Robust confidence bands for stochastic processes using simulation

DOI10.1016/J.ORL.2025.107384MaRDI QIDQ6847255zbMATH OpenFDO

Authors Timothy C. Y. Chan, Jangwon Park, Vahid Sarhangian

Publication date 9 March 2026

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.ORL.2025.107384

zbMATH Keywords

confidence bandsrobust optimizationstochastic simulationuncertainty quantificationvalidation

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites work

• A conformal prediction approach to explore functional data
• A Sample Approximation Approach for Optimization with Probabilistic Constraints
• Constructing minimum-width confidence bands
• Dynamic control of service systems with returns: application to design of postdischarge hospital readmission prevention programs
• Error Bands for Impulse Responses
• Foundations and methods of stochastic simulation. A first course
• Mean, Median and Mode in Binomial Distributions
• Representing uncertainty about response paths: the use of heuristic optimisation methods
• Stochastic simulation: Algorithms and analysis
• The Price of Robustness
• When to use speedup: an examination of service systems with returns

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