In this paper we incorporate the term structure of interest rates in a standard inflation forecast targeting framework.Learning about the transmission process of monetary policy is introduced by having heterogeneous agents - i.e. the central bank and private agents - who have different...

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...

This contribution presents an overview of sensitivity analysis of simulation models, including the estimation of gradients. It covers classic designs and their corresponding (meta)models; namely, resolution-III designs including fractional-factorial two-level designs for first-order polynomial...

This is the first of two papers dealing with the optimal bu er allocation problem in tandem manufacturing lines with unreliable machines.We address the theoretical issues that arise when using sample-path optimization, a simulation-based optimization method, to solve this problem.Sample-path...

Depreciation is not only a representation of the loss in asset-value over time.It is also a strategic tool for management and can be used to minimize tax payments.In this paper we derive the depreciation scheme that minimizes the expected value of the present value of future tax payments for two...

Design Of Experiments (DOE) is needed for experiments with real-life systems, and with either deterministic or random simulation models. This contribution discusses the different types of DOE for these three domains, but focusses on random simulation. DOE may have two goals: sensitivity analysis...

Textbooks on Design Of Experiments invariably start by explaining why one-factor-at-a -time (OAT) is an inferior method. Here we will show that in a model with all interactions a variant of OAT is extremely efficient, provided that we only have non-negative parameters and that there are only a...

In this paper we show how techniques from response surface methodology and mathematical programming can be combined into a new sequential derivative-free approach for solving unconstrained deterministic black-box optimization problems.In this sequential derivative-free optimization approach...