Jiuyun Jiang, Yuecheng Hong, Bo Yang, Jin Yang, Guangxin Jiang, Xiaomeng Guo, Guang Xiao. Proceedings of the 64th Annual Meeting of the Association for Computational Linguistics (Volume 1: Long Papers). 2026.

Recent years have witnessed exponential growth in developing deep learning models for time series electricity forecasting in power systems. However, most of the proposed models are designed based on the designers’ inherent knowledge and experience without elaborating on the suitability of the proposed neural architectures. Moreover, these models cannot be self-adjusted to dynamically changed data patterns due to the inflexible design of their structures. Although several recent studies have considered the application of the neural architecture search (NAS) technique for obtaining a network with an optimized structure in the electricity forecasting sector, their training process is computationally expensive and their search strategies are not flexible, indicating that the NAS application in this area is still at an infancy stage. In this study, we propose an intelligent automated architecture search (IAAS) framework for the development of time series electricity forecasting models. The proposed framework contains three primary components, that is, network function–preserving transformation operation, reinforcement learning–based network transformation control, and heuristic network screening, which aim to improve the search quality of a network structure. After conducting comprehensive experiments on two publicly available electricity load data sets and two wind power data sets, we demonstrate that the proposed IAAS framework significantly outperforms the 10 existing models or methods in terms of forecasting accuracy and stability. Finally, we perform an ablation experiment to showcase the importance of critical components in the proposed IAAS framework in improving forecasting accuracy. History: Accepted by Ram Ramesh, Area Editor for Data Science and Machine Learning. Funding: J. Yang, G. Jiang, and Y. Chen were supported by the National Natural Science Foundation of China [Grants 72293562, 72121001, 72101066, 72131005, 71801148, and 72171060]. Y. Chen was supported by the Heilongjiang Natural Science Excellent Youth Fund [YQ2022G004]. Supplemental Material: The software ( Yang et al. 2023 ) that supports the findings of this study is available within the paper and its Supplemental Information ( https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2023.0034 ) as well as from the IJOC GitHub software repository ( https://github.com/INFORMSJoC/2023.0034 ). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/ .

In derivative pricing and hedging, the consistency between the price and Greek surfaces (i.e., the Greek surfaces can be obtained by differentiating the price surface) is important in stabilizing the balance sheet and reducing the hedging cost. To build consistent surfaces of the price and Greeks for real-time decisions, we propose to use the gradient-enhanced stochastic kriging method, based on the data collected through extensive simulation experiments conducted when the market is closed. In addition to the naturally guaranteed consistency, we prove that the constructed price and Greek surfaces are more accurate than those constructed separately using stochastic kriging. Besides the consistency between the price and Greeks, we show that the partial differential equation relation between the price and Greeks, implied by the famous Feynman-Kac formula, can also be used to further improve the accuracy of the constructed surfaces. The numerical studies show that our proposed metamodeling methods work well for derivative pricing and hedging. History: Accepted by Bruno Tuffin, Area Editor for Simulation. Funding: This work was supported by the National Natural Science Foundation of China [Grants 72161160340, 72293562, 72121001, 72031006, and 72171060]. Supplemental Material: The software that supports the findings of this study is available within the paper and its Supplemental Information ( https://pubsonline.informs.org/doi/suppl/10.1287/ijoc.2023.0292 ) as well as from the IJOC GitHub software repository ( https://github.com/INFORMSJoC/2023.0292 ). The complete IJOC Software and Data Repository is available at https://informsjoc.github.io/ .

In recent years, with the rapid development of computing technology, developing parallel procedures to solve large-scale ranking and selection (R&S) problems has attracted a lot of research attention. In this paper, we take fixed-budget R&S procedure as an example to investigate potential issues of developing parallel procedures. We argue that to measure the performance of a fixed-budget R&S procedure in solving large-scale problems, it is important to quantify the minimal growth rate of the total sampling budget such that as the number of alternatives increases, the probability of correct selection (PCS) would not decrease to zero. We call such a growth rate of the total sampling budget the rate for maintaining correct selection (RMCS). We show that a tight lower bound for the RMCS of a broad class of existing fixed-budget procedures is in the order of [Formula: see text], where k is the number of alternatives. Then, we propose a new type of fixed-budget procedure, namely the fixed-budget knockout-tournament ([Formula: see text]) procedure. We prove that, in terms of the RMCS, our procedure outperforms existing fixed-budget procedures and achieves the optimal order, that is, the order of k. Moreover, we demonstrate that our procedure can be easily implemented in parallel computing environments with almost no nonparallelizable calculations. Last, a comprehensive numerical study shows that our procedure is indeed suitable for solving large-scale problems in parallel computing environments. History: Accepted by Bruno Tuffin, Area Editor for Simulation. Funding: Y. Zhong was supported by the National Natural Science Foundation of China [Grant 72101047]. L. J. Hong was supported by the National Natural Science Foundation of China [Grants 72091211 and 72161160340]. G. Jiang was supported by the National Natural Science Foundation of China [Grants 72121001 and 72171060]. Supplemental Material: The online appendix is available at https://doi.org/10.1287/ijoc.2022.1221 .

Estimating portfolio risk measures and classifying portfolio risk levels in real time are important yet challenging tasks. In this paper, we propose to build a logistic regression model using data generated in past simulation experiments and to use the model to predict portfolio risk measures and classify risk levels at any time. We further explore regularization techniques, simulation model structure, and additional simulation budget to enhance the estimators of the logistic regression model to make its predictions more precise. Our numerical results show that the proposed methods work well. Our work may be viewed as an example of the recently proposed idea of simulation analytics, which treats a simulation model as a data generator and proposes to apply data analytics tools to the simulation outputs to uncover conditional statements. Our work shows that the simulation analytics idea is viable and promising in the field of financial risk management.