About Me
I am a Groseclose Postdoctoral Fellow at the H. Milton Stewart School of Industrial and Systems Engineering (ISyE), Georgia Institute of Technology, working with Professor Enlu Zhou. I received my Ph.D. in Applied Mathematics and Statistics from Stony Brook University in 2025 under the supervision of Professor Jiaqiao Hu.
My research focuses on developing simulation-based optimization algorithms for black-box stochastic systems under uncertainty, with the goal of quantifying and optimizing unknown risk functions. A central theme of my current work is Bayesian risk optimization and its applications to risk-averse Markov Decision Processes and reinforcement learning.
Research Interests
- Risk-based simulation optimization (VaR and CVaR)
- Bayesian risk optimization for decision-making under uncertainty
- Bayesian risk-averse Markov Decision Processes and reinforcement learning
- Multi-agent reinforcement learning
Selected Publications
- J. Hu, M. Song, M. C. Fu (2024). Quantile Optimization via Multiple Timescale Local Search for Black-box Functions. Operations Research. link DOI: 10.1287/opre.2022.0534
- J. Hu, M. Song, M. C. Fu, Y. Peng (2024). Simulation Optimization of Conditional Value-at-Risk. IISE Transactions.
- M. Song, J. Hu, M. C. Fu (2023). Simultaneous Perturbation-Based Stochastic Approximation for Quantile Optimization. Winter Simulation Conference (WSC) pp. 3565–3576. link Best Contributed Theoretical Paper — Finalist; DOI: 10.1109/WSC60868.2023.10408706
- M. Song, et al. (2023). Differentiable Arbitrating in Zero-sum Markov Games. AAMAS 2023. link Oral presentation.
- X. Zhao, M. Song, et al. (2020). Data‑Driven Temporal‑Spatial Model for the Prediction of AQI in Nanjing. Journal of Artificial Intelligence and Soft Computing Research, 10(4), 255–270. link DOI: 10.2478/jaiscr-2020-0017
Teaching
- Instructor, Probability & Statistics (Stony Brook University, Summers 2022–2024)
- Recitation/TA for Introduction to Mathematical Statistics, Multivariable Calculus, Differential Equations, and Data Analysis (Stony Brook University, 2019–2022)
Contact
Office: ISyE Main 324 · Email: msong97@gatech.edu