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Some monotonicity results for stochastic kriging metamodels in sequential settings

Wang, Bing; Hu, Jiaqiao - In: INFORMS journal on computing : JOC 30 (2018) 2, pp. 278-294

Persistent link: https://www.econbiz.de/10011878271

Tail distribution of the maximum of correlated Gaussian random variables

Botev, Zdravko I.; Mandjes, Michel; Ridder, Ad - 2015

completely new sequential importance sampling estimator of the desired tail probability. Numerical experiments suggest that the … sequential importance sampling estimator can be significantly more efficient than its competitor. …

Persistent link: https://www.econbiz.de/10011431354

Long memory modelling of inflation with stochastic variance and structural breaks

Bos, Charles S.; Koopman, Siem Jan; Ooms, Marius - 2007

We investigate changes in the time series characteristics of postwar U.S. inflation. In a model-based analysis the conditional mean of inflation is specified by a long memory autoregressive fractionally integrated moving average process and the conditional variance is modelled by a stochastic...

Persistent link: https://www.econbiz.de/10011373822

Exact sampling from the stationary distribution of entry-exit models

Kamihigashi, Takashi; Stachurski, John - 2013

Persistent link: https://www.econbiz.de/10009715087

Brownian meanders, importance sampling and unbiased simulation of diffusion extremes

Chen, Nan; Huang, Zhengyu - In: Operations research letters 40 (2012) 6, pp. 554-563

Persistent link: https://www.econbiz.de/10009717283

Stochastic surgery selection and sequencing under dynamic emergency break-ins

Vandenberghe, Mathieu; De Vuyst, Stijn; Aghezzaf, … - In: Journal of the Operational Research Society 72 (2021) 6, pp. 1309-1329

Persistent link: https://www.econbiz.de/10012588887

Importance sampling in stochastic optimization : an application to intertemporal portfolio choice

Ekblom, J.; Blomvall, J. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 106-119

Persistent link: https://www.econbiz.de/10012239487

Bayesian sequential data collection for stochastic simulation calibration

Wang, Bo; Zhang, Qiong; Xie, Wei - In: European journal of operational research : EJOR 277 (2019) 1, pp. 300-316

Persistent link: https://www.econbiz.de/10012015034

A simulation-based decomposition approach for two-stage staffing optimization in call centers under arrival rate uncertainty

Thuy Anh Ta; Chan, Wyean; Bastin, Fabian; L'Ecuyer, Pierre - In: European journal of operational research : EJOR 293 (2021) 3, pp. 966-979

Persistent link: https://www.econbiz.de/10012533794

Re-use of samples in stochastic annealing

Ball, Robin; Branke, Juergen; Meisel, Stephan - In: Computers & operations research : an international journal 164 (2024), pp. 1-15

Persistent link: https://www.econbiz.de/10014563001

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