— This paper addresses model reduction for a Markov chain on a large state space. A simulation-based framework is introduced to perform state aggregation of the Markov chain base...
Abstract— Q-learning is a technique used to compute an optimal policy for a controlled Markov chain based on observations of the system controlled using a non-optimal policy. It ...
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
In many practical applications of simulation it is desirable to optimize the levels of integer or binary variables that are inputs for the simulation model. In these cases, the ob...
Seth D. Guikema, Rachel A. Davidson, Zehra Ç...
Ad auctions in sponsored search support"broad match"that allows an advertiser to target a large number of queries while bidding only on a limited number. While giving mo...
Eyal Even-Dar, Vahab S. Mirrokni, S. Muthukrishnan...