The paper compares different approaches to estimate the reliability of individual predictions in regression. We compare the sensitivity-based reliability estimates developed in our previous work with four approaches found in the literature: variance of bagged models, local cross-validation, density estimation, and local modeling. By combining pairs of individual estimates, we compose a combined...

The shortage of adequate benchmarking facilities is a major problem in the evaluation of novel production system machine organizations. This paper presents a survey of benchmark programs used in published research for improvement of production systems. We ooer a new benchmark problem that allows independent variation in the size of the database, the number of productions, the ratio between loca...

The probabilistic traveling salesman problem is a paradigmatic example of a stochastic combinatorial optimization problem. For this problem, recently an estimation-based local search algorithm using delta evaluation has been proposed. In this paper, we adopt two wellknown variance reduction procedures in the estimation-based local search algorithm: The first is an adaptive sampling procedure th...

A variance reduction technique in nonparametric smoothing is proposed: at each point of estimation, form a linear combination of a preliminary estimator evaluated at nearby points with the coefficients specified so that the asymptotic bias remains unchanged. The nearby points are chosen to maximize the variance reduction. We study in detail the case of univariate local linear regression. While ...

The probabilistic traveling salesman problem is a paradigmatic example of a stochastic combinatorial optimization problem. For this problem, recently an estimation-based local search algorithm using delta evaluation has been proposed. In this paper, we adopt two well-known variance reduction procedures in the estimation-based local search algorithm: the first is an adaptive sampling procedure t...

The latest generation of volatility derivatives goes beyond variance and volatility swaps and probes our ability to price realized variance and sojourn times along bridges for the underlying stock price process. In this paper, we give an operator algebraic treatment of this problem based on Dyson expansions and moment methods and discuss applications to exotic volatility derivatives. The method...

This paper discusses the estimation and plug-in kriging prediction of a non-stationary spatial process assuming a smoothly varying variance function with an additive independent measurement error. A difference-based kernel smoothing estimator of the variance function and a modified likelihood estimator of the measurement error variance are used for parameter estimation. Asymptotic properties of...

Typical manufacturing scheduling algorithms do not consider the energy consumption of each job, or its variance, when they generate a production schedule. This can become problematic for manufacturers when local infrastructure has limited energy distribution capabilities. In this paper, a genetic algorithm based schedule modification algorithm is presented. By referencing energy consumption mod...