Michael Ludkovski

21 papers Misc 1Journal 19Unranked 1
YearRankTypeTitle / Venue / Authors
2025 J jnl
DeepPAAC: A New Deep Galerkin Method for Principal-Agent Problems.
CoRR
Michael Ludkovski, Changgen Xie, Zimu Zhu
2023 J jnl
Extreme Scenario Selection in Day-Ahead Power Grid Operational Planning.
CoRR
Guillermo Terrén-Serrano, Michael Ludkovski
2022 J jnl
Adaptive batching for Gaussian process surrogates with application in noisy level set estimation.
Stat. Anal. Data Min.
Xiong Lyu, Michael Ludkovski
2021 J jnl
A Machine Learning Approach to Adaptive Robust Utility Maximization and Hedging.
SIAM J. Financial Math.
Tao Chen, Michael Ludkovski
2021 J jnl
Evaluating Gaussian process metamodels and sequential designs for noisy level set estimation.
Stat. Comput.
Xiong Lyu, Mickaël Binois, Michael Ludkovski
2021 J jnl
Statistical learning for probability-constrained stochastic optimal control.
Eur. J. Oper. Res.
Alessandro Balata, Michael Ludkovski, Aditya Maheshwari, Jan Palczewski
2020 J jnl
Generalized Probabilistic Bisection for Stochastic Root Finding.
ACM Trans. Model. Comput. Simul.
Sergio Rodriguez, Michael Ludkovski
2020 J jnl
Probabilistic bisection with spatial metamodels.
Eur. J. Oper. Res.
Sergio Rodriguez, Michael Ludkovski
2018 J jnl
Evaluating Gaussian Process Metamodels and Sequential Designs for Noisy Level Set Estimation.
CoRR
Xiong Lyu, Mickaël Binois, Michael Ludkovski
2018 J jnl
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement.
SIAM J. Financial Math.
Jimmy Risk, Michael Ludkovski
2017 J jnl
Generalized Probabilistic Bisection for Stochastic Root-Finding.
CoRR
Sergio Rodriguez, Michael Ludkovski
2016 J jnl
Stochastic Optimal Coordination of Small UAVs for Target Tracking using Regression-based Dynamic Programming.
J. Intell. Robotic Syst.
Steven A. P. Quintero, Michael Ludkovski, João P. Hespanha
2015 Misc conf
Information directed sampling for stochastic root finding.
WSC
Sergio Rodriguez, Michael Ludkovski
2015 J jnl
Optimal Execution with Dynamic Order Flow Imbalance.
SIAM J. Financial Math.
Kyle Bechler, Michael Ludkovski
2015 J jnl
Sequential Design for Optimal Stopping Problems.
SIAM J. Financial Math.
Robert B. Gramacy, Michael Ludkovski
2014 J jnl
Sequential Bayesian inference in hidden Markov stochastic kinetic models with application to detection and response to seasonal epidemics.
Stat. Comput.
Junjing Lin, Michael Ludkovski
2012 — conf
Bayesian quickest detection with observation-changepoint feedback.
CDC
Michael Ludkovski
2011 J jnl
Liquidation in Limit Order Books with Controlled Intensity
CoRR
Erhan Bayraktar, Michael Ludkovski
2011 J jnl
Stochastic Switching Games and Duopolistic Competition in Emissions Markets.
SIAM J. Financial Math.
Michael Ludkovski
2010 J jnl
Inventory management with partially observed nonstationary demand.
Ann. Oper. Res.
Erhan Bayraktar, Michael Ludkovski
2001 J jnl
New Families of Ideal 2-Level Autocorrelation Ternary Sequences From Second Order DHT.
Electron. Notes Discret. Math.
Michael Ludkovski, Guang Gong