Faculty Directory
Chang-Han Rhee

Assistant Professor of Industrial Engineering and Management Sciences

Contact

2145 Sheridan Road
Tech C150
Evanston, IL 60208-3109

Email Chang-Han Rhee

Departments

Industrial Engineering and Management Sciences

Education

Ph.D., M.S. Computational and Mathematical engineering, Stanford University, Stanford, CA

B.Sc Mathematics and Computer Science, Seoul National University, Seoul, South Korea

Research Interests

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

Selected Publications

“Sample-path large deviations for Levy processes and random walks with Weibull incre- ments,” with M. Bazhba, J. Blanchet, and B. Zwart. arXiv:1710.04013.

“Sample-path large deviations for Levy processes and random walks with regularly varying increments,” with J. Blanchet and B. Zwart. arXiv:1606.02795.

“Efficient rare-event simulation for multiple jump events in regularly varying random walks and compound Poisson processes,” with B. Chen, J. Blanchet, and B. Zwart. Mathematics of Operations Research, forthcoming.

“Importance sampling of heavy-tailed iterated random functions,” with B. Chen and B. Zwart. Advances in Applied Probability, forthcoming

“Lyapunov conditions for differentiability of Markov chain expectations: the absolutely continuous case,” with P. W. Glynn. arXiv:1707.03870.

“Space filling design for non-linear models,” with E. Zhou and P. Qiu. arXiv:1710.11616.

“Unbiased estimation with square root convergence for SDE models,” with P. W. Glynn. Operations Research, 63(5): 1026–1043, 2015.