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2020 – today
- 2024
[i9]Qiqi Li, Mike Ludkovski:
Probabilistic Spatiotemporal Modeling of Day-Ahead Wind Power Generation with Input-Warped Gaussian Processes. CoRR abs/2409.16308 (2024)- 2023
- [i8]Mike Ludkovski, Jimmy Risk:
Expressive Mortality Models through Gaussian Process Kernels. CoRR abs/2305.01728 (2023) - [i7]Guillermo Terrén-Serrano, Michael Ludkovski:
Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning. CoRR abs/2309.11067 (2023) - 2022
- [j19]D. Austin Cole, Robert B. Gramacy, Mike Ludkovski
:
Large-scale local surrogate modeling of stochastic simulation experiments. Comput. Stat. Data Anal. 174: 107537 (2022) - [j18]Xiong Lyu, Michael Ludkovski:
Adaptive batching for Gaussian process surrogates with application in noisy level set estimation. Stat. Anal. Data Min. 15(2): 225-246 (2022) - [i6]Tao Chen, Mike Ludkovski, Moritz Voß:
On Parametric Optimal Execution and Machine Learning Surrogates. CoRR abs/2204.08581 (2022) - 2021
- [j17]René Aïd, Luciano Campi, Liangchen Li, Mike Ludkovski:
An Impulse-Regime Switching Game Model of Vertical Competition. Dyn. Games Appl. 11(4): 631-669 (2021) - [j16]Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski:
Statistical learning for probability-constrained stochastic optimal control. Eur. J. Oper. Res. 290(2): 640-656 (2021) - [j15]Xiong Lyu, Mickaël Binois, Michael Ludkovski:
Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation. Stat. Comput. 31(4): 43 (2021) - [j14]Tao Chen, Michael Ludkovski:
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging. SIAM J. Financial Math. 12(3): 1226-1256 (2021) - 2020
- [j13]Sergio Rodriguez, Michael Ludkovski:
Probabilistic bisection with spatial metamodels. Eur. J. Oper. Res. 286(2): 588-603 (2020) - [j12]Sergio Rodriguez, Michael Ludkovski:
Generalized Probabilistic Bisection for Stochastic Root Finding. ACM Trans. Model. Comput. Simul. 30(1): 2:1-2:27 (2020) - [i5]Xiong Lyu, Mike Ludkovski:
Adaptive Batching for Gaussian Process Surrogates with Application in Noisy Level Set Estimation. CoRR abs/2003.08579 (2020)
2010 – 2019
- 2019
- [j11]Mickaël Binois, Jiangeng Huang, Robert B. Gramacy, Mike Ludkovski:
Replication or Exploration? Sequential Design for Stochastic Simulation Experiments. Technometrics 61(1): 7-23 (2019) - 2018
- [j10]Jimmy Risk, Michael Ludkovski:
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement. SIAM J. Financial Math. 9(4): 1137-1174 (2018) - [i4]Sergio Rodriguez, Mike Ludkovski:
Probabilistic Bisection with Spatial Metamodels. CoRR abs/1807.00095 (2018) - [i3]Xiong Lyu, Mickaël Binois, Michael Ludkovski:
Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation. CoRR abs/1807.06712 (2018) - 2017
- [j9]Ruimeng Hu, Mike Ludkovski:
Sequential Design for Ranking Response Surfaces. SIAM/ASA J. Uncertain. Quantification 5(1): 212-239 (2017) - [i2]Sergio Rodriguez, Michael Ludkovski:
Generalized Probabilistic Bisection for Stochastic Root-Finding. CoRR abs/1711.00843 (2017) - 2016
- [j8]Steven A. P. Quintero, Michael Ludkovski, João P. Hespanha:
Stochastic Optimal Coordination of Small UAVs for Target Tracking using Regression-based Dynamic Programming. J. Intell. Robotic Syst. 82(1): 135-162 (2016) - 2015
- [j7]Robert B. Gramacy, Michael Ludkovski:
Sequential Design for Optimal Stopping Problems. SIAM J. Financial Math. 6(1): 748-775 (2015) - [j6]Kyle Bechler, Michael Ludkovski:
Optimal Execution with Dynamic Order Flow Imbalance. SIAM J. Financial Math. 6(1): 1123-1151 (2015) - [c3]Sergio Rodriguez, Michael Ludkovski:
Information directed sampling for stochastic root finding. WSC 2015: 3142-3143 - 2014
- [j5]Junjing Lin, Michael Ludkovski:
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics. Stat. Comput. 24(6): 1047-1062 (2014) - 2012
- [c2]Michael Ludkovski:
Bayesian quickest detection with observation-changepoint feedback. CDC 2012: 166-171 - 2011
- [j4]Michael Ludkovski:
Stochastic Switching Games and Duopolistic Competition in Emissions Markets. SIAM J. Financial Math. 2(1): 488-511 (2011) - [j3]Tim Leung, Mike Ludkovski:
Optimal Timing to Purchase Options. SIAM J. Financial Math. 2(1): 768-793 (2011) - [c1]Mike Ludkovski, Jarad Niemi:
Optimal disease outbreak decisions using stochastic simulation. WSC 2011: 3849-3858 - [i1]Erhan Bayraktar, Michael Ludkovski:
Liquidation in Limit Order Books with Controlled Intensity. CoRR abs/1105.0247 (2011) - 2010
- [j2]Erhan Bayraktar, Michael Ludkovski:
Inventory management with partially observed nonstationary demand. Ann. Oper. Res. 176(1): 7-39 (2010)
2000 – 2009
- 2001
- [j1]Michael Ludkovski, Guang Gong:
New Families of Ideal 2-Level Autocorrelation Ternary Sequences From Second Order DHT. Electron. Notes Discret. Math. 6: 375-384 (2001)
Coauthor Index
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