Several computational applications in stochastic operations research are presented, where, for each application, a computational engine is used to achieve results that are otherwise overly tedious by hand calculations, or in some cases mathematically intractable. Algorithms and code are developed and implemented with specific emphasis placed on achieving exact results and substantiated via Mont...

This article considers the CUSUM-based (cumulative sum) test for a change point in a time series. In the case of testing for a mean shift, the traditional Kolmogorov–Smirnov test statistic involves a consistent long-run variance estimator, which is needed to make the limiting null distribution free of nuisance parameters. The commonly used lag-window type long-run variance estimator requires to...