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ANOR
2010
85views more  ANOR 2010»
15 years 7 months ago
Inventory management with partially observed nonstationary demand
Abstract. We consider a continuous-time model for inventory management with Markov modulated non-stationary demands. We introduce active learning by assuming that the state of the ...
Erhan Bayraktar, Michael Ludkovski
ANOR
2010
120views more  ANOR 2010»
15 years 7 months ago
Stochastic models for risk estimation in volatile markets: a survey
Abstract The problem of portfolio risk estimation in volatile markets requires employing fat-tailed models for financial instrument returns combined with copula functions to captur...
Stoyan V. Stoyanov, Borjana Racheva-Iotova, Svetlo...
COMCOM
2008
99views more  COMCOM 2008»
15 years 7 months ago
Performance implications of fluctuating server capacity
In this paper, we consider a variant of an M/M/c/c loss system with fluctuating server capacity. Given a set of primary inputs, such as arrival rate, service rate, and capacity fl...
Jingxiang Luo, Carey L. Williamson
CORR
2010
Springer
109views Education» more  CORR 2010»
15 years 7 months ago
Fast simulation of large-scale growth models
We give an algorithm that computes the final state of certain growth models without computing all intermediate states. Our technique is based on a "least action principle"...
Tobias Friedrich, Lionel Levine
CPHYSICS
2008
53views more  CPHYSICS 2008»
15 years 7 months ago
Long-time self-diffusion for Brownian Gaussian-core particles
Using extensive Brownian dynamics computer simulations, the long-time self-diffusion coefficient is calculated for Gaussian-core particles as a function of the number density. Bot...
H. H. Wensink, H. Löwen, M. Rex, C. N. Likos,...