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Yijie Peng
Researcher at Peking University
Publications - 79
Citations - 520
Yijie Peng is an academic researcher from Peking University. The author has contributed to research in topics: Computer science & Sampling (statistics). The author has an hindex of 8, co-authored 58 publications receiving 295 citations. Previous affiliations of Yijie Peng include Fudan University & Chinese Academy of Sciences.
Papers
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Ranking and Selection as Stochastic Control
TL;DR: This work formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem as a Bayesian framework, and derives an approximately optimal allocation policy that possesses both one-step-ahead and asymptotic optimality for independent normal sampling distributions.
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A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters
TL;DR: This work extends the three most popular unbiased stochastic derivative estimators: infinitesimal perturbation analysis (IPA), the likelihood ratio (LR), and the weak derivative method, to a setting where they did not previously apply.
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Dynamic Sampling Allocation and Design Selection
TL;DR: The integrated probability of correct selection is introduced to better characterize the objective and an approximation scheme is devised to efficiently approximate the optimal selection policy.
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Myopic Allocation Policy With Asymptotically Optimal Sampling Rate
Yijie Peng,Michael C. Fu +1 more
TL;DR: A myopic allocation policy is provided that asymptotically achieves the sampling ratios given by the optimal computing budget allocation, an approximate solution of the optimal large deviations rate for the decreasing probability of false selection.
Posted Content
Ranking and Selection as Stochastic Control
TL;DR: In this article, the authors formulate the fully sequential sampling and selection decision in statistical ranking and selection as a stochastic control problem, and derive the associated Bellman equation using value function approximation.