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This paper studies simulation-based optimization with multiple outputs. It assumes that the simulation model has one random objective function and must satisfy given constraints on the other random outputs. It presents a statistical procedure for testing whether a specific input combination...
Persistent link: https://www.econbiz.de/10014049484
We investigate near-shoring a small part of the global production to local \emph{SpeedFactories} that serve only the variable demand. The short lead time of the responsive SpeedFactory reduces the risk of making large volumes in advance, yet it does not involve a complete re-shoring of demand....
Persistent link: https://www.econbiz.de/10014033766
We study a combination of the refracted and reflected Levy processes. Given a spectrally negative Levy process and two boundaries, it is reflected at the lower boundary while, whenever it is above the upper boundary, a linear drift at a constant rate is subtracted from the increments of the...
Persistent link: https://www.econbiz.de/10012870483
We present an adjusted method for calculating the eigenvalues of a time-dependent return correlation matrix that produces a more stationary distribution of eigenvalues. First, we compare the normalized maximum eigenvalue time series of the market-adjusted return correlation matrix to that of...
Persistent link: https://www.econbiz.de/10012940589
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correlation structures that geometrically represents solutions from asymptotic Random Matrix theory (RMT) consistently, and allows …
Persistent link: https://www.econbiz.de/10014084356
long been of interest in economic theory and practice. However, as non-replicated events, single series tests do not …
Persistent link: https://www.econbiz.de/10014138043
This paper provides series expansions of the stationary distribution of a finite Markov chain. This leads to an efficient numerical algorithm for computing the stationary distribution of a finite Markov chain. Numerical examples are given to illustrate the performance of the algorithm
Persistent link: https://www.econbiz.de/10014027524