Applied Probability, Financial Engineering, Information Technology Modeling, Network Design and Analysis, Optimization

Office: 230 Rhodes

Phone: 607.255.9126

Website: click here

Fax: 607.255.9129

Shane Henderson received his BSc in Mathematics from the University of Auckland, New Zealand in 1992, his MS in Statistics in 1995 and Ph.D in Operations Research in 1997 from Stanford University. Henderson joined the OR faculty in 2001.

Henderson’s research is concerned with discrete-event simulation, from input analysis (for example, extension of simple input models to capture correlation between inputs) to output analysis (for example, using martingales in simulation to achieve variance reduction). A new emphasis in his work is the interplay between optimization and simulation. He is particularly interested in structured simulation optimization, where the optimization problem enjoys certain properties such as convexity or quasi convexity that can be used to develop algorithms that are robust and fast. Specific applications in this area include radiation treatment planning; call center planning, yacht match racing, ambulance deployment, adaptive Monte Carlo and policy identification in complex networks.

Current work also explores the use of general variance reduction techniques, in particular, looking at the use of martingales to obtain variance reduction in simulations of Markov processes. This involves exploring adaptive methods to tune the variance reduction and extending the methods from the Markov setting to general discrete-event simulations. Additional research interests concern regenerative methods of simulation, dependence structures and input uncertainty.

Select Publications

“Behavior of the NORTA method for correlated random vector generation as the dimension increases”. ACM Transactions on Modeling and Computer Simulation, 13 276 - 294 (2003).

“A simulation model for predicting yacht match race outcomes”. Operations Research, 52 1 -1 6 (2003). (With A.B. Philpot and D. Tierney)

“Estimation for non homogenous Poisson processes from aggregated data”. Operations Research Letters, 31, 375 - 382 (2003).

“Call center staffing with simulation and cutting plane methods”. Annals of Operations Research, 127, 333 - 358 (2004). (With J. Atlason and M. Epelman)

Lectures

Adaptive control variates. INFORMS Applied Probability, May 2004.

Modeling random vectors with chessboard distributions. Dependence modeling with statistical and financial applications, May 2004.

What are you missing in your simulation model? INFORMS Practice Conference, April 2004.

Policy selection in stochastic processing networks using simulation. IBM, T.J. Watson Center, July 2003.

Professional Activities

Member, Institute for Operations Research and Management Science (INFORMS)

Secretary, Simulation Society, INFORMS

Member, Applied Probability Society, INFORMS

Area Editor: Simulation, Operations Research, January 2006 - present

Associate Editor, ACM Transactions on Modeling and Computer Simulation, 2000-present

Associate Editor, Mathematics of Operations Research, 2002-2005

Associate Editor, Operations Research Letters, 2002-present

Editor, (jointly with Barry L. Nelson), Handbook of Simulation, Elsevier Science series, "Handbooks in Operations Research & Management Science".

Awards and Recognition

Outstanding Teacher Award, ORIE, Cornell University, 2003

College of Engineering Sonny Yau Excellence in Teaching Award, 2003

NSF Career Award, 1999

Thomas W. Ford Fellow, Stanford University, 1996

Fulbright Scholar, 1992-1997