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                                                         Seminar
             Department of Systems Engineering and Engineering Management
The Chinese University of Hong Kong

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Title	:	Estimating Quantile Sensitivities
Speaker	:	Prof. Jeff Hong
		Industrial Engineering and Logistics Management
		The Hong Kong University of Science and Technology
Date	:	April 27th, 2007 (Friday)
Time	:	4:30 p.m. - 5:30 p.m.
Venue	:	Room 513
		William M.W. Mong Engineering Building
		(Engineering Building Complex Phase 2)
		CUHK

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Abstract:
　

Quantiles of a random performance serve as important alternatives to the usual expected value. They are used in financial industry as measures of risk and in service industry as measures of service quality. To manage the quantile of a performance, we need to know how changes in the input parameters affect the output quantiles, which are called quantile sensitivities. In this paper we show that the quantile sensitivities can be written in the form of conditional expectations. Based on the conditional-expectation form, we first propose an infinitesimal-perturbation-analysis (IPA) estimator. The IPA estimator is asymptotically unbiased, but it is not consistent. We then obtain a consistent estimator by dividing data into groups and averaging the IPA estimates of all groups. The estimator also satisfies a central limit theorem for the i.i.d. data. The numerical results show that the estimator works well for practical problems.

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Biography:
　

Jeff Hong is an assistant professor in industrial engineering and logistics management at The Hong Kong University of Science and Technology. He received his Bachelor's degrees in automotive engineering and industrial engineering from Tsinghua University and his Ph.D. degree in industrial engineering and management sciences from Northwestern University. His research interests include Monte-Carlo method, sensitivity analysis and simulation optimization. He currently serves as an associate editor for Naval Research Logistics and ACM Transactions on Modeling and Computer Simulation.

************************* ALL ARE WELCOME ************************

Host	:	Prof. Nan Chen
Tel	:	(852) 2603-5505
Email	:	nchen@se.cuhk.edu.hk
Enquiries	:	Bolin Ding or Jeffrey Xu Yu
	:	Department of Systems Engineering and Engineering Management
		CUHK
Website	:	http://www.se.cuhk.edu.hk/~seg5810
Email	:	seg5810@se.cuhk.edu.hk

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