Marvin Nakayama
Professor, Computer Science
- Marvin.Nakayama@njit.edu
- 973-596-3398
- 4312 Guttenberg Information Technologies Center (GITC)
About Me
Marvin Nakayama is a professor in the computer science department at NJIT. He has a Ph.D. and M.S. in operations research from Stanford University, and a B.A. in mathematics-computer science from U.C. San Diego. A recipient of a CAREER award from NSF, he served as the simulation area editor for INFORMS Journal on Computing, and is on the editorial board of ACM Transactions on Modeling and Computer Simulation.
Education
Ph.D.; Stanford University; Operations Research; 1991
M.S.; Stanford University; Operations Research; 1988
B.A.; University of California-San Diego; Mathematics-Computer Science; 1986
Website
2026 Fall Courses
IS 726 - INDEPENDENT STUDY II
IT 488 - INDEPENDENT STUDY
CS 701B - MASTER'S THESIS
CS 725 - INDEPENDENT STUDY I
CS 726 - INDEPENDENT STUDY II
CS 790A - DOCT DISSERTATION & RES
IS 488 - INDEPENDENT STUDY IN INFO
CS 488 - INDEPENDENT STUDY IN CS
CS 489 - COMPUTER SCIENCE RESEARCH PROJ
IS 491 - SENIOR PROJECT - IS
CS 792 - PRE-DOCTORAL RESEARCH
IS 700B - MASTER'S PROJECT
IS 776 - IS RESEARCH STUDY
CS 341 - FOUND OF COMPUTER SCIENCE II-HONORS
IS 725 - INDEPENDENT STUDY I
IS 701B - MASTER'S THESIS
CS 700B - MASTER'S PROJECT
IS 489 - INFO UNDERGRAD THESIS RESEARCH
IS 790A - DOCT DISSERTATION & RES
IS 792 - PRE-DOCTORAL RESEARCH
Teaching Interests
Theory of Computation, Stochastic Simulation and Modeling
Past Courses
CS 103: COMPUT SCI-BUSINESS PROB
CS 341: FOUND OF COMPUTER SCIENCE II
CS 341: FOUND OF COMPUTER SCIENCE II - HONORS
CS 341: FOUND OF COMPUTER SCIENCE II-HONORS
CS 341: FOUNDATIONS OF COMPUTER SCIENCE II
CS 661: SYSTEMS SIMULATION
IE 651: INDUSTRIAL SYM & MODEL
Research Interests
Stochastic modeling, Monte Carlo, randomized quasi-Monte Carlo, discrete-event simulation, variance reduction, output analysis, statistics, fault-tolerant computing, risk analysis, energy.
Conference Paper
"Central Limit Theorem for a Randomized Quasi-Monte Carlo Estimator of a Smooth Function of Means"
IEEE, December, 2025.
IEEE, December, 2025.
"Computing Estimators of a Quantile and Conditional Value-At-Risk "
IEEE, December, 2025.
IEEE, December, 2025.
"Some Asymptotic Regimes for Quantile Estimation"
IEEE, December, 2024.
IEEE, December, 2024.
"Efficiency of Estimating Functions of Means in Rare-Event Contexts"
IEEE, December, 2023.
IEEE, December, 2023.
"Confidence Intervals for Randomized Quasi-Monte Carlo Estimators"
IEEE, December, 2023.
IEEE, December, 2023.
"Density Estimators of the Cumulative Reward up to a Hitting Time to a Rarely Visited Set of a Regenerative System "
IEEE, December, 2022.
IEEE, December, 2022.
"Sufficient Conditions for a Central Limit Theorem to Assess the Error of Randomized Quasi-Monte Carlo Methods"
IEEE, December, 2021.
IEEE, December, 2021.
"Comparing Regenerative-Simulation-Based Estimators of the Distribution of the Hitting Time to a Rarely Visited Set "
IEEE, December, 2020.
IEEE, December, 2020.
"Quantile Estimation via a Combination of Conditional Monte Carlo and Randomized Quasi-Monte Carlo "
IEEE, December, 2020.
IEEE, December, 2020.
"Monte Carlo Estimation of Economic Capital"
2018 Winter Simulation Conference, IEEE, December, 2018.
2018 Winter Simulation Conference, IEEE, December, 2018.
"Using Regenerative Simulation to Calibrate Exponential Approximations to Risk Measures of Hitting Times to Rarely Visited Sets"
2018 Winter Simulation Conference, IEEE, December, 2018.
2018 Winter Simulation Conference, IEEE, December, 2018.
"History of Improving Statistical Efficiency"
2017 Winter Simulation Conference, IEEE, December, 2017.
2017 Winter Simulation Conference, IEEE, December, 2017.
Journal Article
Marvin K. Nakayama, Bruno Tuffin. 2024. "Sufficient Conditions for Central Limit Theorems and Confidence Intervals for Randomized Quasi-Monte Carlo Methods." ACM Transactions on Modeling and Computer Simulation, vol. 34, no. 3, pp. 1–38.
Yajuan K Li, Zachary T. Kaplan, Marvin K. Nakayama. 2024. "Monte Carlo Methods for Economic Capital." INFORMS Journal on Computing, vol. 36, no. 1, pp. 266–284.
Jose Blanchet, Juan Li, Marvin K. Nakayama. 2019. "Rare-Event Simulation for Distribution Networks." Operations Research, vol. 67, no. 5, pp. 1383–1396.
Hui Dong, Marvin K. Nakayama. 2017. "Quantile Estimation With Latin Hypercube Sampling." Operations Research, vol. 65, no. 6, pp. 1678-1695.
Andres Alban, Hardik Darji, Atsuki Imamura, Marvin K. Nakayama. 2017. " Efficient Monte Carlo Methods for Estimating Failure Probabilities." Reliability Engineering and System Safety/Elsevier, vol. 165, pp. 376-394.
Mihir Sanghavi, Sashank Tadepalli, Timothy J. Boyle, Matthew Downey, Marvin K. Nakayama. 2017. "Efficient Algorithms for Analyzing Cascading Failures in a Markovian Dependability Model." IEEE Transactions on Reliability, vol. 66, no. 2, pp. 258 - 280.
Dave Grabaskas, Marvin K. Nakayama, Richard Denning, Tunc Aldemir. 2016. "Advantages of Variance Reduction Techniques in Establishing Confidence Intervals for Quantiles." Reliability Engineering and System Safety/Elsevier, vol. 149, pp. 187-203.
James M. Calvin, Marvin K. Nakayama. 2015. "Resampled Regenerative Estimators." ACM Transactions on Modeling and Computer Simulation, vol. 25, no. 4, pp. 27 pages.
Marvin K. Nakayama. 2014. "Confidence Intervals for Quantiles Using Sectioning When Applying Variance-Reduction Techniques." ACM Transactions on Modeling and Computer Simulation, vol. 24, no. 4, pp. 21.
Fang Chu, Marvin K. Nakayama. 2012. "Confidence Intervals for Quantiles Estimated Using Variance-Reduction Techniques." ACM Transactions on Modeling and Computer Simulation, vol. 22, no. 2, pp. Article 10, 37 pages plus 12-page online-only appendix.
Marvin K. Nakayama. 2011. "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, pp. 86-94.
Josiane Nzouonta, Marvin K. Nakayama, Cristian M. Borcea. 2011. "On Deriving and Incorporating Multi-hop Path Duration Estimates in VANET Protocols." ACM Transactions on Modeling and Computer Simulation, vol. 21, no. 2, pp. 25 pages.
Srinivasan M Iyer, Marvin K. Nakayama, Alexandros Gerbessiotis. 2009. "A Markovian Dependability Model With Cascading Failures." IEEE Transaction on Computers, vol. 58, no. 9, pp. 1238-1249.
Marvin K. Nakayama. 2009. "Asymptotically Valid Single-StageMultiple-Comparison Procedures." Journal of Statistical Planning and Inference, vol. 139, no. 4, pp. 1348-1356.
Marvin K. Nakayama, Perwez Shahabuddin, Karl Sigman. 2004. "On finite exponential moments for branching processes and busy periods for queues." Journal of Applied Probability, vol. 41, no. A, pp. 273-280.
Chapter
Marvin K. Nakayama, Bruno Tuffin. "Array-RQMC to Speed up the Simulation for Estimating the Hitting-Time Distribution to a Rare Set of a Regenerative System." In Zdravko Botev, Alexander Keller, Christiane Lemieux, Bruno Tuffin, eds., "Advances in Modeling and Simulation: Festschrift for Pierre L'Ecuyer," pp. 333-352. Springer, 2022.
Conference Proceeding
"A Tutorial on Quantile Estimation via Monte Carlo"
Springer Proceedings in Mathematics & Statistics, January (1st Quarter/Winter), 2020.
Springer Proceedings in Mathematics & Statistics, January (1st Quarter/Winter), 2020.
"Efficient Estimation of the Mean Hitting Time to a Set of a Regenerative System"
IEEE, December, 2019.
IEEE, December, 2019.
"Randomized Quasi-Monte Carlo for Quantile Estimation"
IEEE, December, 2019.
IEEE, December, 2019.
"On the Estimation of Mean Time to Failure by Simulation"
2017 Winter Simulation Conference, IEEE, December, 2017.
2017 Winter Simulation Conference, IEEE, December, 2017.
"Quantile Estimation Using Conditional Monte Carlo and Latin Hypercube Sampling"
2017 Winter Simulation Conference, IEEE, December, 2017.
2017 Winter Simulation Conference, IEEE, December, 2017.
"Efficient Quantile Estimation via a Combination of Importance Sampling and Latin Hypercube Sampling"
Proceedings of the 31st Annual European Simulation and Modelling Conference, October (4th Quarter/Autumn), 2017.
Proceedings of the 31st Annual European Simulation and Modelling Conference, October (4th Quarter/Autumn), 2017.
"Variance Reduction for Estimating a Failure Probability with Multiple Criteria"
2016 Winter Simulation Conference, IEEE, December, 2016.
2016 Winter Simulation Conference, IEEE, December, 2016.
"Efficient Quantile Estimation When Applying Stratified Sampling and Conditional Monte Carlo, With Applications to Nuclear Safety"
Proceedings of The Eighth International Conference on Advances in System Simulation (SIMUL 2016), IARIA, August, 2016.
Proceedings of The Eighth International Conference on Advances in System Simulation (SIMUL 2016), IARIA, August, 2016.
"Estimating a Failure Probability Using a Combination of Variance-Reduction Techniques"
Proceedings of the 2015 Winter Simulation Conference, December, 2015.
Proceedings of the 2015 Winter Simulation Conference, December, 2015.
"Quantile Estimation Using a Combination of Stratied Sampling and Control Variates"
International Conference on Industrial Engineering, Management Science and Applications 2015, May, 2015.
International Conference on Industrial Engineering, Management Science and Applications 2015, May, 2015.
"Quantifying Safety Margin Using the Risk-Informed Safety Margin Characterization (RISMC)"
International Topical Meeting on Probabilistic Safety Assessment and Analysis, American Nuclear Society, April (2nd Quarter/Spring), 2015.
International Topical Meeting on Probabilistic Safety Assessment and Analysis, American Nuclear Society, April (2nd Quarter/Spring), 2015.
"Constructing Confidence Intervals for a Quantile Using Batching and Sectioning When Applying Latin Hypercube Sampling"
Proceedings of the 2014 Winter Simulation Conference, December, 2014.
Proceedings of the 2014 Winter Simulation Conference, December, 2014.
"Quantile Estimation When Applying Conditional Monte Carlo"
SIMULTECH 2014 Proceedings, August, 2014.
SIMULTECH 2014 Proceedings, August, 2014.
"Using Sectioning to Construct Confidence Intervals for Quantiles When Applying Antithetic Variates"
Proceedings of the 2014 Summer Simulation Multi-Conference, July (3rd Quarter/Summer), 2014.
Proceedings of the 2014 Summer Simulation Multi-Conference, July (3rd Quarter/Summer), 2014.
"Confidence Intervals for Quantiles with Standardized Time Series"
Proceedings of the 2013 Winter Simulation Conference, December, 2013.
Proceedings of the 2013 Winter Simulation Conference, December, 2013.
"Using Sectioning to Construct Confidence Intervals for Quantiles When Applying Importance Sampling"
Winter Simulation Conference, December, 2012.
Winter Simulation Conference, December, 2012.
"Confidence Intervals for Quantiles When Applying Replicated Latin Hypercube Sampling and Sectioning"
Autumn Simulation Conference, The Society for Modeling & Simulation International, October (4th Quarter/Autumn), 2012.
Autumn Simulation Conference, The Society for Modeling & Simulation International, October (4th Quarter/Autumn), 2012.
"The Use of Latin Hypercube Sampling for the Efficient Estimation of Confidence Intervals"
American Nuclear Society, International Congress on Advances in Nuclear Power Plants (ICAPP 2012), June, 2012.
American Nuclear Society, International Congress on Advances in Nuclear Power Plants (ICAPP 2012), June, 2012.
"A Conditional Monte Carlo Method for Estimating the Failure Probability of a Distribution Network With Random Demands"
Winter Simulation Conference, December, 2011.
Winter Simulation Conference, December, 2011.
"Asymptotic Properties of Kernel Density Estimators When Applying Importance Sampling"
Winter Simulation Conference, December, 2011.
Winter Simulation Conference, December, 2011.
"Kernel Density Estimation When Importance Sampling is Applied"
INFORMS Applied Probability Conference, July (3rd Quarter/Summer), 2011.
INFORMS Applied Probability Conference, July (3rd Quarter/Summer), 2011.
"Confidence Intervals for Quantiles and Value-at-Risk When Applying Importance Sampling"
2010 Winter Simulation Conference, December, 2010.
2010 Winter Simulation Conference, December, 2010.
"Confidence Intervals for Quantiles When Applying Latin Hypercube Sampling"
The Second International Conference on Advances in System Simulation, August, 2010.
The Second International Conference on Advances in System Simulation, August, 2010.
"Confidence Intervals for Quantiles When Applying Variance-Reduction Techniques"
8th International Workshop on Rare Event Simulation, June, 2010.
8th International Workshop on Rare Event Simulation, June, 2010.
"A General Framework for the Asymptotic Validity of Two-Stage Procedures for Selection and Multiple Comparisons with Consistent Variance Estimators"
Winter Simulation Conference, December, 2009.
Winter Simulation Conference, December, 2009.
"Vulnerability Assessment for Cascading Failures in Electric Power Systems"
IEEE Power and Energy Society Power Systems Conference and Exposition 2009, March, 2009.
IEEE Power and Energy Society Power Systems Conference and Exposition 2009, March, 2009.
"Statistical Analysis of Simulation Output"
2008 Winter Simulation Conference, December, 2008.
2008 Winter Simulation Conference, December, 2008.
"Run-Length Variability of Two-Stage Multiple Comparisons with the Best for Steady-State Simulations and its Implications For Choosing First-Stage Run Lengths"
2008 Winter Simulation Conference, December, 2008.
2008 Winter Simulation Conference, December, 2008.
Conference Abstract
"Quantile Estimation via a Combination of Conditional Monte Carlo and Latin Hypercube Sampling"
13th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, INRIA, July (3rd Quarter/Summer), 2018.
13th International Conference in Monte Carlo & Quasi-Monte Carlo Methods in Scientific Computing, INRIA, July (3rd Quarter/Summer), 2018.
Other
"Efficient Monte Carlo Methods for Estimating Risk of Nuclear Power Plants"
BOOK OF ABSTRACTS Eighth International Undergraduate Summer Research Symposium, July (3rd Quarter/Summer), 2015.
BOOK OF ABSTRACTS Eighth International Undergraduate Summer Research Symposium, July (3rd Quarter/Summer), 2015.
"Efficient Algorithms for Analyzing Cascading Failures in a Markovian Dependability Model"
Book of Abstracts: Seventh International Summer Research Symposium, July (3rd Quarter/Summer), 2014.
Book of Abstracts: Seventh International Summer Research Symposium, July (3rd Quarter/Summer), 2014.
Technical Report
"Characterization and Quantification of Safety Margin"
Argonne National Laboratory, Department of Energy.
Argonne National Laboratory, Department of Energy.