Jiaqiao Hu

Contact Information

• Ph.D. in Electrical Engineering, University of Maryland, College Park.
• M.S. in Applied Mathematics, University of Maryland, Baltimore County.
• B.E. in Automation, Shanghai Jiao Tong University, China.

Markov Decision Process and its applications, simulation-based optimization, applied probability, stochastic modeling and analysis, computational learning theory and related applications.

Teaching

• AMS 507: Introduction to Probability, Fall 2012

• AMS 553: Simulation Modeling and Analysis, Fall 2012

Books

Simulation-Based Algorithms for Markov Decision Processes (with Hyeong Soo Chang, Michael Fu, and Steve Marcus),
Series: Communications and Control Engineering, Springer, March, 2007.

Journal Articles

H. S. Chang, M. C. Fu, J. Hu, and S. I. Marcus. ``An Adaptive Sampling Algorithm for Solving Markov Decision Processes.'' Operations Research, Vol. 53, No. 1, pp. 126-139, 2005.

H. S. Chang, M. C. Fu, J. Hu, and S. I. Marcus. ``An asymptotically efficient simulation-based algorithm for finite horizon stochastic dynamic programming." IEEE Trans. on Automatic Control, Vol. 52, 89-94, 2007.

J. Hu, M. C. Fu, V. R. Ramezani, and S. I. Marcus. ``An Evolutionary Random Policy Search Algorithm for Solving Markov Decision Process.'' INFORMS Journal on Computing, Vol. 19, 161-174, 2007.

J. Hu, M. C. Fu, and S. I. Marcus. ``A Model Reference Adaptive Search Method for Global Optimization.''
Operations Research, Vol. 55, 549-568, 2007.

H. S. Chang, M. C. Fu, J. Hu, and S. I. Marcus. ``Recursive Learning Automata Approach to Markov Decision Processes." IEEE Trans. on Automatic Control, Vol. 52, No. 7, 1249-1355, 2007.

H. S. Chang, M. C. Fu, J. Hu, and S. I. Marcus. ``A Survey of Some Simulation-Based Algorithms for Markov Decision Processes." Communications in Information and Systems, Vol. 7, 59-92, 2007.

Z. Su, J. Hu, and W. Zhu. ``Multi-Step Variance Minimization in Sequential Tests.''
Statistics and Computing, Vol. 18, 101-108, 2008.

J. Hu and Z. Su. ``Adaptive Resampling Algorithms for Estimating Bootstrap Distributions.''
Journal of Statistical Planning and Inference, Vol. 138, 1763-1777, 2008.

J. Hu and Z. Su ``Bootstrap Quantile Estimation via Importance Resampling.''
Computational Statistics and Data Analysis, Vol. 52, 5136-5142, 2008.
Matlab code for quantile estimation in proportional hazards model. Mablab code for estimating bootstrap quantiles of a correlation coefficient.

J. Hu and Z. Su ``Efficient Error Determination in Sequential Clinical Trial Design.''
Journal of Computational and Graphical Statistics, Vol. 17, 925-948, 2008.

J. Hu, M. C. Fu, S. I. Marcus. ``A Model Reference Adaptive Search Method for Stochastic Global Optimization.''
Communications in Information and Systems, Vol. 8, 245-276, 2008.

H. S. Chang, J. Hu, M. C. Fu, and S. I. Marcus. ``Adaptive Adversarial Multi-Armed Bandit Approach to Two-Person Zero-Sum Markov Games,''
IEEE Transactions on Automatic Control, Vol. 55, 463-468, 2010.

J. Hu, H. S. Chang, M. C. Fu, and S. I. Marcus. ``Dynamic Sample Budget Allocation in Model-Based Optimization,''
Journal of Global Optimization, forthcoming, 2010.

J. Hu, W. Zhu, Y. Su, and W. K. Wong. ``Controlled Optimal Design Program for the Logit Dose Response Model,''
Journal of Statistical Software, Vol. 35, 1-17, 2010. JSS430.zip

J. Hu and P. Hu ``Annealing Adaptive Search, Cross-Entropy, and Stochastic Approximation in Global Optimization,''
Naval Research Logistics, forthcoming 2011.

J. Hu, P. Hu, and H. S. Chang ``A Stochastic Approximation Framework for a Class of Randomized Optimization Algorithms,''
IEEE Transactions on Automatic Control, forthcoming 2011.

Conference Proceedings

J. Hu, M. C. Fu, and S. I. Marcus. ``Model Reference Adaptive Search: A New Approach to Global Optimization.'' late-breaking paper,Genetic and Evolutionary Computation Conference (GECCO), 2005.

J. Hu, M. C. Fu, and S. I. Marcus. ``Simulation Optimization using Model Reference Adaptive Search.'' Proceedings of the 2005 Winter Simulation Conference, pp. 811-818, 2005.

M. C. Fu, J. Hu, and S. I. Marcus. ``Model-based Randomized Methods for Global Optimization," Proceedings of the 17th International Symposium on Mathematical Theory of Networks and Systems, pp. 355-363, 2006.

U. Kuter and J. Hu. ``Computing and Using Lower and Upper Bounds for Action Elimination in MDP Planning," Proceedings of the 7th Symposium on Abstraction, Reformulation and Approximation (SARA-07), Springer Lecture Notes in Computer Science (4612), pp. 243-257, 2007.

J. Hu, M. C. Fu, and S. I. Marcus. ``A Model Reference Adaptive Search Method for Stochastic Optimization with Applications to Markov Decision Processes," Proceedings of the 46th IEEE Conference on Decision and Control, pp. 975-980, 2007.

J. Hu and H. S. Chang. ``A Population-Based Cross-Entropy Method with Dynamic Sample Allocation," Proceedings of the 47th IEEE Conference on Decision and Control, pp. 2426-2431, 2008.

J. Hu and P. Hu. ``On the Performance of the Cross-Entropy Method," Proceedings of the 2009 Winter Simulation Conference, pp. 459-468, 2009.

J. Hu and H.S. Chang. ``An Approximate Stochastic Annealing Algorithm for Finite Horizon Markov Decision Processes," Proceedings of the 49th IEEE Conference on Decision and Control, forthcoming, 2010.

J. Hu and P. Hu. ``An Approximate Annealing Search Algorithm to Global Optimization and Its Connections to Stochastic Approximation," Proceedings of the 2010 Winter Simulation Conference, forthcoming, 2010.

D. Cru and J. Hu. ``Dynamic Hedge Fund Asset Allocation Under Multiple Regimes," Proceedings of the 48th Annual Allerton Conference on Communication, Control, and Computing, forthcoming, 2010.