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WSC
2008
15 years 9 months ago
Simulation of stochastic hybrid systems with switching and reflecting boundaries
Modeling and simulation of biochemical systems are important tasks because they can provide insights into complicated systems where traditional experimentation is expensive or imp...
Derek Riley, Kasandra Riley
WSC
2008
15 years 9 months ago
A distribution-free tabular CUSUM chart for correlated data with automated variance estimation
We formulate and evaluate distribution-free statistical process control (SPC) charts for monitoring an autocorrelated process when a training data set is used to estimate the marg...
Joongsup Lee, Christos Alexopoulos, David Goldsman...
WSC
2008
15 years 9 months ago
Simulation as a tool for life cycle cost analysis
Life cycle cost is an essential approach to decide on alternative rehabilitation strategies for infrastructure systems. Monte Carlo simulation approach is used to develop a stocha...
Khaled Shahata, Tarek Zayed
WSC
2008
15 years 9 months ago
Reducing the variance of likelihood ratio greeks in Monte Carlo
We investigate the use of Antithetic Variables, Control Variates and Importance Sampling to reduce the statistical errors of option sensitivities calculated with the Likelihood Ra...
Luca Capriotti
WSC
2008
15 years 9 months ago
Beta approximations for bridge sampling
Paul Glasserman, Kyoung-Kuk Kim