3), 1226-1256, 2021

Mandati: US National Science Foundation

[PDF] ssrn.com

Capacity expansion games with application to competition in power generation investments

R Aïd, L Li, M Ludkovski

Journal of Economic Dynamics and Control 84, 1-31, 2017

Mandati: US National Science Foundation

KrigHedge: Gaussian process surrogates for delta hedging

M Ludkovski, Y Saporito

Applied Mathematical Finance 28 (4), 330-360, 2021

Mandati: US National Science Foundation

Dynamic contagion in a banking system with births and defaults

T Ichiba, M Ludkovski, A Sarantsev

Annals of Finance 15, 489-538, 2019

Mandati: US National Science Foundation

Adaptive batching for Gaussian process surrogates with application in noisy level set estimation

X Lyu, M Ludkovski

Statistical Analysis and Data Mining: The ASA Data Science Journal 15 (2 …, 2022

Mandati: US National Science Foundation

[PDF] wpi.edu

Quickest detection in the Wiener disorder problem with post-change uncertainty

H Yang, O Hadjiliadis, M Ludkovski

Stochastics 89 (3-4), 654-685, 2017

Mandati: US National Science Foundation

[HTML] annualreviews.org

Statistical machine learning for quantitative finance

M Ludkovski

Annual Review of Statistics and Its Application 10 (1), 271-295, 2023

Mandati: US National Science Foundation