Description: http://www-ec.njit.edu/~marvin/nakayama.jpgMarvin K. Nakayama


Professor
Computer Science Department
College of Computing Sciences
Guttenberg Information Technology Center, Room 4312
218 Central Avenue

New Jersey Institute of Technology
Newark, NJ 07102, U.S.A.

Phone:  (973) 596-3398
Fax:    (973) 596-5777
E-mail: marvin@njit.edu
URL:  web.njit.edu/~marvin

 

 

Office Hours for Spring 2014

Wednesday, Thursday, 1:10 – 2:10

and by appointment

 

 

Course Materials

·       CS 103: Computer Science With Business Problems.

·       CS 341: Foundations of Computer Science II.

·       CS 478: Software Tools for Solving Industrial Problems.

·       CS 661: Systems Simulation (username and password are given in the syllabus).  Click here for information about the course.

·       CS 786: Simulation and Modeling for Engineering and Business (username and password are given in the syllabus). Click here for information about the course.

 

Education

·       Ph.D. in Operations Research, Stanford Univ., 1991.   Advisor: Peter W. Glynn

·       M.S. in Operations Research, Stanford Univ., 1988.

·       B.A. in Mathematics-Computer Science, UC San Diego, 1986.

 

Professional Experience

·       Professor (Assistant, Associate, Full), 1994-present, Computer Science Department, New Jersey Institute of Technology, New Jersey.

·       Visiting Assistant Professor, 1998-1999, Division of Management Science and Operations Management, Columbia Business School, Columbia University, New York.

·       Visiting Assistant Professor, 1993-1994, Department of Management Science and Information Systems, Rutgers School of Management, Rutgers University, New Jersey.

·       Post-Doctoral Fellow, 1991-1993, IBM Thomas J. Watson Research Center, Hawthorne, New York.

 

Honors and Awards

·       Recipient of a National Science Foundation Faculty Early Career Development (CAREER) Award, Grant No. DMI-9624469, 1996-2000. Here is an NJIT press release about the award.

·       Second Prize in the 1992 George E. Nicholson Student Paper Competition (Organized by the Institute for Operations Research and the Management Sciences "to honor outstanding papers in the field of operations research and the management sciences written by a student").

 

Grants

·       National Science Foundation, “CAREER: Comparing Alternative System Designs Using Simulation,” Grant No. DMI-9624469, 1996-2000, $210,000.

·       National Science Foundation, “Efficient Simulation of Large-Scale Systems,” (with J. M. Calvin), Grant No. DMI-9900117, 1999-2002, $189,406.

·       National Science Foundation, “Modeling and Simulation of Complex Stochastic Systems and Cascading Failures, with Applications to the Electric Power Grid,” (with J. M. Calvin), Grant No. CMMI-0926949, 2009-2012, $356,000.

·       National Science Foundation, “Efficient Simulation of Risk and Performance Measures, With Applications to the Design and Operation of Nuclear Power Plants,” Grant No. CMMI-1200065, 2012-2015, $200,000.

·       National Science Foundation, “EXTREEMS-QED: Research and training in computational and data-enabled science and engineering for undergraduates in the mathematical sciences at NJIT,” (with M. Siegel, Z.-H. Michalopoulou, D. Horntrop and J. M. Loh), Grant No. DMS-1331010, 2013-2018, $875,000 (received $524,203 thus far for the first three years).

 

Some Professional Activities

 

Some Research Interests

·       Simulation modeling and analysis

·       Reliability theory and fault-tolerant systems

·       Evaluating risk in finance, business and engineering

·       Computer performance analysis

·       Applied probability

·       Statistics

 

Selected Papers and Publications

·       “Fast Simulation of Highly Dependable Systems with General Failure and Repair Processes,” (with V. F. Nicola, P. Heidelberger, and A. Goyal), IEEE Transactions on Computers, 42 (1993), 1440-1452.

·       “Likelihood Ratio Sensitivity Analysis for Markovian Models of Highly Dependable Systems,” (with A. Goyal and P. W. Glynn), Operations Research, 42 (1994), 137-157. (postscript file) (PDF file)

·       “A Characterization of the Simple Failure Biasing Method for Simulations of Highly Reliable Markovian Systems,” ACM Transactions on Modeling and Computer Simulations, 4 (1994), 52-88. (postscript file) (PDF file)

·       “Two-Stage Stopping Procedures Based on Standardized Time Series,” Management Science, 40 (1994), 1189-1206. (postscript file) (PDF file)

·       Asymptotics of Likelihood Ratio Derivative Estimators in Simulations of Highly Reliable Markovian Systems,” Management Science, 41 (1995), 524-554. (postscript file without the figures) (PDF file without the figures)

·       “General Conditions for Bounded Relative Error in Simulations of Highly Reliable Markovian Systems,” Advances in Applied Probability, 28 (1996), 687-727. (postscript file) (PDF file)

·       “Multiple-Comparison Procedures for Steady-State Simulations,” Annals of Statistics, 25 (1997), 2433-2450. (postscript file) (PDF file)

·       “On Derivative Estimation of the Mean Time to Failure in Simulations of Highly Reliable Markovian Systems,” Operations Research, 46 (1998), 285-290. (postscript file) (PDF file)

·       “Using Permutations in Regenerative Simulations to Reduce Variance,” (with J. Calvin), ACM Transactions on Modeling and Computer Simulations, 8 (1998), 153-193. (postscript file) (PDF file)

·       “Likelihood Ratio Derivative Estimation for Finite-Time Performance Measures in Generalized Semi-Markov Processes,” (with P. Shahabuddin), Management Science, 44 (1998), 1426-1441. (postscript file) (PDF file)

·       “Two-Stage Multiple-Comparison Procedures for Steady-State Simulations,” (with H. Damerdji), ACM Transactions on Modeling and Computer Simulations, 9 (1999), 1-30. (postscript file) (PDF file)

·       “A Sampling Procedure to Estimate Risk Probabilities in Access-Control Security Systems,” (with S. Jacobson and J. Kobza), European Journal of Operational Research, 122, 1 (2000), 123-132.

·       “Multiple Comparisons with the Best Using Common Random Numbers in Steady-State Simulations,” Journal of Statistical Planning and Inference, 85 (2000), 37-48. (postscript file) (PDF file)

·       “Simulation of Processes with Multiple Regeneration Sequences,” (with J. Calvin), Probability in the Engineering and Informational Sciences, 14 (2000), 179-201. (postscript file) (PDF file)

·       “Central Limit Theorems for Permuted Regenerative Estimators,” (with J. Calvin), Operations Research, 48 (2000), 776-787. (postscript file) (PDF file)

·       “Optimal Information Dispersal for Probabilistic Latency Targets,” (with B. Yener), Computer Networks, Vol. 36, Issue 5-6 (August 2001), 695-707.

·       “Techniques for Fast Simulation of Models of Highly Dependable Systems,” (with V. Nicola and P. Shahabuddin), IEEE Transactions on Reliability, 50 (2001), 246-264.

·       “Quick Simulation Methods for Estimating the Unreliability of Regenerative Models of Large Highly Reliable Systems,” (with P. Shahabuddin), Probability in the Engineering and Informational Sciences, vol. 18 (2004), 339–368.  (PDF file)

·       “Permuted Derivative and Importance-Sampling Estimators for Regenerative Simulations,” (with J. Calvin), European Journal of Operational Research, 156, 2 (2004), 390-414. (postscript file)

·       “On Finite Exponential Moments for Branching Processes and Busy Periods for Queues,” (with P. Shahabuddin and K. Sigman), Journal of Applied Probability, 41A (2004), 273-280. (PDF file)

·       “Permuted Standardized Time Series for Steady-State Simulations,” (with J. M. Calvin), Mathematics of Operations Research, 31 (2006), 351-368. (PDF file)

·       “The Semi-Regenerative Method of Simulation Output Analysis,” (with J. M. Calvin and P. W. Glynn), ACM Transactions on Modeling and Computer Simulation, 16 (2006), 280-315. (PDF file)

·       “Fixed-Width Multiple-Comparison Procedures Using Common Random Numbers for Steady-State Simulations,” European Journal of Operational Research, vol. 182, no. 3 (2007), 1330–1349.

·       “Asymptotically Valid Single-Stage Multiple-Comparison Procedures,  Journal of Statistical Planning and Inference, vol. 139 (2009), 1348-1356.  (PDF file)

·       “A Markovian Dependability Model With Cascading Failures,” (with S. M. Iyer and A. V. Gerbessiotis), IEEE Transactions on Computers, vol. 58 (2009), 1238-1249. (PDF file)

·       “On Deriving and Incorporating Multi-hop Path Duration Estimates in VANET Protocols,” (with J. Nzouonta and C. Borcea), ACM Transactions on Modeling and Computer Simulation, vol. 21 (2011), article 14.  (PDF file)

·       “Two-Stage Selection and Multiple-Comparison Procedures for Simulations with Weakly Consistent Variance Estimators,” submitted.

·       “Asymptotically Valid Confidence Intervals for Quantiles and Values-at-Risk When Applying Latin Hypercube Sampling,” International Journal on Advances in Systems and Measurements, vol. 4, no. 1 & 2 (2011), 86-94.  (PDF file)

·       “Confidence Intervals for Quantiles When Applying Variance-Reduction Techniques,” (with F. Chu), ACM Transactions on Modeling and Computer Simulation, vol. 22, no. 2 (2012), article 10.  (PDF file, video of presentation)

·       “Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques,” ACM Transactions on Modeling and Computer Simulation, vol. 24, no. 4 (2014), article 19.  (PDF file)

·       “Kernel Density Estimation When Applying Importance Sampling,” submitted.

·       “Advantages of Variance Reduction Techniques in Establishing Confidence Intervals for Quantiles,” (with D. Grabaskas, R. Denning, and T. Aldemir), submitted.

·       “Resampled Regenerative Estimators,” (with J. M. Calvin), submitted.

 

Presentations

·       “Constructing Confidence Intervals for Quantiles When Using Variance-Reduction Techniques,” (joint work with F. Chu), video, 8th International Workshop on Rare Event Simulation, Isaac Newton Institute for Mathematical Sciences, University of Cambridge, UK, June 2010.  (Accompanying paper).

 

Patents

·        “Redundant routing with deadlines in data networks,” (with B. Yener),  U.S. Patent No. 6,661,775, issued December 9, 2003; Assignee: Lucent Technologies Inc.