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A computer network serves distributed applications by communicating messages between their remote ends. Many such applications desire minimal delay for their messages. Beside this efficiency objective, allocation of the network capacity is also subject to the fairness constraint of not shutting off communication for any individual message. Processor Sharing (PS) is a de facto standard of fairness...
We develop a class of control variates for the American option pricing problem that are constructed through the use of MARS - multivariate adaptive regression splines. The splines approximate the option's value function at each time step, and the value function approximations are then used to construct a martingale that serves as the control variate. Significant variance reduction is possible even...
We propose a testbed of simulation-optimization problems. The purpose of the testbed is to encourage development and constructive comparison of simulation-optimization techniques and algorithms. We are particularly interested in increasing attention to the finite-time performance of algorithms, rather than the asymptotic results that one often finds in the literature
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