Papers published in Hydrology and Earth System Sciences Discussions are under open-access review for the journal Hydrology and Earth System Sciences Abstract Introduction Conclusions References Tables Figures ◭ ◮ ◭ ◮ Back Close Full Screen / Esc Printer-friendly Version Interactive Discussion EGU Abstract In this approach, exploration of the cost function space was performed with an inexpensive...

The coupling-from-the-past (CFTP) algorithm of Propp and Wilson, also called perfect sampling, permits one to sample exactly from the stationary distribution of an ergodic Markov chain. By using it n times independently, we obtain an independent sample from that distribution. A more representative sample can be obtained by creating negative dependence between these n replicates; other authors h...

Quantile estimation has become increasingly important, particularly in the financial industry, where value at risk (VaR) has emerged as a standard measurement tool for controlling portfolio risk. In this paper, we analyze the probability that a simulation-based quantile estimator fails to lie in a prespecified neighborhood of the true quantile. First, we show that this error probability converg...

We apply the techniques of response surface methodology (RSM) to approximate the objective function of a two-stage stochastic linear program with recourse. In particular, the objective function is estimated, in the region of optimality, by a quadratic function of the firststage decision variables. The resulting response surface can provide valuable modeling insight, such as directions of minimu...

Recently there have been advances in strati ed sampling techniques that attempt to enforce equal distributions not only across the design variables, but also onto the design space itself. This requires a numerically intensive optimization routine. Until now, no optimization strategy was able to distribute sample points evenly in the design space, but Evolutionary Algorithms (EA) act as an enabl...

Pricing exotic multi-asset path-dependent options requires extensive Monte Carlo simulations. In the recent years the interest to the Quasi-monte Carlo technique has been renewed and several results have been proposed in order to improve its efficiency with the notion of effective dimension. To this aim, Imai and Tan introduced a general variance reduction technique in order to minimize the nom...

The purpose of this study is to understand the reaction of real estate prices to changes in different factors. In order to achieve this, a previously developed system dynamics model of real estate prices in Istanbul has been used (Özbaş and Özgün, 2005). The model has been developed and scenario analysis is carried out to some extent. However, a structured experimental analysis of the model und...

Quasi-random number sequences have been used extensively for many years in the simulation of integrals that do not have a closed-form expression, such as Mixed Logit and Multinomial Probit choice probabilities. Halton sequences are one example of such quasi-random number sequences, and various types of Halton sequences, including standard, scrambled, and shuffled versions, have been proposed an...

This paper discusses the design for reliability of a sintered silver structure in a power electronic module based on the computational approach that composed of high fidelity analysis, reduced order modelling, numerical risk analysis, and optimisation. The methodology was demonstrated on sintered silver interconnect sandwiched between silicon carbide chip and copper substrate in a power electro...