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The Optimal Set and Optimal Partition Approach to Linear and Quadratic Programming

Berkelaar, Berkelaar, A.B.; Roos, K.; Terlaky, T. - Faculteit der Economische Wetenschappen, Erasmus … - 1996

In this chapter we describe the optimal set approach for sensitivity analysis for LP. We show that optimal partitions and optimal sets remain constant between two consecutive transition-points of the optimal value function. The advantage of using this approach instead of the classical approach...

Persistent link: https://www.econbiz.de/10010731750

Calculation of Stability Radii for Combinatorial Optimization Problems

Chakravarti, N.; Wagelmans, Wagelmans, A.P.M. - Faculteit der Economische Wetenschappen, Erasmus … - 1997

We present algorithms to calculate the stability radius of optimal or approximate solutions of binary programming problems with a min-sum or min-max objective function. Our algorithms run in polynomial time if the optimization problem itself is polynomially solvable. We also extend our results...

Persistent link: https://www.econbiz.de/10010731826

Sensitivity Analysis in (Degenerate) Quadratic Programming

Berkelaar, Berkelaar, A.B.; Jansen, Jansen, B.; Roos, K.; … - Faculteit der Economische Wetenschappen, Erasmus … - 1996

In this paper we deal with sensitivity analysis in convex quadratic programming, without making assumptions on nondegeneracy, strict convexity of the objective function, and the existence of a strictly complementary solution. We show that the optimal value as a function of a right--hand side...

Persistent link: https://www.econbiz.de/10010837949

Analytic central path, sensitivity analysis and parametric linear programming

Holder, A.G.; Sturm, J.F.; Zhang, Zhang, S. - Faculteit der Economische Wetenschappen, Erasmus … - 1998

In this paper we consider properties of the central path and the analytic center of the optimal face in the context of parametric linear programming. We first show that if the right-hand side vector of a standard linear program is perturbed, then the analytic center of the optimal face is...

Persistent link: https://www.econbiz.de/10011149270

Simulation-based solution of stochastic mathematical programs with complementarity constraints: sample-path analyis

Gurkan, G.; Listes, Listes, O.L. - Faculteit der Economische Wetenschappen, Erasmus … - 2004

be used for modeling "average" or steady-state behavior of complex stochastic systems. Recently, simulation-based methods …

Persistent link: https://www.econbiz.de/10010731565

Arrival processes in port modeling: insights from a case study

Dekker, Rommert; van Asperen, van Asperen, E.; Polman, M.; … - Faculteit der Economische Wetenschappen, Erasmus … - 2004

are considered: controlled and uncontrolled. Simulation results show that uncontrolled arrivals of ships perform worst in …

Persistent link: https://www.econbiz.de/10010731597

Adaptive Polar Sampling with an Application to a Bayes Measure of Value-at-Risk

Bauwens, Luc; Bos, Charles; van Dijk, Herman K. - Faculteit der Economische Wetenschappen, Erasmus … - 1999

Adaptive Polar Sampling (APS) is proposed as a Markov chain Monte Carlo method for Bayesian analysis of models with ill-behaved posterior distributions. In order to sample efficiently from such a distribution, a location-scale transformation and a transformation to polar coordinates are used....

Persistent link: https://www.econbiz.de/10010731811

Adaptive extensions of the Nelder and Mead Simplex Method for optimization of stochastic simulation models

Dekker, Rommert; Neddermeijer, H.G.; van Oortmarssen, … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

We consider the Nelder and Mead Simplex Method for the optimization of stochastic simulation models. Existing and new …

Persistent link: https://www.econbiz.de/10010731821

A framework for response surface methodology for simulation optimization

Dekker, Rommert; Neddermeijer, H.G.; van Oortmarssen, … - Faculteit der Economische Wetenschappen, Erasmus … - 2000

We develop a framework for automated optimization of stochastic simulation models using Response Surface Methodology …. The framework is especially intended for simulation models where the calculation of the corresponding stochastic response … stochastic simulation models in a non-automated fashion. In scientific applications there is a clear need for a standardized …

Persistent link: https://www.econbiz.de/10010731832

Modelling and Simulation: An Overview

McAleer, Michael; Oxley, Les; Chan, Chan, F. - Faculteit der Economische Wetenschappen, Erasmus … - 2013

The papers in this special issue of Mathematics and Computers in Simulation cover the following topics: improving …, globalization, and innovation: a general equilibrium simulation, whether exchange rates affect consumer prices: a comparative …

Persistent link: https://www.econbiz.de/10010732602