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  • Articles  (16)
  • simulation  (16)
  • 1990-1994  (16)
  • Economics  (12)
  • Energy, Environment Protection, Nuclear Power Engineering  (4)
  • 1
    Electronic Resource
    Electronic Resource
    Springer
    Annals of operations research 53 (1994), S. 175-197 
    ISSN: 1572-9338
    Keywords: Variance reduction ; simulation ; control variates ; importance sampling ; common random numbers ; stratification ; conditioning ; efficiency
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper provides an overview of the five most commonly used statistical techniques for improving the efficiency of stochastic simulations: control variates, common random numbers, importance sampling, conditional Monte Carlo, and stratification. The paper also describes a mathematical framework for discussion of efficiency issues that quantifies the trade-off between lower variance and higher computational time per observation.
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  • 2
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    Annals of operations research 53 (1994), S. 391-418 
    ISSN: 1572-9338
    Keywords: Autoregressive process ; confidence interval ; output analysis ; simulation ; statistics ; time series
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We revisit and update the autoregressive-output-analysis method for constructing a confidence interval for the steady-state mean of a simulated process by using Rissanen's predictive least-squares criterion to estimate the autoregressive order of the process. This order estimator is strongly consistent when the output is autoregressive. The order estimator is combined with the standard autoregressive-output-analysis method to form a confidence-interval procedure. Alternatives for estimating the degrees of freedom for the procedure are investigated. The main result is an asymptotically valid confidence-interval procedure that, empirically, has good small-sample properties.
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  • 3
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    Springer
    Annals of operations research 52 (1994), S. 107-129 
    ISSN: 1572-9338
    Keywords: DSS ; intelligent front-ends ; knowledge-based systems ; MADM ; outranking ; Scheduling ; simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Knowledge-based systems (KBS) can help to make simulation available to a large group of users. We want to exemplify this by describing a decision support system (DSS) for short term rescheduling in manufacturing called SIMULEX. It couples expert systems, simulation, and a multiattribute decision making (MADM) procedure to assist the production manager. After an introduction to simulation as a problem solving tool, the current problems in production control and the goals of the project are described. Then, the various components of SIMULEX are explained in some detail. Some results and a short outlook conclude the article.
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  • 4
    ISSN: 1573-059X
    Keywords: multinomial probit ; semiparametric estimation ; Bayesian estimation ; simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Economics
    Notes: Abstract In recent years, major advances have taken place in three areas of random utility modeling: (1) semiparametric estimation, (2) computational methods for multinomial probit models, and (3) computational methods for Bayesian estimation. This paper summarizes these developments and discusses their implications for practice.
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  • 5
    ISSN: 1573-0840
    Keywords: Seismic intensity assessment ; diffuse information ; mixture of multinomial distributions ; completeness degree of a catalogue ; simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract The purpose of this paper is to emphasize the consequences of the ordinal and qualitative nature of seismic intensity regarding its recording. The classical way of recording by an integer value implies that on many occasions it can be difficult to associate only one intensity degree to an event. Therefore, we propose to record the intensity in a new way so that the expert is no longer restricted to indicating only one value, but can express his belief that the considered event belongs to any one of the intensity classes in the scale. Following this approach, as an example, we study the completeness of the Sannio-Matese catalogue and show how the degree of completeness changes according to the degree of uncertainty in intensity assessment.
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  • 6
    Electronic Resource
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    Environmental and ecological statistics 1 (1994), S. 287-302 
    ISSN: 1573-3009
    Keywords: bias ; negative binomial distribution ; parameter estimation ; response surface ; sample scheme ; simulation ; small samples ; Taylor's power law ; variance-mean relationship
    Source: Springer Online Journal Archives 1860-2000
    Topics: Energy, Environment Protection, Nuclear Power Engineering
    Notes: Abstract An analysis of counts of sample size N=2 arising from a survey of the grass Bromus commutatus identified several factors which might seriously affect the estimation of parameters of Taylor's power law for such small sample sizes. The small sample estimation of Taylor's power law was studied by simulation. For each of five small sample sizes, N=2, 3, 5, 15 and 30, samples were simulated from populations for which the underlying known relationship between variance and mean was given by σ2 = cμd. One thousand samples generated from the negative binomial distribution were simulated for each of the six combinations of c=1,2 and 11, and d=1, 2, at each of four mean densities, μ=0.5, 1, 10 and 100, giving 4000 samples for each combination. Estimates of Taylor's power law parameters were obtained for each combination by regressing log10 s 2 on log10 m, where s 2 and m are the sample variance and mean, respectively. Bias in the parameter estimates, b and log10 a, reduced as N increased and increased with c for both values of d and these relationships were described well by quadratic response surfaces. The factors which affect small-sample estimation are: (i) exclusion of samples for which m = s 2 = 0; (ii) exclusion of samples for which s 2 = 0, but m 〉 0; (iii) correlation between log10 s 2 and log10 m; (iv) restriction on the maximum variance expressible in a sample; (v) restriction on the minimum variance expressible in a sample; (vi) underestimation of log10 s 2 for skew distributions; and (vii) the limited set of possible values of m and s 2. These factors and their effect on the parameter estimates are discussed in relation to the simulated samples. The effects of maximum variance restriction and underestimation of log10 s 2 were found to be the most severe. We conclude that Taylor's power law should be used with caution if the majority of samples from which s 2 and m are calculated have size, N, less than 15. An example is given of the estimated effect of bias when Taylor's power law is used to derive an efficient sampling scheme.
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  • 7
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    Theory and decision 34 (1993), S. 275-291 
    ISSN: 1573-7187
    Keywords: Negotiation modeling ; simulation ; fairness ; consensus rules ; statistical analysis ; information systems
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract Negotiation management, a framework for practical implementation of computer-based support to negotiators and their staffs, is defined and described in this paper. In particular, three integrated tools and their underlying methodologies, are illustrated. The collaborative use of computers and information techniques in complex negotiation is framed in terms of a ‘discovery and design’ paradigm in which parties engage in dialogue, learn, and develop trust that can support the negotiation itself through a process of joint analysis and modeling.
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  • 8
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    Mathematical methods of operations research 38 (1993), S. 235-260 
    ISSN: 1432-5217
    Keywords: Boolean model ; damaged forests ; mark correlation function ; marked point process ; M/G/∞ ; random compact set ; simulation ; spatial correlation ; spatial statistics ; stochastic model ; tumor
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract This paper discusses some models of stochastic geometry which are of potential interest for operations research. These are the Boolean model, a certain model for random compact sets and marked point processes. The Boolean model is a generalization of the well-known queueing systemM/G/∞. The random compact set model may be useful for modelling spatial spreading processes such as fires, cancers or holes in the Earth's surface. Marked point processes are used here as models of forests and used for a statistical study of the spatial distribution of damaged trees.
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  • 9
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    Annals of operations research 39 (1992), S. 157-172 
    ISSN: 1572-9338
    Keywords: Score function method ; likelihood ratio ; sensitivity analysis ; simulation ; Monte Carlo methods ; conditioning
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract We consider first a discrete event static system that is to be simulated at values of a parameter or vector of parametersθ. The system is assumed driven by an inputX, where typicallyX is a vector of variables whose densityf θ (x) depends on the parameterθ. For the purpose of optimizing, finding roots, or graphing the expected performanceE θ L(X) for performance measureL, it is useful to estimate not only the expected value but also its gradient. An unbiased estimator for the latter is the score function estimator $$L(X)S(\theta ) = L(X)\frac{\partial }{{\partial \theta }}\ln f_\theta (x).$$ This estimator and likelihood ratio analogues typically require variance reduction, and we consider conditioning on the value of the score function for this purpose. The efficiency gains due to performing the Monte Carlo conditionally can be very large. Extension to discrete event dynamic systems such as theM/G/1 queue and other more complicated systems is considered.
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  • 10
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    Annals of operations research 39 (1992), S. 1-39 
    ISSN: 1572-9338
    Keywords: Stochastic programming ; stochastic quasigradient methods ; discrete event systems ; simulation ; concurrent approximation and optimization
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract In this paper, stochastic programming techniques are adapted and further developed for applications to discrete event systems. We consider cases where the sample path of the system depends discontinuously on control parameters (e.g. modeling of failures, several competing processes), which could make the computation of estimates of the gradient difficult. Methods which use only samples of the performance criterion are developed, in particular finite differences with reduced variance and concurrent approximation and optimization algorithms. Optimization of the stationary behavior is also considered. Results of numerical experiments and convergence results are reported.
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  • 11
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    Mathematical methods of operations research 36 (1992), S. 477-495 
    ISSN: 1432-5217
    Keywords: Cost-oriented assembly line balancing ; heuristic algorithms ; worst-case analysis ; simulation ; NP-completeness ; time complexity
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Notes: Abstract Two new heuristic algorithms for solving cost-oriented assembly line balancing problems -the Wage-Rate-Method (WR) and the Wage-Rate-Smoothing-Method (WRS) — are presented and compared with two known heuristics — the Positional-Weight-Method (PW) and the Positional-Weight-Wage-Rate-Difference-Method (PWWD) with respect to their solution qualities. Firstly, the heuristics are outlined and their computational effort is stated. Then, a theoretical worst-case bound for the solution quality is given and the results of an extensive performance study are reported. In the study the heuristics were investigated with respect to their solution quality by solving randomly generated line balancing problems and problems from literature. It can be concluded that PWWD and WRS are generally superior to PW and WR.
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  • 12
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    Computational economics 5 (1992), S. 105-118 
    ISSN: 1572-9974
    Keywords: Economic models ; simulation ; simulation language
    Source: Springer Online Journal Archives 1860-2000
    Topics: Computer Science , Economics
    Notes: Abstract The application of a new simulation language (ESL) is demonstrated through a stochastic dynamic market model with free entry and exit. Since ESL allows us to specify single economic units and to coordinate all their activities, the details of a microeconomic process can be described. The market model consists of different types of producers and consumers, whose actions can be simulated under changing structural conditions.
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  • 13
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    Stochastic environmental research and risk assessment 5 (1991), S. 125-134 
    ISSN: 1436-3259
    Keywords: Empirical Orthogonal Function analysis ; random fields ; simulation ; non-homogeneous fields
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract In several fields of Geophysics, such as Hydrology, Meteorology or Oceanography, it is often useful to generate random fields, displaying the same variabilitity as the observed variables. Usually, these synthetic data are used as forcing fields into numerical models, to test the sensitivity of their outputs to the variability of the inputs. Examples can be found in subsurface or surface Hydrology and in Meteorology with General Circulation Models (GCM). Different techniques have already been proposed, often based on the spectral representation of the random process, with, usually, assumptions of stationarity. This paper suggests that Empirical Orthogonal Function (EOF) analysis, which leads to the decomposition of the covariance kernel on the set of its eigen-functions, is a possible answer to this problem. The convergence and accuracy of the method are shown to depend mainly on the number of EOFs retained in the expansion of the covariance kemel. This result is confirmed by a comparison with the turning band method and a matrix technique. Furthermore, a synthetic example of non-homogencous fields shows the interest of EOF analysis in the direct simulation of such fields.
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  • 14
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    OR spectrum 13 (1991), S. 159-166 
    ISSN: 1436-6304
    Keywords: Facility location for obnoxious facilities ; Gaussian model ; simulation ; Standortplanung für umweltbelastende Anlagen ; Gauß-Modell ; Simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Mathematics , Economics
    Description / Table of Contents: Zusammenfassung In dieser Arbeit werden zunächst die in neuerer Zeit entwickelten wind-diskreten Modelle und Verfahren zur Standortplanung für unerwünschte, umweltbelastende Anlagen analysiert und die Grenzen dieser Ansätze für die Lösung praktischer Problemstellungen aufgezeigt. Basierend auf diesen Erkenntnissen wird ein simulations-basiertes Verfahren für ein neues wind-stetiges Modell vorgestellt, das diese Schwachstellen überwindet. Abschließend wird das Basis-Standortmodell durch Einbeziehung der Emissionshöhe als Entscheidungsvariable erweitert.
    Notes: Summary The present paper regards the location of obnoxious facilities in the context of a realistic environment. Efforts have been made in the past towards this direction, without much success as fas as the modeling is concerned. The prevailing meteorological conditions of the area under consideration, that evidently play an important role in the dispersion of pollution, either were completely ignored or inadequately considered. In this work, the most recent wind-discrete models and solution methods are presented and analyzed and their limitations are identified. A new simulation-aided wind-continuous model is introduced capable of remedying the above limitations. Finally, a generalization is proposed and discussed, regarding the introduction of the stack height as a decision variable in the relative model.
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  • 15
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    Stochastic environmental research and risk assessment 4 (1990), S. 255-276 
    ISSN: 1436-3259
    Keywords: Stochastic hydrologic process ; daily discharges ; correlated generation ; simulation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Architecture, Civil Engineering, Surveying , Energy, Environment Protection, Nuclear Power Engineering , Geography , Geosciences
    Notes: Abstract A geomorphological study at the confluence of the Danube and the Isar in Bavaria required long series of daily discharges in both rivers. A model that generates simultaneous correlated streamflows in both rivers was developed and tested. The model is a modified shot noise model, first developed by Treiber (1975) for a single river, that was adapted to two rivers. It generates correlated pulses of events that produce flow for each river, and these pulses are then convoluted with a river specific systems function. The model, after being calibrated for the two rivers on the basis of 85 years of records, yields artificial series of discharges, in which the statistical properties of the historical records are reproduced. The performance of the model was tested with 20 generated series each 100 years long.
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  • 16
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    Theory and decision 28 (1990), S. 243-273 
    ISSN: 1573-7187
    Keywords: Negotiation ; structuring ; simulation ; rule-based model ; decision support ; knowledge representation
    Source: Springer Online Journal Archives 1860-2000
    Topics: Sociology , Economics
    Notes: Abstract Negotiation is a complex and dynamic decision process during which parties perceptions, preferences, and roles may change. Modelling such a process requires flexible and powerful tools. The use of rule-based formalism is therefore expanded from its traditional expert system type technique, to structuring and restructuring non-trivial processes like negotiation. Using rules we build a model of a negotiation problem. Some rules are used to infer positions and reactions of the parties, other rules are used to modify problem representation when such a modification is necessary. We illustrate the approach with a contract negotiation case between two large companies. We also show how this approach could help one party to realize that negotiations are being carried on against their assumptions and expectations.
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