scientific article; zbMATH DE number 1145157

zbMATH Open0903.60001MaRDI QIDQ4384475FDOQ4384475

Authors: Benjamin Melamed, Reuven Y. Rubinstein 

Publication date: 26 April 1998

Title of this publication is not available (Why is that?)

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zbMATH Keywords

sensitivity analysisvariance reductionstochastic optimizationrandom number generationperturbation analysisresponse surface methodologyoutput analysisrare events simulation

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to probability theory (60-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to operations research and mathematical programming (90-01) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to systems and control theory (93-01)

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• Resource allocation in stochastic, finite-capacity, multi-project systems through the cross entropy methodology
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• A neural network approach to performance analysis of tandem lines: the value of analytical knowledge
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• HEAVY TAILS, IMPORTANCE SAMPLING AND CROSS–ENTROPY
• A combined splitting-cross entropy method for rare-event probability estimation of queueing networks
• Simplex Partitioning via Exponential Clocks and the Multiway-Cut Problem
• Moment-based estimation for parameters of general inverse subordinator
• Optimal multivariate quota-share reinsurance: a nonparametric mean-CVaR framework
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• Generating uniform random vectors over a simplex with implications to the volume of a certain polytope and to multivariate extremes
• Practical volume approximation of high-dimensional convex bodies, applied to modeling portfolio dependencies and financial crises

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