Learning to Simulate: Generative Metamodeling via Quantile Regression



    Department of Systems Engineering and Engineering Management

                       The Chinese University of Hong Kong


Date: Wednesday, January 24, 4:30 pm – 5:30 pm

Venue: ERB 513, The Chinese University of Hong Kong

Title: Learning to Simulate: Generative Metamodeling via Quantile Regression

Speaker: Prof. Jeff Hong, Fudan University



Stochastic simulation models that capture the dynamics of complex systems often require a significant amount of running time. They are typically not suitable for real-time decision makings. In this paper we propose a quantile-regression based generative-metamodeling approach to learn from the simulation data and to create a fast “simulator of simulator”, which can generate observations that have the (approximately) same distribution as the original simulator, but with a much faster speed that supports real-time decision makings. We also extend this approach to three other applications, including simulating multi-dimensional economic data, generating simple images, and managing supply-chain financing risk.
This is a joint work with Yanxi Hou (Fudan), Qingkai Zhang (Fudan) and Xiaowei Zhang (HKUST).


Jeff Hong received his bachelor’s and Ph.D. degrees from Tsinghua University and Northwestern University, respectively. He is currently with Fudan University, holding the positions of Fudan Distinguished Professor, Hongyi Chair Professor, and Department Chair of Department of Management Sciences. He was Chair Professor of Management Sciences at City University of Hong Kong, and Professor of Industrial Engineering and Logistics Management at the Hong Kong University of Science and Technology. Prof. Hong’s research interests include stochastic simulation, stochastic optimization, risk management and supply chain management. He is currently an Associate Editor of Management Science and ACM Transactions on Modeling and Computer Simulation, and he was the President of INFORMS Simulation Society (2020 – 2022) and Simulation Area Editor of Operations Research (2018-2023).

Everyone is welcome to attend the talk!

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Wednesday, January 24, 2024 - 16:30