Michael Ludkovski
Affiliations: | Statistics | University of California, Santa Barbara, Santa Barbara, CA, United States |
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"Michael Ludkovski"Parents
Sign in to add mentorRené A. Carmona | grad student | 2005 | Princeton | |
(Optimal switching with applications to energy tolling agreements.) |
Children
Sign in to add traineeQunying Shen | grad student | 2012 | UC Santa Barbara |
Chun-Hsiung Lu | grad student | 2014 | UC Santa Barbara |
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Publications
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Balata A, Ludkovski M, Maheshwari A, et al. (2020) Statistical Learning for Probability-Constrained Stochastic Optimal Control European Journal of Operational Research |
Rodriguez S, Ludkovski M. (2020) Probabilistic bisection with spatial metamodels European Journal of Operational Research. 286: 588-603 |
Maheshwari A, Heleno M, Ludkovski M. (2020) The effect of rate design on power distribution reliability considering adoption of distributed energy resources Applied Energy. 268: 114964 |
Ludkovski M, Maheshwari A. (2020) Simulation Methods for Stochastic Storage Problems: A Statistical Learning Perspective Energy Systems. 11: 377-415 |
Binois M, Huang J, Gramacy RB, et al. (2019) Replication or Exploration? Sequential Design for Stochastic Simulation Experiments Technometrics. 61: 7-23 |
Ichiba T, Ludkovski M, Sarantsev A. (2019) Dynamic Contagion in a Banking System with Births and Defaults Annals of Finance. 15: 489-538 |
Ludkovski M, Risk J, Zail H. (2018) Gaussian Process Models for Mortality Rates and Improvement Factors Astin Bulletin. 48: 1307-1347 |
Ludkovski M. (2018) Kriging metamodels and experimental design for Bermudan option pricing Journal of Computational Finance. 22: 37-77 |
Risk J, Ludkovski M. (2018) Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement Siam Journal On Financial Mathematics. 9: 1137-1174 |
Binois M, Gramacy RB, Ludkovski M. (2018) Practical Heteroscedastic Gaussian Process Modeling for Large Simulation Experiments Journal of Computational and Graphical Statistics. 27: 808-821 |