Ssrfuu
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Design and Analysis of Simulation Experiments
This is a new edition of Kleijnen’s advanced expository book on statistical methods for the Design and Analysis of Simulation Experiments (DASE). Altogether, this new edition has approximately 50% new material not in the original book. More specifically, the author has made significant changes to the book’s organization, including placing the chapter on Screening Designs immediately after the chapters on Classic Designs, and reversing the order of the chapters on Simulation Optimization and Kriging Metamodels. The latter two chapters reflect how active the research has been in these areas. The validation section has been moved into the chapter on Classic Assumptions versus Simulation Practice, and the chapter on Screening now has a section on selecting the number of replications in sequential bifurcation through Wald’s sequential probability ration test, as well as a section on sequential bifurcation for multiple types of simulation responses. Whereas all references in the original edition were placed at the end of the book, in this edition references are placed at the end of each chapter. From Reviews of the First Edition: “Jack Kleijnen has once again produced a cutting-edge approach to the design and analysis of simulation experiments.” (William E. BILES, JASA, June 2009, Vol. 104, No. 486)
Alternative Investments and Strategies
This book combines academic research and practical expertise on alternative assets and trading strategies in a unique way. The asset classes that are discussed include : credit risk, cross-asset derivatives, energy, private equity, freight agreements, alternative real assets (ARA), and socially responsible investments (SRI). The coverage on trading and investment strategies are directed at portfolio insurance, especially constant proportion portfolio insurance (CPPI) and constant proportion debt obligation (CPDO) strategies, robust portfolio optimization, and hedging strategies for exotic options.
Symbolic Regression
Symbolic regression (SR) is one of the most powerful machine learning techniques that produces transparent models, searching the space of mathematical expressions for a model that represents the relationship between the predictors and the dependent variable without the need of taking assumptions about the model structure. Currently, the most prevalent learning algorithms for SR are based on genetic programming (GP), an evolutionary algorithm inspired from the well-known principles of natural selection. This book is an in-depth guide to GP for SR, discussing its advanced techniques, as well as examples of applications in science and engineering. The basic idea of GP is to evolve a population of solution candidates in an iterative, generational manner, by repeated application of selection, crossover, mutation, and replacement, thus allowing the model structure, coefficients, and input variables to be searched simultaneously. Given that explainability and interpretability are key elements for integrating humans into the loop of learning in AI, increasing the capacity for data scientists to understand internal algorithmic processes and their resultant models has beneficial implications for the learning process as a whole. This book represents a practical guide for industry professionals and students across a range of disciplines, particularly data science, engineering, and applied mathematics. Focused on state-of-the-art SR methods and providing ready-to-use recipes, this book is especially appealing to those working with empirical or semi-analytical models in science and engineering.