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Personal profile

Research Interests

 

Stochastic Simulation, Applied Probability, Heavy Tails, Rare Event Analysis, Markov chain Monte Carlo, Sensitivity Analysis, Energy Systems, Experimental Design.

 

Education/Academic qualification

Mathematics and Computer Science, BSc, Seoul National University

Computational and Mathematical Engineering, PhD, Stanford University

Computational and Mathematical Engineering, MSc, Stanford University

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Research Output

  • 121 Citations
  • 6 Article
  • 2 Conference contribution

Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound Poisson processes

Chen, B., Blanchet, J., Rhee, C. H. & Zwart, B., 2019, In : Mathematics of Operations Research. 44, 3, p. 919-942 24 p.

Research output: Contribution to journalArticle

  • 2 Scopus citations

    Queue length asymptotics for the multiple-server queue with heavy-tailed Weibull service times

    Bazhba, M., Blanchet, J., Rhee, C. H. & Zwart, B., Dec 1 2019, In : Queueing Systems. 93, 3-4, p. 195-226 32 p.

    Research output: Contribution to journalArticle

    Open Access
  • Sample path large deviations for levy processes and random walks with regularly varying increments

    Rhee, C. H., Blanchet, J. & Zwart, B., Jan 1 2019, In : Annals of Probability. 47, 6, p. 3551-3605 55 p.

    Research output: Contribution to journalArticle

  • 1 Scopus citations

    Importance sampling of heavy-tailed iterated random functions

    Chen, B., Rhee, C-H. & Zwart, B., Sep 1 2018, In : Advances in Applied Probability. 50, 3, p. 805-832 28 p.

    Research output: Contribution to journalArticle

  • An iterative algorithm for sampling from manifolds

    Rhee, C. H., Zhou, E. & Qiu, P., Jan 23 2015, Proceedings of the 2014 Winter Simulation Conference, WSC 2014. Tolk, A., Yilmaz, L., Diallo, S. Y. & Ryzhov, I. O. (eds.). Institute of Electrical and Electronics Engineers Inc., p. 574-585 12 p. 7019922. (Proceedings - Winter Simulation Conference; vol. 2015-January).

    Research output: Chapter in Book/Report/Conference proceedingConference contribution

  • 3 Scopus citations