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An efficient simulation procedure for point estimation of expected shortfall

Ming Liu, Barry L. Nelson, Jeremy Staum
2010 Proceedings of the 2010 Winter Simulation Conference  
Given a fixed computational budget, our procedure estimates expected shortfall with a much lower mean squared error than a standard simulation procedure and much more precisely than an existing interval  ...  We present a computationally efficient simulation procedure for point estimation of expected shortfall.  ...  The authors thank Hai Lan for providing assistance with computer code and experiments.  ... 
doi:10.1109/wsc.2010.5678977 dblp:conf/wsc/LiuNS10a fatcat:etbwzxjztjejhdnqnfwrfienwm

Indifference-zone subset selection procedures: Using sample means to improve efficiency

E. Jack Chen
2007 2007 Winter Simulation Conference  
Two-stage selection procedures have been widely studied and applied in determining the required sample size (i.e., the number of replications or batches) for selecting the best of k systems and for selecting  ...  The Enhanced Two-Stage Selection procedure is a heuristic two-stage selection procedure that takes into account not only the variance of samples, but also the difference of sample means when determining  ...  Selecting an Optimal Subset Given a Fixed Computing Budget We also implement the procedure to select the m best systems given a fixed computing budget.  ... 
doi:10.1109/wsc.2007.4419645 dblp:conf/wsc/Chen07 fatcat:n4u6l2wtlna7njbqg3a676wgpu

Combining metamodel techniques and Bayesian selection procedures to derive computationally efficient simulation-based optimization algorithms

Carolina Osorio, Hoda Bidkhori
2012 Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)  
In order to derive an SO algorithm that achieves a good trade-off between detail, realism and computational efficiency, the metamodel combines information from a high-resolution simulator with information  ...  This paper presents a simulation-based optimization (SO) algorithm for nonlinear problems with general constraints and computationally expensive evaluation of objective functions.  ...  This is typically the case when SO algorithms are used under tight computational budgets, e.g., when the number of simulation runs is limited and small.  ... 
doi:10.1109/wsc.2012.6465111 dblp:conf/wsc/OsorioB12 fatcat:psdgxi6xbzd3fjgzf5jpei4qza

Some efficient simulation budget allocation rules for simulation optimisation problems

Loo Hay Lee, Chun Hung Chen, Ek Peng Chew, Si Zhang, Juxin Li, Nugroho Artadi Pujowidianto
2013 International Journal of Services Operations and Informatics  
The Optimal Computing Budget Allocation (OCBA) is an approach that intelligently allocates simulation budget for maximising the desired selection quality in finding the best alternative(s) and has demonstrated  ...  As multiple replications are required for each design, there is a need to efficiently allocate the simulation budget.  ...  R&S procedures are developed to select the best design(s) from a fixed set of alternatives.  ... 
doi:10.1504/ijsoi.2013.059353 fatcat:wc7amalb2jb4hc7pnaa62voszq

Efficient multi-fidelity simulation optimization

sJie Xu, sSi Zhang, sEdward Huang, sChun-Hung Chen, sLoo Hay Lee, sNurcin Celik
2014 Proceedings of the Winter Simulation Conference 2014  
MO2TOS uses low-fidelity simulations for all solutions and then assigns a fixed budget of high-fidelity simulations to solutions based on low-fidelity simulation results.  ...  We compare MO 2 TOS to Equal Allocation (EA) and Optimal Computing Budget Allocation (OCBA).  ...  ACKNOWLEDGMENTS Jie Xu, Si Zhang, and Chun-Hung Chen have been supported by the National Science Foundation under Grant CMMI-1233376.  ... 
doi:10.1109/wsc.2014.7020219 dblp:conf/wsc/XuZHCLC14 fatcat:loldqunbtrgthflzd36hpxuavu

Efficient design selection in microgrid simulations

Mehrad Bastani, Aristotelis E. Thanos, Nurcin Celik, Chun-Hung Chen
2014 Proceedings of the Winter Simulation Conference 2014  
Building on this performance function, optimal computing budget allocation (OCBA) method is used to efficiently allocate simulation replications for selecting the best design with significant accuracy  ...  Later, Chen et al. (1997) introduced the Optimal Computing Budget Allocation (OCBA) technique to efficiently select the best designs over alternatives.  ...  Figure 3 : 3 Overview of the MG simulation. Figure 4 : 4 0 ) and one-time computing budget increment (∆) should be selected with care.  ... 
doi:10.1109/wsc.2014.7020119 dblp:conf/wsc/BastaniTCC14 fatcat:exh3xzyykrhbhlv6kpkp2oy2qu

Efficient Computing Budget Allocation for Simulation-based Optimization with Stochastic Simulation Time [article]

Qing-Shan Jia
2012 arXiv   pre-print
Then based on the existing optimal computing budget allocation (OCBA) method for deterministic simulation time we develop OCBA for stochastic simulation time (OCBAS), and show that OCBAS is asymptotically  ...  on a smoke detection problem in wireless sensor network.  ...  ACKNOWLEDGMENTS The author would like to thank the editor, the associate editor, and the anonymous reviewers for their constructive comments on earlier versions of this paper.  ... 
arXiv:1206.5865v1 fatcat:nkitpsgmprextkdhkzge22gp2y

Efficient Simulation Budget Allocation for Ranking the TopmDesigns

Hui Xiao, Loo Hay Lee
2014 Discrete Dynamics in Nature and Society  
Using the optimal computing budget allocation framework, we formulate this problem as that of maximizing the probability of correctly ranking the topmdesigns subject to the constraint of a fixed limited  ...  To implement the simulation budget allocation rule, we suggest a heuristic sequential algorithm.  ...  Acknowledgments The authors would like to thank the editor and the anonymous reviewers for the constructive comments which have improved the quality of this paper.  ... 
doi:10.1155/2014/195054 fatcat:5gmpp3bmhfbhllu2wn7p2uyoky

Stochastic kriging for efficient nested simulation of expected shortfall

Ming Liu, Jeremy Staum
2010 Journal of Risk  
computational efficiency.  ...  The outer level simulates financial scenarios and the inner level of simulation estimates the portfolio value given a scenario.  ...  Arguments in Oakley and O'Hagan (2002) suggest that the RRMSE converges to a positive value as K goes to infinity with computational budget C fixed.  ... 
doi:10.21314/jor.2010.211 fatcat:innovnhoxbeptneer3qml4kl2y

Efficient discrete optimization via simulation using stochastic kriging

Jie Xu
2012 Proceedings Title: Proceedings of the 2012 Winter Simulation Conference (WSC)  
optimization task is severely limited due to a short decision time window and time-consuming simulation.  ...  We propose to use a global metamodeling technique known as stochastic kriging to improve the efficiency of Discrete Optimization-via-Simulation (DOvS) algorithms.  ...  ACKNOWLEDGMENTS This article is based upon work supported by the National Science Foundation under Grant No. CMMI-1233376.  ... 
doi:10.1109/wsc.2012.6465197 dblp:conf/wsc/Xu12 fatcat:sr75ydx75rdylhk3p6jx6m6jyy

Computer simulation and economic efficiency in forest sampling

Loukas G. Arvanitis, William G. O'Regan
1967 Hilgardia  
Appreciation is extended to the University Computer Center, Berkeley, for generously providing free use of its facilities.  ...  Forest Service, and the California Di-vision of Forestry for financial and other assistance.  ...  Under this sampling procedure, equal probabilities of selection are assigned to all elements of the sample, regardless of their location and size (except for border effect).  ... 
doi:10.3733/hilg.v38n02p133 fatcat:wy5v5pcmkzfhlbu7wxmgg7y6km

Efficient Monte Carlo CVA estimation

Samim Ghamami, Bo Zhang
2014 Proceedings of the Winter Simulation Conference 2014  
Our proposed efficient CVA estimators are developed based on novel applications of well-known mean square error (MSE) reduction techniques in the simulation literature.  ...  We focus on the estimation of credit value adjustment (CVA), one of the most widely used and regulatory-driven counterparty credit risk measures.  ...  ACKNOWLEDGEMENTS Samim Ghamami is grateful to Robert Anderson, Lisa Goldberg, and Travis Nesmith for their comments.  ... 
doi:10.1109/wsc.2014.7019911 dblp:conf/wsc/GhamamiZ14 fatcat:nea6lsntnncufccectgttyqiva

Improving the efficiency of stochastic composite simulation models via result caching

Peter J. Haas
2014 Proceedings of the Winter Simulation Conference 2014  
When, as in Splash, a composite model is made up of loosely coupled component models, we propose a method for improving the efficiency of composite-model simulations.  ...  The number of component-model replications is chosen to maximize an asymptotic efficiency measure that balances computation costs and estimator precision.  ...  POINT AND INTERVAL ESTIMATION Assume that a value of α has been selected and we are given either a budget c under which to compute a 100(1 − δ )% confidence interval or a precision target, e.g., to estimate  ... 
doi:10.1109/wsc.2014.7019943 dblp:conf/wsc/Haas14 fatcat:rbisqwdqljdobpgxujsf35jpmu

An Efficient Simulation-Based Policy Improvement with Optimal Computing Budget Allocation Based on Accumulated Samples

Xilang Huang, Seon Han Choi
2022 Electronics  
In this study, we propose a method to improve the overall efficiency of SBPI using optimal computing budget allocation (OCBA) based on accumulated samples.  ...  Previous works have mainly focused on improving SBPI efficiency for a single state and without using the previous simulation samples.  ...  Ranking and selection (R&S) procedures can be used to address the above problem because they can efficiently select the best action under a limited simulation budget by allocating the budget based on statistical  ... 
doi:10.3390/electronics11071141 fatcat:ydlqbgvearhgpozyasjmcjlgma

Efficient Fully-Coherent Hamiltonian Simulation [article]

John M. Martyn, Yuan Liu, Zachary E. Chin, Isaac L. Chuang
2022 arXiv   pre-print
Hamiltonian simulation is a fundamental problem at the heart of quantum computation, and the associated simulation algorithms are useful building blocks for designing larger quantum algorithms.  ...  We believe that this efficient fully-coherent Hamiltonian simulation algorithm can serve as a useful subroutine in quantum algorithms where maintaining coherence is paramount.  ...  YL and ZEC were supported in part by NTT Research. The work of YL and ILC on analysis and numerical simulation was supported by the U.S.  ... 
arXiv:2110.11327v4 fatcat:xcofrmlrh5amdokhjh7ctgec5q
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