彭一杰

博士



联系电话:(+86) 010-82524919
电子邮箱:pengyijie@pku.edu.cn
个人主页:https://www.researchgate.net/profile/Yijie_Peng



教育背景


2010.09-2014.07    复旦大学,管理学院博士,专业: 运筹学
2008.09-2010.07    复旦大学,数学科学学院研究生
2003.09-2007.07    武汉大学,数学与统计学院学士

 

工作经历


2017.08-                       助理教授(特聘研究员),工业工程与管理系,北京大学
2016.03- 2017.08        (研究)助理教授,系统工程与运筹系,乔治梅森大学
2015.09-2016.03         博士后研究员,商学院,马里兰大学
2014.07-2015.08         博士后研究员,管理学院,复旦大学
2012.08-2013.08         访问学者, 商学院,马里兰大学

 

研究领域


仿真建模与分析、仿真优化及其应用、大数据分析、金融工程与风险管理、医疗健康、人工智能

 

荣誉与奖励


2017                                复旦大学优秀博士后
2017                                IEEE自动化大会最佳论文候选论文奖
2016                               长三角运筹学与控制论论坛优秀论文一等奖
2014                               复旦大学优秀博士论文
2013                               国家奖学金

 

科研项目


2019.01-2019.12          新一代信息技术平台下的高效仿真优化,国际交流与合作专项,北京市科委

2018.01-2022.12         仿真优化理论及其在复杂管理系统中的应用,国际(地区)合作与交流项目, 国家自然科学基金 (参与, 项目号:71720107003)

2016.01-2019.12         仿真优化理论与应用,面上项目,国家自然科学基金 (参与,项目号: 71571048)

2016.01-2017.06         统计排序与选择问题的理论与应用,面上项目,中国博士后基金 (主持,项目号: 2015M571495)

 

期刊论文


  1. Yijie Peng, Edward Huang, Jie Xu, Zhongshun Shi, and Chun-Hung Chen, ``Concurrent Design: A Coordinate Optimization Approach”, IEEE Transactions on Automatic Control, accepted.

  2. Yijie Peng, Jie Xu, Loo-Hay Lee, Jian-Qiang Hu, and Chun-Hung Chen, ``Efficient Simulation Sampling Allocation Using Multi-Fidelity Models”, IEEE Transactions on Automatic Control, accepted.

  3. Yijie Peng, Chun-Hung Chen, Michael C. Fu, and Jian-Qiang Hu, ``Gradient-Based Myopic Allocation Policy: An Efficient Sampling Procedure in a Low-Confidence Scenario”, IEEE Transactions on Automatic Control, 63(9), 3091-3097, 2018.

  4. Yijie Peng, Edwin K.P. Chong, Chun-Hung Chen, and Michael C. Fu, ``Ranking and Selection as Stochastic Control”, IEEE Transactions on Automatic Control, 63 (8), 2359-2373, 2018.

  5. Yijie Peng, Michael C. Fu, Jian-Qiang Hu and Bernd Heidergott, ``A New Unbiased Stochastic Derivative Estimator for Discontinuous Sample Performances with Structural Parameters”, Operations Research, 66 (2), 487-499, 2018.

  6. Lei Lei, Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Applications of the Generalized Likelihood Ratio Method to Distribution Sensitivity and Steady-State Simulation”, Journal of Discrete Event Dynamic Systems, 28 (1), 109-125, 2018.

  7. Yijie Peng and Michael C. Fu, ``Myopic Allocation Policy with Asymptotically Optimal Sampling Rate”, IEEE Transactions on Automatic Control, 62 (4), 2041-2047, 2017.

  8. Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Gradient‐Based Simulated Maximum Likelihood Estimation on Stochastic Volatility Models Using Characteristic Functions”, Quantitative Finance, 16 (9), 1393-1411, 2016.

  9. Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, ``Dynamic Sampling Allocation and Design Selection’’, INFORMS Journal on Computing, 28 (2), 195-208, 2016.

  10. Yijie Peng, Michael C. Fu and J.Q. Hu, ``Gradient‐Based Simulated Maximum Likelihood Estimation on Lévy Driven Ornstein‐Uhlenbeck Stochastic Volatility Models’’, Quantitative Finance, 14 (8), 1399-1414, 2014.

  11. Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, ``Efficient Simulation Resource Sharing and Allocation for Selecting the Best’’, IEEE Transactions on Automatic Control, 58 (4), 1017 – 1023, 2013.

  12. Rachel Chen, Jianqiang Hu and Yijie Peng, ``Simulation of Lévy-driven Models and Its Application in Finance’’, Numerical Algebra, Control and Optimization, 4, 749-765, 2012.

  13. 陈睿迪,彭一杰,胡建强,``金融中的Lévy模型及其仿真’’,运筹学学报,13 (1),1-9,2013.

 

会议论文


  1. Yijie Peng, Chun-Hung Chen, Edwin K.P. Chong, and Michael C. Fu, ``A Review of Static and Dynamic Optimization for Ranking and Selection”, Proceedings of Winter Simulation Conference, 2018.

  2. Yijie Peng, Jie Song, Jie Xu, and Edwin K. P. Chong, ``Dynamic Sampling Allocation for Feasibility Determination”, Proceedings of IEEE Conference on Automation Science and Engineering, 2018.

  3. Haidong Li, Xiaoyun Xu, Yijie Peng, and Chun-Hung Chen, `` Efficient Sampling Procedure for Selecting the Largest Stationary Probability of a Markov Chain”, Proceedings of IEEE Conference on Automation Science and Engineering, 2018.

  4. Yijie Peng, Michael C. Fu, Peter W. Glynn, and Jian-Qiang Hu, ``On the Asymptotic Analysis of Quantile Sensitivity Estimation by Monte Carlo simulation”, Proceedings of Winter Simulation Conference, 2017.

  5. Yijie Peng, Edward Huang, Jie Xu, and Chun-Hung Chen, ``Concurrent Engineering: An Optimization Approach for Team Coordination Through Information Sharing’’, Proceedings of IEEE Conference on Automation Science and Engineering, 2017.

  6. Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``On the Regularity Conditions and Applications for Generalized Likelihood Ratio Method”, Proceedings of Winter Simulation Conference, 2016.

  7. Yijie Peng, Michael C. Fu and Jian-Qiang Hu, ``Estimating Distribution Sensitivity Using Generalized Likelihood Ratio Method”, Proceedings of IEEE International Workshop on Discrete Event Systems, 2016.

  8. Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, `` Non-Monotonicity of Probability of Correct Selection’’, Proceedings of Winter Simulation Conference, 2015.

  9. Yijie Peng, Chun‐Hung Chen, Michael C. Fu and J.Q. Hu, ``A Dynamic Framework for Statistical Selection Problems’’, Proceedings of Winter Simulation Conference, 2013.

 

教授课程


  • 研究生课程:高等运筹学 、应用随机模型

  • 本科生课程:运营管理与优化基础

 

学术活动


  • INFORMS、IEEE 会员
  • 客座编辑:Asia-Pacific Journal of Operational Research
  • 同行评议学术杂志审稿人:Operations Research, IEEE Transactions on Automatic Control, INFORMS Journal on Computing, Naval Research Logistics, Stochastic Systems, IEEE Transactions on Automation Science and Engineering, ACM Transactions on Modeling and Computer Simulation, IEEE Transactions on Information Forensics & Security, Journal of Simulation, Asia-Pacific Journal of Operational Research, International Journal of Production Research
  • 大会组委会成员: Analysis Methodology Track of 2018 Winter Simulation Conference. 大会分会场主席:2018 Winter Simulation Conference, 2018 IEEE Conference of Automatic Science and Engineering, 2018 INFORMS International Meeting, 2017 中国运筹协会金融工程与风险控制大会, 2016 Winter Simulation Conference.