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Proceedings of the 2004 Winter Simulation Conference, 2004.最新文献

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An examination of forward volatility 对远期波动率的考察
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371505
R. Popovic, D. Goldsman
{"title":"An examination of forward volatility","authors":"R. Popovic, D. Goldsman","doi":"10.1109/WSC.2004.1371505","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371505","url":null,"abstract":"This paper investigates the adequacy of various principal components (p.c.) approaches as data reduction schemes for processing contingent claim valuations on baskets of equities. As a general proposition we are interested in discovering possible features and rules-of-thumb for the applicability of p.c. techniques. In particular, what accuracy does one lose in valuation-hedging schemes as the dimensionality of the p.c. space is reduced? We also have an interest in validating the posted \"stylized\" facts of implied volatility as they apply to our data sets.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"37 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133895741","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Air cargo operations evaluation and analysis through simulation 通过仿真对航空货运业务进行评价和分析
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371531
A. L. Nsakanda, M. Turcotte, M. Diaby
{"title":"Air cargo operations evaluation and analysis through simulation","authors":"A. L. Nsakanda, M. Turcotte, M. Diaby","doi":"10.1109/WSC.2004.1371531","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371531","url":null,"abstract":"This paper illustrates the use of simulation for evaluating and analyzing air cargo operations at one of the state-of-the art cargo facilities at Toronto Pearson Airport. The establishment of a facility equipped with some of the latest in modern material handling systems available today and a computerized-based inventory control system that interfaces with all aspects of its cargo operations, has driven the airline company involved in this study to developing processes to ensure that products and services are aligned with customers' needs. One of the challenges faced is a lack of an evaluation tool that can be used to quantitatively evaluate and compare different policies, business practices and processes within a given set of operational and business constraints. This work aims in developing such an evaluation tool. We describe the modeling approach, the challenges involved and the potential use of the simulation tool. Preliminary results are also reported.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"68 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"134046227","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 28
Efficient pricing of barrier options with the variance-gamma model 基于方差-伽马模型的障碍期权有效定价
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371500
Athanassios N. Avramidis
{"title":"Efficient pricing of barrier options with the variance-gamma model","authors":"Athanassios N. Avramidis","doi":"10.1109/WSC.2004.1371500","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371500","url":null,"abstract":"We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model (Madan, Carr, and Chang 1998). After generalizing the double-gamma bridge sampling algorithm of Avramidis, L'Ecuyer, and Tremblay (2003), we develop conditional bounds on the process paths and exploit these bounds to price barrier options. The algorithm's efficiency stems from sampling the process paths up to a random resolution that is usually much coarser than the original path resolution. We obtain unbiased estimators, including the case of continuous-time monitoring of the barrier crossing. Our numerical examples show large efficiency gain relative to full-dimensional path sampling.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"26 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131536796","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Medium caliber cannon lethality study for future and current infantry fighting vehicles 未来和现役步兵战车中口径加农炮杀伤力研究
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371421
Russell Joseph Schott, P. Downes, Rocky Gay, Nate Whitten, J. Paine, Michael Goddard, M. Rybacki, William K. Klimack
{"title":"Medium caliber cannon lethality study for future and current infantry fighting vehicles","authors":"Russell Joseph Schott, P. Downes, Rocky Gay, Nate Whitten, J. Paine, Michael Goddard, M. Rybacki, William K. Klimack","doi":"10.1109/WSC.2004.1371421","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371421","url":null,"abstract":"According to the Army Chief of Staff, the Army's infantry fighting vehicle, the Bradley Fighting Vehicle, will be in service until 2032. The Bradley fighting vehicle needs an improved medium caliber cannon to defeat the growing threats from improved light armored vehicles and hand held rocket propelled grenades. The Army can continue to keep the Bradley fighting vehicle in service by increasing the lethality of its weapon systems. We examine six medium caliber cannons and their impact on the battlefield. We also examine the use of new medium caliber air burst munitions. Combat modeling and simulation using the joint conflict and tactical simulation (JCATS) is used to predict the contributions of these new technologies to the infantry soldier. Multiple mission scenarios in different environments to include Baghdad urban combat are examined. The medium caliber cannon selected will be the final lethality enhancement for the Bradley.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128949484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Autonomous predictive-adaptive simulation for operations support 作战支持的自主预测自适应仿真
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371564
P. Bosch, Majdi Rajab
{"title":"Autonomous predictive-adaptive simulation for operations support","authors":"P. Bosch, Majdi Rajab","doi":"10.1109/WSC.2004.1371564","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371564","url":null,"abstract":"This paper describes a simulation system that monitors operations on a production floor, periodically creating a model of those operations, and running a simulation that predicts the next several shifts' worth of events, providing operators with new predictive analysis capabilities. As a set of procedures is carried out in the model and the real world, deviations are introduced by the variations between the expected activities and the actual occurrences. More deviations arise from explicit adaptations undertaken by operations staff in response to already-observed anomalies. With each cycle, those deviations are integrated into the model, heuristics are applied to estimate the likely future course of events, and after a simulation run, a new set of predictions is generated from that model, and it compares the new predictions with the last run's predictions. Differences between the pre-loop prediction and the post-loop prediction serve to indicate whether the situation is improving or degrading.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"33 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131046160","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Simulation of coherent risk measures 连贯风险措施的模拟
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371501
Vadim Lesnevski, B. Nelson, J. Staum
{"title":"Simulation of coherent risk measures","authors":"Vadim Lesnevski, B. Nelson, J. Staum","doi":"10.1109/WSC.2004.1371501","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371501","url":null,"abstract":"In financial risk management, a coherent risk measure equals the maximum expected loss under several different probability measures, which are analogous to systems in ranking and selection. Here it is the best system's expected value and not identity that is of interest. We explore the correctness and computational efficiency of simulated confidence intervals for a maximum of several expectations.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"414 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133471766","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 6
Optimization of traffic signal light timing using simulation 基于仿真的交通信号灯配时优化
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371482
K. Hewage, J. Ruwanpura
{"title":"Optimization of traffic signal light timing using simulation","authors":"K. Hewage, J. Ruwanpura","doi":"10.1109/WSC.2004.1371482","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371482","url":null,"abstract":"Traffic congestion is one of the worst problems in many countries. Traffic congestion wastes a huge portion of the national income for fuel and traffic-related environmental and socioeconomic problems. Computer simulation is a powerful tool for analyzing complex and dynamic scenarios. It provides an appealing approach to analyze repetitive processes. Simulation helps decision makers identify different possible options by analyzing enormous amounts of data. Hence, computer simulation can be used effectively to analyze traffic flow patterns and signal light timing. This paper discusses a special-purpose simulation (SPS) tool for optimize traffic signal light timing. The simulation model is capable of optimizing signal light timing at a single junction as well as an actual road network with multiple junctions. It also provides signal light timing for certain time periods according to traffic demand. Traffic engineers at the University of Moratuwa, Sri Lanka are testing the developed tool for actual applications.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"133258010","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 43
Modeling real-world control systems: beyond hybrid systems 建模真实世界的控制系统:超越混合系统
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371322
S. Neuendorffer
{"title":"Modeling real-world control systems: beyond hybrid systems","authors":"S. Neuendorffer","doi":"10.1109/WSC.2004.1371322","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371322","url":null,"abstract":"Hybrid system modeling refers to the construction of system models combining both continuous and discrete dynamics. These models can greatly reduce the complexity of a physical system model by abstracting some of the continuous dynamics of the system into discrete dynamics. Hybrid system models are also useful for describing the interaction between physical processes and computational processes, such as in a digital feedback control system. Unfortunately, hybrid system models poorly capture common software architecture design patterns, such as threads, mobile code, safety, and hardware interfaces. Dealing effectively with these practical software issues is crucial when designing real-world systems. This paper presents a model of a complex control system that combines continuous-state physical system models with rich discrete-state software models in a disciplined fashion. We show how expressive modeling using multiple semantics can be used to address the design difficulties in such a system.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131301762","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 13
Simulation-based layout planning of a production plant 基于仿真的生产工厂布局规划
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371432
Mert Altinkilinc
{"title":"Simulation-based layout planning of a production plant","authors":"Mert Altinkilinc","doi":"10.1109/WSC.2004.1371432","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371432","url":null,"abstract":"This paper presents a study that uses simulation to improve shop floor performance by means of two layout types and certain operational parameters. In this study, an overview of the plant layout problem is covered for the particular company. The original motivation for redesigning the entire shop floor was the need to realize improvements in material flow and output level. First, the performance of the existing system was evaluated by using ARENA. Second, manufacturing cells were formed and group technology layout was developed by means of rank order clustering (ROC) method and computerized relative allocation of facilities technique (CRAFT). Finally, the performance of the new system was evaluated and compared with that of the current system.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"39 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"115536482","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 34
Utilizing simulation to evaluate business decisions in sense-and-respond systems 利用模拟来评估感知和响应系统中的业务决策
Proceedings of the 2004 Winter Simulation Conference, 2004. Pub Date : 2004-12-05 DOI: 10.1109/WSC.2004.1371450
P. Huang, Young M. Lee, L. An, M. Ettl, S. Buckley, K. Sourirajan
{"title":"Utilizing simulation to evaluate business decisions in sense-and-respond systems","authors":"P. Huang, Young M. Lee, L. An, M. Ettl, S. Buckley, K. Sourirajan","doi":"10.1109/WSC.2004.1371450","DOIUrl":"https://doi.org/10.1109/WSC.2004.1371450","url":null,"abstract":"Simulation can be an effective way to evaluate alternative decisions in sense-and-respond systems prior to taking actions to resolve existing or anticipated business situations. In sense-and-respond systems, business situations arise within predefined contexts that specify what aspects of the business need to be monitored and what information is needed to make decisions. We have designed a decision support system that dynamically configures simulation models based on business context and interactively presents simulation results to business analysts. In this paper, our decision support system is applied to the IBM demand conditioning process, in which mismatches between supply and demand are identified and corrective actions are initiated.","PeriodicalId":257599,"journal":{"name":"Proceedings of the 2004 Winter Simulation Conference, 2004.","volume":"27 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2004-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114393661","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 10
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