Optimization-based calibration of simulation input models
Year of publication: |
2019
|
---|---|
Authors: | Goeva, Aleksandrina ; Lam, Henry ; Qian, Huajie ; Zhang, Bo |
Published in: |
Operations research. - Catonsville, MD : INFORMS, ISSN 0030-364X, ZDB-ID 123389-0. - Vol. 67.2019, 5, p. 1362-1382
|
Subject: | model calibration | distributionally robust optimization | uncertainty quantification | input modeling | Simulation | Robustes Verfahren | Robust statistics | Modellierung | Scientific modelling | Mathematische Optimierung | Mathematical programming | Risiko | Risk | Schätztheorie | Estimation theory |
-
Model misspecification, Bayesian versus credibility estimation, and Gibbs posteriors
Hong, Liang, (2020)
-
Optimal uncertainty size in distributionally robust inverse covariance estimation
Blanchet, Jose, (2019)
-
Robust analysis in stochastic simulation : computation and performance guarantees
Ghosh, Soumyadip, (2019)
- More ...
-
Subsampling to enhance efficiency in input uncertainty quantification
Lam, Henry, (2022)
-
Pan, Qiyun, (2020)
-
From Black-Scholes to Online Learning: Dynamic Hedging under Adversarial Environments
Lam, Henry, (2014)
- More ...