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彭一杰
助理教授
联系电话:北京大学光华管理学院
电子邮箱:pengyijie@gsm.pku.edu.cn

所在院校:北京大学光华管理学院

个人主页:http://www.gsm.pku.edu.cn/faculty/pengyijie/

 

博士,北京大学光华管理学院,助理教授。

2003.9-2007.7,武汉大学,数学与统计学院学士;2008.9-2010.7,复旦大学,数学科学学院硕士;2010.9-2014.7,复旦大学,运筹学,管理学院博士。2012.8-2013.8,马里兰大学商学院,访问学者;2014.7-2015.8,复旦大学管理学院,博士后研究员;2015.9-2016.3,马里兰大学商学院,博士后研究员;2016.3-2017.8,乔治梅森大学系统工程与运筹系,(研究)助理教授;2017.8-2020.4,北京大学工学院工业工程与管理系,助理教授(特聘研究员);2020.4-今,北京大学光华管理学院管理科学与信息系统系,助理教授。

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。

科研成就: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);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);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);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。

近期代表性期刊论文:

1. Haidong Li, Xiaoyun Xu*, Yijie Peng, and Chun-Hung Chen, Efficient sampling for selecting important nodes in random network, IEEE Transactions on Automatic Control, accepted.

2. Zhenyu, Cui, Michael C. Fu, Yijie Peng, Lingjiong Zhu*, Optimal unbiased estimation for expected cumulative discounted cost, European Journal of Operations Research, accepted.

3. Yijie Peng*, Michael C. Fu, Bernd Heidergott, and Henry Lam, Maximum likelihood estimation by Monte Carlo simulation: towards data-driven stochastic modeling, Operations Research, accepted.

4. Yijie Peng*, Chun‐Hung Chen, Michael C. Fu, Jian-Qiang Hu and Ilya O. Ryzhov, Efficient sampling allocation procedure for optimal quantile selection, INFORMS Journal on Computing, accepted.

5. Yijie Peng, Jie Song*, Jie Xu, and Edwin K. P. Chong, Stochastic control framework for determining feasible alternatives in sampling allocation, IEEE Transactions on Automatic Control, accepted.

6. Peter W. Glynn, Lin Fan, Michael C. Fu, Jian-Qiang Hu, and Yijie Peng*, Technical Note: central limit theorems for estimated functions at estimated points, Operations Research, accepted.

7. Joost Berkhout, Bernd Heidergott*, Henry Lam, and Yijie Peng, From data to stochastic modeling and decision making: what can we do better?, Asia-Pacific Journal of Operational Research, 36(6), 1940012, 2019.

8. Zhenyu Cui, Michael C. Fu, Jian-Qiang Hu, Yanchu Liu, Yijie Peng*, and Lingjiong Zhu, On the variance property of single-run unbiased stochastic derivative estimators, INFORMS Journal on Computing, 32 (2), 390-407, 2020.

9. Yijie Peng, Edward Huang, Jie Xu, Zhongshun Shi*, and Chun-Hung Chen, A coordinate optimization approach for concurrent design, IEEE Transactions on Automatic Control, 64 (7), 2913-2920, 2019.

10. Yijie Peng*, Jie Xu, Loo-Hay Lee, Jian-Qiang Hu, and Chun-Hung Chen, Efficient simulation sampling allocation using multifidelity models, IEEE Transactions on Automatic Control, 64 (8), 3156-3169, 2019.

11. 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.

12. 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. 

13. 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. (INFORMS Simulation Society Outstanding Simulation Publication Award)

14. 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.

15. Yijie Peng* and Michael C. Fu, Myopic allocation policy with asymptotically optimal sampling rate, IEEE Transactions on Automatic Control, 62 (4), 2041-2047, 2017.

16. 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. 

17. 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.

会议论文:

1. Yijie Peng, Michael C. Fu, Jian-Qiang Hu, and Lei Lei, Estimating quantile sensitivity for fianncial models with correlations and jumps, Proceedings of Winter Simulation Conference, 2019. 

2. Haidong Li, Yijie Peng, Xiaoyun. Xu, Chun-Hung Chen, and Bernd Heidergott, Dynamic sampling procedure for decomposable random networks, Proceedings of Winter Simulation Conference, 2019. 

3. Bowen Pang, Xiaolei Xie, Bernd Heidergott, and Yijie Peng, Optimizing outpatient department staffing level using multi-fidelity models, Proceedings of IEEE Conference on Automation Science and Engineering, 2019.

4. Nanne Dieleman, Bernd Heidergott, and Yijie Peng, Data-driven fitting of the G/G/1 queue, Proceedings of International Conference on Service Systems and Service Management, 2019.( Best Student Paper Award)

5. 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. 

6. 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.

7.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.

8. 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.

9. 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. (Best Student Paper Finalist)

10. 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.

11. Estimating distribution sensitivity using generalized likelihood ratio method, Proceedings of International Workshop on Discrete Event Systems, 2016.

12. Yijie Peng, Chun-Hung Chen, Michael C. Fu, and Jian-Qiang Hu, Non-monotonicity of probability of correction selection, Proceedings of Winter Simulation Conference, 2015

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