Reuven Rubinstein (1938-2012)( he, ראובן רובינשטיין) was an Israeli

scientist A scientist is a person who conducts Scientific method, scientific research to advance knowledge in an Branches of science, area of the natural sciences. In classical antiquity, there was no real ancient analog of a modern scientist. Instead, ...

known for his contributions to

Monte Carlo simulation Monte Carlo methods, or Monte Carlo experiments, are a broad class of computational algorithms that rely on repeated random sampling to obtain numerical results. The underlying concept is to use randomness to solve problems that might be determini ...

applied probability Applied probability is the application of probability theory to statistical problems and other scientific and engineering domains. Scope Much research involving probability is done under the auspices of applied probability. However, while such res ...

, stochastic modeling and

stochastic optimization Stochastic optimization (SO) methods are optimization methods that generate and use random variables. For stochastic problems, the random variables appear in the formulation of the optimization problem itself, which involves random objective funct ...

, having authored more than one hundred papers and six books. During his career, Rubinstein has made fundamental and important contributions in these fields and has advanced the theory and application of adaptive

importance sampling Importance sampling is a Monte Carlo method for evaluating properties of a particular distribution, while only having samples generated from a different distribution than the distribution of interest. Its introduction in statistics is generally att ...

, rare event simulation,

sensitivity analysis Sensitivity analysis is the study of how the uncertainty in the output of a mathematical model or system (numerical or otherwise) can be divided and allocated to different sources of uncertainty in its inputs. A related practice is uncertainty anal ...

of simulation-based models, the splitting method, and counting problems concerning

NP-complete In computational complexity theory, a problem is NP-complete when: # it is a problem for which the correctness of each solution can be verified quickly (namely, in polynomial time) and a brute-force search algorithm can find a solution by tryi ...

problems. He is well known as the founder of several breakthrough methods, such as the score function method, stochastic counterpart method and

cross-entropy method The cross-entropy (CE) method is a Monte Carlo method for importance sampling and optimization. It is applicable to both combinatorial and continuous problems, with either a static or noisy objective. The method approximates the optimal importance ...

, which have numerous applications in

combinatorial optimization Combinatorial optimization is a subfield of mathematical optimization that consists of finding an optimal object from a finite set of objects, where the set of feasible solutions is discrete or can be reduced to a discrete set. Typical combi ...

and

simulation A simulation is the imitation of the operation of a real-world process or system over time. Simulations require the use of Conceptual model, models; the model represents the key characteristics or behaviors of the selected system or proc ...

. His citation index is in the top 5% among his colleagues in

operations research Operations research ( en-GB, operational research) (U.S. Air Force Specialty Code: Operations Analysis), often shortened to the initialism OR, is a discipline that deals with the development and application of analytical methods to improve deci ...

and

management science Management science (or managerial science) is a wide and interdisciplinary study of solving complex problems and making strategic decisions as it pertains to institutions, corporations, governments and other types of organizational entities. It is ...

s. His 1981 book "Simulation and the Monte Carlo Method", Wiley (second edition 2008 and third edition 2017, with

Dirk Kroese Dirk Pieter Kroese (born 1963) is a Dutch-Australian mathematician and statistician, and Professor at the University of Queensland. He is known for several contributions to applied probability, kernel density estimation, Monte Carlo methods and ...

) alone has over 9,000 citations. He has held visiting positions in various research institutes, including

Columbia University Columbia University (also known as Columbia, and officially as Columbia University in the City of New York) is a private research university in New York City. Established in 1754 as King's College on the grounds of Trinity Church in Manhatt ...

Harvard University Harvard University is a private Ivy League research university in Cambridge, Massachusetts. Founded in 1636 as Harvard College and named for its first benefactor, the Puritan clergyman John Harvard, it is the oldest institution of higher le ...

Stanford University Stanford University, officially Leland Stanford Junior University, is a private research university in Stanford, California. The campus occupies , among the largest in the United States, and enrolls over 17,000 students. Stanford is consider ...

, IBM and

Bell Laboratories Nokia Bell Labs, originally named Bell Telephone Laboratories (1925–1984), then AT&T Bell Laboratories (1984–1996) and Bell Labs Innovations (1996–2007), is an American industrial research and scientific development company owned by mult ...

. He has given invited and plenary lectures in many international conferences around the globe. In 2010 Prof. Rubinstein won the INFORMS Simulation Society highest prize - the Lifetime Professional Achievement Award (LPAA), which recognizes scholars who have made fundamental contributions to the field of simulation that persist over most of a professional career. In 2011 Reuven Rubinstein won from the Operations Research Society of Israel (ORSIS) the Lifetime Professional Award (LPA), which recognizes scholars who have made fundamental contributions to the field of operations research over most of a professional career and constitutes ORSIS's highest award.

Publications

*Rubinstein R.Y., "Simulation and the Monte Carlo Method", Wiley, 1981. *Rubinstein, R.Y. and A. Shapiro, "Discrete Event Systems: Sensitivity Analysis and Stochastic Optimization", Wiley, 1993. *Rubinstein, R.Y., "The cross-entropy method for combinatorial and continuous Optimization", Methodology and Computing in Applied Probability, 2, 127—190, 1999. *Rubinstein R.Y., "Randomized algorithms with splitting: Why the classic randomized algorithms do not work and how to make them work", Methodology and Computing in Applied Probability, 2009. *Rubinstein R.Y. and D.P. Kroese, "The Cross-Entropy Method: a Unified Approach to Combinatorial Optimization, Monte-Carlo Simulation and Machine Learning", Springer, 2004. *Rubinstein R.Y. and D.P. Kroese, "Simulation and the Monte Carlo Method", Second Edition, Wiley, 2008. *Rubinstein R.Y. and D.P. Kroese, "Simulation and the Monte Carlo Method", Third Edition, Wiley, 2017.

References

{{DEFAULTSORT:Rubinstein, Reuven Israeli Jews Israeli mathematicians Israeli operations researchers Columbia University staff Harvard University staff Stanford University staff 1938 births 2012 deaths Jewish systems scientists