Marvin Nakayama

Professor, Computer Science

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

http://web.njit.edu/~marvin

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: 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

"Some Asymptotic Regimes for Quantile Estimation"
IEEE, December, 2024.

"Efficiency of Estimating Functions of Means in Rare-Event Contexts"
IEEE, December, 2023.

"Confidence Intervals for Randomized Quasi-Monte Carlo Estimators"
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.

"Sufficient Conditions for a Central Limit Theorem to Assess the Error of Randomized Quasi-Monte Carlo Methods"
IEEE, December, 2021.

"Comparing Regenerative-Simulation-Based Estimators of the Distribution of the Hitting Time to a Rarely Visited Set "
IEEE, December, 2020.

"Quantile Estimation via a Combination of Conditional Monte Carlo and Randomized Quasi-Monte Carlo "
IEEE, December, 2020.

"Monte Carlo Estimation of Economic Capital"
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.

"History of Improving Statistical Efficiency"
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.

"Efficient Estimation of the Mean Hitting Time to a Set of a Regenerative System"
IEEE, December, 2019.

"Randomized Quasi-Monte Carlo for Quantile Estimation"
IEEE, December, 2019.

"On the Estimation of Mean Time to Failure by Simulation"
2017 Winter Simulation Conference, IEEE, December, 2017.

"Quantile Estimation Using Conditional Monte Carlo and Latin Hypercube Sampling"
2017 Winter Simulation Conference, IEEE, December, 2017.

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.

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.

"Efficient Algorithms for Analyzing Cascading Failures in a Markovian Dependability Model"
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.

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