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Efficient Estimation of Nonparametric Simultaneous Equations Models
Local Polynomial Regression Nonparametric Additive Models Structural Models Instrumental Variables
2016/1/26
This paper defines a new procedure to efficiently estimate nonparametric simultaneous e-quations models that have been explored by Newey et al (1999) and Su and Ullah (2008).The proposed estimation pr...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects Generalized method of moment
2016/1/26
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Efficient Estimation of Nonparametric Simultaneous Equations Models
Local Polynomial Regression Nonparametric Additive Models Structural Models Instrumental Variables
2016/1/20
This paper defines a new procedure to efficiently estimate nonparametric simultaneous e-quations models that have been explored by Newey et al (1999) and Su and Ullah (2008).The proposed estimation pr...
Efficient GMM Estimation of Spatial Dynamic Panel Data Models
Spatial autoregression Dynamic panels Fixed effects
2016/1/20
In this paper we derive the asymptotic properties of GMM estimators for the spatial dynamic panel data model with fixed effects when n is large, and T can be large, but small relative to n. The GMM es...
Efficient Convex Optimization for Engineering Design
Optimization numerical methods linear programming robust control convex programming interior-point methods
2015/7/13
Many problems in engineering analysis and design can be cast as convex optimization problems, often nonlinear and nondifferentiable. We give a high-level description of recently developed interior-poi...
Efficient Nonlinear Optimization of Queueing Systems
Efficient Nonlinear Optimization Queueing Systems
2015/7/10
We present a systematic treatment of efficient nonlinear optimization of queuing systems. The suite of formulations uses the computational tool of convex optimization, with fast polynomial time algori...
Robust efficient frontier analysis with a separable uncertainty model
Robust efficient frontier analysis separable uncertainty model
2015/7/10
Mean-variance (MV) analysis is often sensitive to model mis-specification or uncertainty, meaning that the MV efficient portfolios constructed with an estimate of the model parameters (i.e., the expec...
We consider the problem of choosing the gate sizes or scale factors in a combinational logic circuit in order to minimize the total area, subject to simple RC timing constraints, and a minimum allowed...
An Efficient Method for Large-scale Slack Allocation
timing graph, slack allocation delay budgeting convex optimization
2015/7/9
We consider a timing or project graph, with given delays on the edges and given arrival times at the source and sink nodes. We are to find the arrival times at the other nodes; these determine the tim...
Efficient Monte Carlo Simulation of Security Prices
Efficient Monte Carlo Simulation Security Prices
2015/7/8
This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between i...
This paper is concerned with how coupling can be used to enhance the efficiency of a certain class of terminating simulations, in Markov process settings in which the stationary distribution is known....
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these ideas to complex models,...
Fluid Heuristics, Lyapunov Bounds, and Efficient Importance Sampling for a Heavy-tailed G/G/1 Queue
State-dependent importance sampling Rare-event simulation Heavy-tails
2015/7/6
We develop a strongly efficient rare-event simulation algorithm for computing the tail of the steady-state waiting time in a single server queue with regularly varying service times. Our algorithm is ...
Efficient Rare-event Simulation for the Maximum of Heavy-tailed Random Walks
State-dependent importance sampling rare-event simulation heavy-tails Lyapunov bounds random walks
2015/7/6
Let (Xn: n ≥ 0) be a sequence of i.i.d. r.v.’s with negative mean. Set S0 = 0 and define Sn = X1 +· · ·+Xn. We propose an importance sampling algorithm to estimate the tail of M = max{Sn: n ≥ 0} that ...
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Lyapunov Inequalities Efficient Importance Sampling
2015/7/6
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolu...