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» Retrospective Approximation Algorithms for the Multidimensio...
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WSC
2004
14 years 10 months ago
Retrospective Approximation Algorithms for the Multidimensional Stochastic Root-Finding Problem
The stochastic root-finding problem (SRFP) is that of solving a system of q equations in q unknowns using only an oracle that provides estimates of the function values. This paper...
Raghu Pasupathy, Bruce W. Schmeiser
IOR
2010
71views more  IOR 2010»
14 years 6 months ago
Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
Jörn Dunkel, Stefan Weber
WSC
2008
14 years 11 months ago
Discrete stochastic optimization using linear interpolation
We consider discrete stochastic optimization problems where the objective function can only be estimated by a simulation oracle; the oracle is defined only at the discrete points....
Honggang Wang, Bruce W. Schmeiser
ANOR
2007
165views more  ANOR 2007»
14 years 9 months ago
Financial scenario generation for stochastic multi-stage decision processes as facility location problems
The quality of multi-stage stochastic optimization models as they appear in asset liability management, energy planning, transportation, supply chain management, and other applicat...
Ronald Hochreiter, Georg Ch. Pflug
112
Voted
EVOW
2010
Springer
14 years 8 months ago
Finding Gapped Motifs by a Novel Evolutionary Algorithm
Background: Identifying approximately repeated patterns, or motifs, in DNA sequences from a set of co-regulated genes is an important step towards deciphering the complex gene reg...
Chengwei Lei, Jianhua Ruan