Associate Professor, Department of Industrial Engineering and Decision Analytics Hong Kong University of Science and Technology
Xiaowei Zhang is an Associate Professor in the Department of Industrial Engineering and Decision Analytics at the Hong Kong University of Science and Technology. He earned his Ph.D. in Management Science and Engineering in 2011 and M.S. in Financial Mathematics in 2010, both from Stanford University, and his B.S. in Mathematics in 2006 from Nankai University. His research focuses on methodological advances in stochastic simulation and optimization, decision analytics, and reinforcement learning, with applications in service operations management, financial technology, and digital economy. He currently serves as an Associate Editor for Management Science and Operations Research.
Date: |
Thursday, 5 December 2024 |
Time: |
10:00 am - 11:00 am |
Venue: |
E1-07-21/22 - ISEM Executive Classroom |
Stochastic simulation models effectively capture complex system dynamics but are often too slow for real-time decision-making. Traditional metamodeling techniques learn relationships between simulator inputs and a single output summary statistic, such as the mean or median. These techniques enable real-time predictions without additional simulations. However, they require prior selection of one appropriate output summary statistic, limiting their flexibility in practical applications. We propose a new concept: generative metamodeling. It aims to construct a “fast simulator of the simulator,” generating random outputs significantly faster than the original simulator while preserving approximately equal conditional distributions. Generative metamodels enable rapid generation of numerous random outputs upon input specification, facilitating immediate computation of any summary statistic for real-time decision-making. We introduce a new algorithm, quantile-regression-based generative metamodeling (QRGMM), and establish its distributional convergence and convergence rate. Extensive numerical experiments demonstrate QRGMM’s efficacy compared to other state-of-the-art generative algorithms in practical real-time decision-making scenarios.