Similar Search Results

Computing integral solutions of complementarity problems

Laan, Gerard van der; Talman, Dolf; Yang, Zaifu - 2004

In this paper an algorithm is proposed to find an integral solution of (nonlinear) complementarity problems. The … algorithm starts with a nonnegative integral point and generates a unique sequence of adjacent integral simplices of varying … dimension. Conditions are stated under which the algorithm terminates with a simplex one of whose vertices is an integral …

Persistent link: https://www.econbiz.de/10011343323

Insensitivity in discrete-time generalized semi-Markov processes allowing multiple events and probabilistic service scheduling

Henderson, W. (contributor) - 1994

Persistent link: https://www.econbiz.de/10000151663

Joint Bayesian analysis of parameters and states in nonlinear, non-Gaussian state space models

Barra, István; Hoogerheide, Lennart; Koopman, Siem Jan; … - 2014

these proposal densities are used in an independent Metropolis-Hastings algorithm. A particular feature of our approach is … that smoothed estimates of the states and the marginal likelihood are obtained directly as an output of the algorithm. Our …

Persistent link: https://www.econbiz.de/10010399681

Stochastic dominance efficiency analysis of diversified portfolios : classification, comparison and refinements

Lizyayev, Andrey - 2010

For more than three decades, empirical analysis of stochastic dominance was restricted to settings with mutually exclusive choice alternatives. In recent years, a number of methods for testing efficiency of diversified portfolios have emerged, which can be classified into three main categories:...

Persistent link: https://www.econbiz.de/10011381581

Costless delay in negotiations

Herings, Peter Jean-Jacques; Houba, Harold - 2015

We study strategic negotiation models featuring costless delay, general recognition procedures, endogenous voting orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE). 2. the recursive equations and optimality conditions...

Persistent link: https://www.econbiz.de/10010477115

A dynamic lot-sizing model with demand time windows

Lee, Chung-Yee; Çetinkaya, Sila; Wagelmans, Albert P. M. - 1999 - Rev.: November 1999

computing its solution. If shortages arenot allowed, the complexity of the proposed algorithm is order T square. Whenbacklogging … is allowed, the complexity of the proposed algorithm is order T cube. …

Persistent link: https://www.econbiz.de/10011302613

On Markov chains and filtrations

Spreij, Peter - 1997

In this paper we rederive some well known results for continuous time Markov processes that live on a finite state space.Martingale techniques are used throughout the paper. Special attention is paid to the construction of a continuous timeMarkov process, when we start from a discrete time...

Persistent link: https://www.econbiz.de/10010336359

Semiparametric cross entropy for rare-event simulation

Botev, Zdravko I.; Ridder, Ad; Rojas-Nandayapa, Leonardo - 2013

Persistent link: https://www.econbiz.de/10010191281

Probabilistic bounded relative error property for learning rare event simulation techniques

Ridder, Ad; Tuffin, Bruno - 2012

Persistent link: https://www.econbiz.de/10009722965

Finite-state Markov chains obey Benford's law

Kaynar, Bahar; Berger, Arno; Hill, Theodore P.; Ridder, Ad - 2010

. Concrete examples illustrate the variouscases that arise, and the theory is complemented with several simulations andpotential …

Persistent link: https://www.econbiz.de/10011380062