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

Gurkan, G.; Listes, O.L. - Erasmus University Rotterdam, Econometric Institute - 2004

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

Persistent link: https://www.econbiz.de/10004991135

Alternate Samplingmethods for Estimating Multivariate Normal Probabilities

SÃ¡ndor, Z.; AndrÃ¡s, P. - Erasmus University Rotterdam, Econometric Institute - 2003

We study the performance of alternative sampling methods for estimating multivariate normal probabilities through the GHK simulator. The sampling methods are randomized versions of some quasi-Monte Carlo samples (Halton, Niederreiter, Niederreiter-Xing sequences and lattice points) and some...

Persistent link: https://www.econbiz.de/10004969826

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

Neddermeijer, H.G.; Oortmarssen, G.J. van; Piersma, N.; … - Erasmus University Rotterdam, Econometric Institute - 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/10004972258

A framework for response surface methodology for simulation optimization

Neddermeijer, H.G.; Oortmarssen, G.J. van; Piersma, N.; … - Erasmus University Rotterdam, Econometric Institute - 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/10004972270

Arrival processes in port modeling: insights from a case study

Asperen, E. van; Dekker, R.; Polman, M.; Swaan Arons, H. de - Erasmus University Rotterdam, Econometric Institute - 2004

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

Persistent link: https://www.econbiz.de/10005000456

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

Bauwens, L.; Bos, C.S.; Dijk, H.K. van - Erasmus University Rotterdam, Econometric Institute - 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/10005051715

Comparison of response surface methodology and the Nelder and Mead simplex method for optimization in microsimulation models

Neddermeijer, H.G.; Piersma, N.; Oortmarssen, G.J. van; … - Erasmus University Rotterdam, Econometric Institute - 1999

Microsimulation models are increasingly used in the evaluation of cancer screening. Latent parameters of such models can be estimated by optimization of the goodness-of-fit. We compared the efficiency and accuracy of the Response Surface Methodology and the Nelder and Mead Simplex Method for...

Persistent link: https://www.econbiz.de/10005450860

Global Optimization strategies for two-mode clustering

Rosmalen, J.M. van; Groenen, P.J.F.; Trejos, J.; … - Erasmus University Rotterdam, Econometric Institute - 2005

simulation study. It is found that using a Multistart meta-heuristic in combination with a two-mode k-means algorithm or the …

Persistent link: https://www.econbiz.de/10005450901

A comparison of models for measurable deterioration: an application to coating on steel structures

Nicolai, R.P.; Dekker, R.; Noortwijk, J.M. van - Erasmus University Rotterdam, Econometric Institute - 2006

Steel structures like bridges, tanks and pylons are exposed to outdoor weathering conditions. In order to prevent them from corrosion they are protected by organic coating systems. This paper focuses on modelling the deterioration of the organic coating layer that protects steel structures from...

Persistent link: https://www.econbiz.de/10005450905

Stochastic programming for multiple-leg network revenue management

Boer, S.V. de; Freling, R.; Piersma, N. - Erasmus University Rotterdam, Econometric Institute - 1999

Airline seat inventory control is a very profitable tool in the airline industry. Mathematical programming models provide booking limits or bid-prices for all itineraries and fare classes based on demand forecasts. But the actual revenue generated in the booking process fails to meet...

Persistent link: https://www.econbiz.de/10008584642