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pro vyhledávání: '"Hong, L. Jeff"'
This paper addresses the estimation of the systemic risk measure known as CoVaR, which quantifies the risk of a financial portfolio conditional on another portfolio being at risk. We identify two principal challenges: conditioning on a zero-probabili
Externí odkaz:
http://arxiv.org/abs/2411.01319
Ranking and selection (R&S) conventionally aims to select the unique best alternative with the largest mean performance from a finite set of alternatives. However, for better supporting decision making, it may be more informative to deliver a small m
Externí odkaz:
http://arxiv.org/abs/2408.09537
Large-scale simulation optimization (SO) problems encompass both large-scale ranking-and-selection problems and high-dimensional discrete or continuous SO problems, presenting significant challenges to existing SO theories and algorithms. This paper
Externí odkaz:
http://arxiv.org/abs/2403.15669
The efficient management of large-scale queueing networks is critical for a variety of sectors, including healthcare, logistics, and customer service, where system performance has profound implications for operational effectiveness and cost managemen
Externí odkaz:
http://arxiv.org/abs/2402.13259
We introduce AlphaRank, an artificial intelligence approach to address the fixed-budget ranking and selection (R&S) problems. We formulate the sequential sampling decision as a Markov decision process and propose a Monte Carlo simulation-based rollou
Externí odkaz:
http://arxiv.org/abs/2402.00907
Staffing rules serve as an essential management tool in service industries to attain target service levels. Traditionally, the square-root safety rule, based on the Poisson arrival assumption, has been commonly used. However, empirical findings sugge
Externí odkaz:
http://arxiv.org/abs/2311.11279
Ranking and selection (R&S) aims to select the best alternative with the largest mean performance from a finite set of alternatives. Recently, considerable attention has turned towards the large-scale R&S problem which involves a large number of alte
Externí odkaz:
http://arxiv.org/abs/2303.02951
${\rm CoVaR}$ is one of the most important measures of financial systemic risks. It is defined as the risk of a financial portfolio conditional on another financial portfolio being at risk. In this paper we first develop a Monte-Carlo simulation-base
Externí odkaz:
http://arxiv.org/abs/2210.06148
Autor:
Wan, Tan, Hong, L. Jeff
Many large-scale production networks include thousands types of final products and tens to hundreds thousands types of raw materials and intermediate products. These networks face complicated inventory management decisions, which are often too compli
Externí odkaz:
http://arxiv.org/abs/2201.05868
Autor:
Hong, L. Jeff, Zhang, Xiaowei
Simulation models are widely used in practice to facilitate decision-making in a complex, dynamic and stochastic environment. But they are computationally expensive to execute and optimize, due to lack of analytical tractability. Simulation optimizat
Externí odkaz:
http://arxiv.org/abs/2105.03893