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Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 2014

Abstract: This chapter first summarizes Response Surface Methodology (RSM), which started with Box and Wilson’s article in 1951 on RSM for real, non-simulated systems. RSM is a stepwise heuristic that uses first-order polynomials to approximate the response surface locally. An estimated...

Persistent link: https://www.econbiz.de/10011092681

Validation of Simulation, With and Without Real Data

Kleijnen, Jack P.C. - Tilburg University, Center for Economic Research - 1998

This paper gives a survey on how to validate simulation models through the application of mathematical statistics. The type of statistical test actually applied, depends on the availability of data on the real system: (i) no data, (ii) only output data, and (iii) both input and output data. In...

Persistent link: https://www.econbiz.de/10011092713

Connection Situations under Uncertainty

Moretti, S.; Alparslan-Gok, S.Z.; Brânzei, R.; Tijs, S.H. - Tilburg University, Center for Economic Research - 2008

Persistent link: https://www.econbiz.de/10011090291

On the Optimality of Multivariate S-Estimators

Croux, C.; Dehon, C.; Yadine, A. - Tilburg University, Center for Economic Research - 2010

In this paper we maximize the efficiency of a multivariate S-estimator under a constraint on the breakdown point. In the linear regression model, it is known that the highest possible efficiency of a maximum breakdown S-estimator is bounded above by 33% for Gaussian errors. We prove the...

Persistent link: https://www.econbiz.de/10011090479

Robust Control Charts for Time Series Data

Croux, C.; Gelper, S.; Mahieu, K. - Tilburg University, Center for Economic Research - 2010

. Moreover, robustness is important to maintain the reliability of the control chart after the occurrence of alarm observations …

Persistent link: https://www.econbiz.de/10011090480

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, B. - Tilburg University, Center for Economic Research - 2011

Using a simple dynamic consumption-based asset pricing model, this paper explores the implications of a representative investor with smooth ambiguity averse preferences [Klibano¤, Marinacci and Mukerji, Econometrica (2005)] and provides a comparative analysis of risk aversion and ambiguity...

Persistent link: https://www.econbiz.de/10011090768

A Comparison of Algorithms for the Multivariate L1-Median

Fritz, H.; Filzmoser, P.; Croux, C. - Tilburg University, Center for Economic Research - 2010

The L1-median is a robust estimator of multivariate location with good statistical properties. Several algorithms for computing the L1- median are available. Problem speci c algorithms can be used, but also general optimization routines. The aim is to compare dierent algorithms with respect to...

Persistent link: https://www.econbiz.de/10011091113

Optimization Versus Robustness in Simulation : A Practical Methodology, With a Production-Management Case-Study

Kleijnen, Jack P.C.; Gaury, E.G.A. - Tilburg University, Center for Economic Research - 2001

Whereas Operations Research has always paid much attention to optimization, practitioners judge the robustness of the ….That study defines robustness as the system's capability to maintain a short-term service measure, in a variety of environments …

Persistent link: https://www.econbiz.de/10011091252

Short-term robustness of production management systems

Kleijnen, Jack P.C.; Gaury, E.G.A. - Tilburg University, Center for Economic Research - 1998

, that WIP is minimized, while the probability of the service rate being higher than 95% still exceeds 0.90. By robustness … robustness through risk analysis, which uses Latin hypercube sampling (LHS) to estimate the probabilities of specific system … uses bootstrapping. Short-term robustness is illustrated for a four-stage production line and several productioncontrol …

Persistent link: https://www.econbiz.de/10011091481

Entropy Coherent and Entropy Convex Measures of Risk

Stadje, Mitja; Laeven, R.J.A. - Tilburg University, Center for Economic Research - 2011

We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...

Persistent link: https://www.econbiz.de/10011091991