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Research Interests:
We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option's value function at each time step;... more
We explore a class of control variates for the American option pricing problem. We construct the control variates by using multivariate adaptive linear regression splines to approximate the option's value function at each time step; the resulting approximate value functions are then combined to construct a martingale that approximates a "perfect" control variate. We demonstrate that significant variance reduction is
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We consider the problem of designing a preemptive protocol that is both fair and efficient when one is only concerned with the sojourn time of the job and not intermediate results. Our Fair Sojourn Protocol (FSP) is both efficient, in a... more
We consider the problem of designing a preemptive protocol that is both fair and efficient when one is only concerned with the sojourn time of the job and not intermediate results. Our Fair Sojourn Protocol (FSP) is both efficient, in a strong sense (similar to the shortest remaining processing time protocol: SRPT), and fair, in the sense of guaranteeing that
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Research Interests:
Adaptive Monte Carlo methods are simulation e-ciency improvement techniques designed to adap- tively tune simulation estimators. Most of the work on adaptive Monte Carlo methods has been devoted to adaptively tuning importance sampling... more
Adaptive Monte Carlo methods are simulation e-ciency improvement techniques designed to adap- tively tune simulation estimators. Most of the work on adaptive Monte Carlo methods has been devoted to adaptively tuning importance sampling schemes. We instead focus on adaptive methods based on con- trol variate schemes. We introduce two adaptive control variate methods, and develop their asymptotic properties. The flrst
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Adaptive Monte Carlo methods are specialized Monte Carlo simulation techniques where the methods are adaptively tuned as the simulation progresses. The primary focus of such techniques has been in adaptively tuning importance sampling... more
Adaptive Monte Carlo methods are specialized Monte Carlo simulation techniques where the methods are adaptively tuned as the simulation progresses. The primary focus of such techniques has been in adaptively tuning importance sampling distributions to reduce the variance of an estima- tor. We instead focus on adaptive control variate schemes, developing asymptotic theory for the performance of two adaptive control
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We review chessboard distributions for modeling partially specified finite-dimensional random vectors. Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the... more
We review chessboard distributions for modeling partially specified finite-dimensional random vectors. Chessboard distributions can match a given set of marginals, a given covariance structure, and various other constraints on the distribution of a random vector. It is necessary to solve a potentially large linear program to set up a chessboard distribution, but random vectors can then be rapidly generated.
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The NORTA method for multivariate generation is a fast general purpose method for generating samples of a random vector with given marginal distributions and given product-moment or rank correlation matrix. However, this method has been... more
The NORTA method for multivariate generation is a fast general purpose method for generating samples of a random vector with given marginal distributions and given product-moment or rank correlation matrix. However, this method has been shown to fail to work for some feasible correlation matrices. (A matrix is feasible if there exists a random vector with the given marginal distributions
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The ambulance-planning problem includes operational decisions such as choice of dispatching policy, strategic decisions such as where ambulances should be stationed and at what times they should operate, and tactical decisions such as... more
The ambulance-planning problem includes operational decisions such as choice of dispatching policy, strategic decisions such as where ambulances should be stationed and at what times they should operate, and tactical decisions such as station location selection. Any solution to this problem requires careful balancing of political, economic and medical objectives. Quantitative decision processes are becoming increasingly important in providing public
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We present an iterative cutting plane method for minimizing staffing costs in a service system subject to satisfying acceptable service level requirements over multiple time periods. We assume that the service level cannot be easily... more
We present an iterative cutting plane method for minimizing staffing costs in a service system subject to satisfying acceptable service level requirements over multiple time periods. We assume that the service level cannot be easily computed, and instead is evaluated using simulation. The simulation uses the method of common random numbers, so that the same sequence of random phenomena is
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Padang has one of the world's highest tsunami risks due to its high hazard, vulnerable terrain and population density. The current strategy to prepare for tsunamis in Padang is focused on developing early warning systems, planning... more
Padang has one of the world's highest tsunami risks due to its high hazard, vulnerable terrain and population density. The current strategy to prepare for tsunamis in Padang is focused on developing early warning systems, planning evacuation routes, conducting evacuation drills, and raising local awareness. Although these are all necessary, they are insufficient. Padang's proximity to the Sunda Trench and
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The M7.6 earthquake of 30 September 2009 in Western Sumatra, Indonesia caused significant damage and collapse to hundreds of buildings and the deaths of 1,117 people. In Padang City, with a population of about 900,000 people, building... more
The M7.6 earthquake of 30 September 2009 in Western Sumatra, Indonesia caused significant damage and collapse to hundreds of buildings and the deaths of 1,117 people. In Padang City, with a population of about 900,000 people, building collapse was the primary cause of deaths and serious injuries (313 deaths and 431 serious injuries). The predominant building construction types in Padang
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The TIMED spacecraft is currently mapping the Earth disk and limb with the Global Ultraviolet Imager (GUVI). Images are made at six different wavelengths including the optically thin OI 135.6 nm line that is excited by the recombination... more
The TIMED spacecraft is currently mapping the Earth disk and limb with the Global Ultraviolet Imager (GUVI). Images are made at six different wavelengths including the optically thin OI 135.6 nm line that is excited by the recombination of O+ ions at night. The intensity in these nighttime disk images is related to the total electron content of the ionosphere
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The TIMED spacecraft is currently mapping the Earth disk and limb with the Global Ultraviolet Imager (GUVI). Images are made at six different wavelengths including the optically thin OI 135.6 nm line that is excited by the recombination... more
The TIMED spacecraft is currently mapping the Earth disk and limb with the Global Ultraviolet Imager (GUVI). Images are made at six different wavelengths including the optically thin OI 135.6 nm line that is excited by the recombination of O+ ions at night. The intensity in these nighttime disk images is related to the total electron content of the ionosphere
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Abstract: As health care demands increase, we need to find better ways to manage the scarce resources that are available. A new simulation package, named Siren, has been developed to help meet this need in the Emergency Medical Services... more
Abstract: As health care demands increase, we need to find better ways to manage the scarce resources that are available. A new simulation package, named Siren, has been developed to help meet this need in the Emergency Medical Services area. We discuss ...
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Research Interests: Algorithms, Biomedical Engineering, Radiation Protection, Nuclear Medicine Physics, Probability, and 12 moreSoftware, Robust optimization, Humans, Computer Simulation, Movement, Probabilistic Model Checking, Male, Inverse Problem, Reproducibility of Results, Intensity Modulated Radiation Therapy, Treatment planning, and X ray Computed Tomography
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We propose a testbed of simulation-optimization prob- lems. The purpose of the testbed is to encourage de- velopment and constructive comparison of simulation- optimization techniques and algorithms. We are par- ticularly interested in... more
We propose a testbed of simulation-optimization prob- lems. The purpose of the testbed is to encourage de- velopment and constructive comparison of simulation- optimization techniques and algorithms. We are par- ticularly interested in increasing attention to the flnite- time performance of algorithms, rather than the asymp- totic results that one often flnds in the literature.
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We consider the problem of minimizing staffing costs in an inbound call center, while maintaining an acceptable level of service in multiple time periods. The problem is complicated by the fact that staffing level in one time period can... more
We consider the problem of minimizing staffing costs in an inbound call center, while maintaining an acceptable level of service in multiple time periods. The problem is complicated by the fact that staffing level in one time period can affect the service levels in subsequent periods. Moreover, staff schedules typically take the form of shifts covering several periods. Interactions between staffing levels in different time periods, as well as the impact of shift requirements on the staffing levels and cost, should be considered in the planning. Traditional staffing methods based on stationary queueing formulas do not take this into account. We present a simulation-based analytic center cutting-plane method to solve a sample average approximation of the problem. We establish convergence of the method when the service-level functions are discrete pseudoconcave. An extensive numerical study of a moderately large call center shows that the method is robust and, in most of the test cases...
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How should one allocate a fleet of ambulances to fixed bases with the goal of keeping response times to calls as small as possible? We present two new models for this problem, both of which are based on the Erlang loss formula. The first... more
How should one allocate a fleet of ambulances to fixed bases with the goal of keeping response times to calls as small as possible? We present two new models for this problem, both of which are based on the Erlang loss formula. The first model is stylized, and shows that allocating ambulances in proportion to the offered load is not necessarily optimal and can often be substantially improved upon. The second model can be used to screen potential allocations to try to identify top candidates for further investigation. Computational experiments on the first model provide insights on how we should modify ambulance allocations in response to different levels of offered load. Computational experiments on the second model compare this model with the so-called A-hypercube model and show that the our model has comparable, and in many cases, better performance in terms of the accuracy of the estimates of performance measures. Thus, our models can be used as pre-screening tools to identify promising ambulance allocations and these promising ambulance allocations can subsequently be evaluated carefully through simulation.