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121.
Consider a simulation experiment consisting of v independent vector replications across k systems, where in any given replication one system is selected as the best performer (i.e., it wins). Each system has an unknown constant probability of winning in any replication and the numbers of wins for the individual systems follow a multinomial distribution. The classical multinomial selection procedure of Bechhofer, Elmaghraby, and Morse (Procedure BEM) prescribes a minimum number of replications, denoted as v*, so that the probability of correctly selecting the true best system (PCS) meets or exceeds a prespecified probability. Assuming that larger is better, Procedure BEM selects as best the system having the largest value of the performance measure in more replications than any other system. We use these same v* replications across k systems to form (v*)k pseudoreplications that contain one observation from each system, and develop Procedure AVC (All Vector Comparisons) to achieve a higher PCS than with Procedure BEM. For specific small-sample cases and via a large-sample approximation we show that the PCS with Procedure AVC exceeds the PCS with Procedure BEM. We also show that with Procedure AVC we achieve a given PCS with a smaller v than the v* required with Procedure BEM. © 1998 John Wiley & Sons, Inc. Naval Research Logistics 45: 459–482, 1998 相似文献
122.
This article investigates inference for pmax, the largest cell probability in multinomial trials for the case of a small to moderate number of trials. Emphasis focuses on point and interval estimation. Both frequentist and Bayesian approaches are developed. The results of extensive simulation investigation are included as well as the analysis of a set of crime data for the city of New Orleans taken from the National Crime Survey. 相似文献
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We consider the parallel replacement problem in which there are both fixed and variable costs associated with replacing machines. Increasing maintenance costs motivate replacements, and the fixed replacement cost provides incentive for replacing machines of different ages together in “clusters.” We prove two intuitive results for this problem. First, it is never optimal to split a cluster of like-aged machines, and second, it is never optimal to replace newer clusters before older clusters. By incorporating these two results into an algorithmic approach, we vastly reduce the amount of computation required to identify an optimal replacement policy. 相似文献
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This article considers a two-person game in which the first player has access to certain information that is valuable but unknown to the second player. The first player can distort the information before it is passed on to the second player. The purpose in distorting the information is to render it as useless as possible to the second player. Based on the distorted information received, the second player then maximizes some given objective. In certain cases he may still be able to use the distorted information, but sometimes the information has been so badly distorted that it becomes completely useless to him. © 1993 John Wiley & Sons, Inc. 相似文献
126.
In financial engineering, sensitivities of derivative prices (also known as the Greeks) are important quantities in risk management, and stochastic gradient estimation methods are used to estimate them given the market parameters. In practice, the surface (function) of the Greeks with respect to the underlying parameters is much more desired, because it can be used in real‐time risk management. In this paper, we consider derivatives with multiple underlying assets, and propose three stochastic kriging‐based methods, the element‐by‐element, the importance mapping, and the Cholesky decomposition, to fit the surface of the gamma matrix that can fulfill the time constraint and the precision requirement in real‐time risk management. Numerical experiments are provided to illustrate the effectiveness of the proposed methods. 相似文献
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C4ISR(Command、Control、Communication、Computer、Intelligence、Surveillance and Reconnaissance)系统开发的仿真活动贯穿于系统全生命周期的各个阶段,仿真支持过程联系着C4ISR系统开发仿真的各类要素。首先对C4ISR系统开发仿真支持的内容进行分析,从生命周期维、仿真产品维和仿真任务维三个维度描述仿真支持内容之间的联系。然后分析了C4ISR系统开发仿真支持过程的层次性,应用UML描述了支持过程中的仿真项目模型和仿真过程模型。在此基础上,应用基于Petri网的工作流网,对C4ISR系统开发的仿真支持过程进行建模,分析了支持过程中活动、产品、角色、约束四类要素的Petri网表示方式。最后在一个C4ISR系统开发仿真支持实例中应用以上分析和建模方法,验证了方法的可行性和应用效果。 相似文献
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大规模地形作为分布式虚拟战场的重要组成部分,在非常有限的资源下,很难达到实时性绘制。针对此问题,设计了两级三层的概要四叉树组织地形数据,用多线程模式算法调度数据,以提高庞大地形数据的交互速率;提出基于衔接索引模板的算法来消除裂缝,实现不同细节层次的无缝拼接;引入样本纹理堆栈的纹理合成算子,增强各层次细节地貌的逼真表现。实验表明:该方法能够很好地实现战场环境下地形的实时性绘制,提供稳定的视觉漫游效果。 相似文献