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- Ilya O. Ryzhov, Warren B. Powell, Peter I. Frazier
- Operations Research
- 2012

We derive a one-period look-ahead policy for finiteand infinite-horizon online optimal learning problems with Gaussian rewards. Our approach is able to handle the case where our prior beliefs aboutâ€¦ (More)

- Ilya O. Ryzhov
- Operations Research
- 2016

We consider a ranking and selection problem with independent normal observations, and analyze the asymptotic sampling rates of expected improvement (EI) methods in this setting. Such methods oftenâ€¦ (More)

- Ilya O. Ryzhov, Warren B. Powell
- 2009 IEEE Symposium on Adaptive Dynamicâ€¦
- 2009

We derive a one-period look-ahead policy for online subset selection problems, where learning about one subset also gives us information about other subsets. The subset selection problem is treatedâ€¦ (More)

- Ilya O. Ryzhov, Warren B. Powell
- Operations Research
- 2011

We derive a knowledge gradient policy for an optimal learning problem on a graph, in which we use sequential measurements to refine Bayesian estimates of individual edge values in order to learnâ€¦ (More)

- Marie Chau, Michael C. Fu, Huashuai Qu, Ilya O. Ryzhov
- Proceedings of the Winter Simulation Conferenceâ€¦
- 2014

We provide a tutorial overview of simulation optimization methods, including statistical ranking & selection (R&S) methods such as indifference-zone procedures, optimal computing budget allocationâ€¦ (More)

- Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu, Zi Ding
- Operations Research
- 2015

- Nikola Markovic, Ilya O. Ryzhov, Paul Schonfeld
- Networks
- 2015

The flow-capturing problem (FCP) consists of locating facilities to maximize the number of flow-based customers that encounter at least one of these facilities along their predetermined travel paths.â€¦ (More)

- Ye Chen, Ilya O. Ryzhov
- 2017 Winter Simulation Conference (WSC)
- 2017

Expected improvement (EI) is a leading algorithmic approach to simulation-based optimization. However, it was recently proved that, in the context of ranking and selection, some of the mostâ€¦ (More)

- Huashuai Qu, Ilya O. Ryzhov, Michael C. Fu
- Proceedings Title: Proceedings of the 2012 Winterâ€¦
- 2012

We create the first computationally tractable Bayesian statistical model for learning unknown correlations among estimated alternatives in fully sequential ranking and selection. Althoughâ€¦ (More)

- Ilya O. Ryzhov, Peter I. Frazier, Warren B. Powell
- ICCS
- 2010

We analyze the robustness of a knowledge gradient (KG) policy for the multi-armed bandit problem. The KG policy is based on a one-period look-ahead, which is known to underperform in other learningâ€¦ (More)