Nested simulation concerns estimating functionals of a conditional expectation via simulation. In this paper, we propose a new method based on kernel ridge regression to exploit …
If a financial asset's price movement impacts a firm's product demand, the firm can respond to the impact by adjusting its operational decisions. For example, in the automotive …
Stochastic kriging has been widely employed for simulation metamodeling to predict the response surface of complex simulation models. However, its use is limited to cases where the …
Knowledge gradient is a design principle for developing Bayesian sequential sampling policies to consider in this paper the ranking and selection problem in the presence of …
We consider a ranking and selection problem in the context of personalized decision making, where the best alternative is not universal but varies as a function of observable …
Specifying a proper input distribution is often a challenging task in simulation modeling. In practice, there may be multiple plausible distributions that can fit the input data …
Stochastic kriging is a popular metamodeling technique to approximate computationally expensive simulation models. However, it typically treats the simulation model as a black box …
We establish a central limit theorem and a large deviations principle for affine point processes, which are stochastic models of correlated event timing widely used in finance and …
This paper is concerned with computing large deviations asymptotics for the loss process in a stylized queueing model that is fed by a Brownian input process. In addition, the …