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Research Output 1993 2019

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2019

Monte Carlo Methods for Insurance Risk Computation

Bar-Lev, S. & Ridder, A., 2019, In : International Journal of Statistics and Probability. 8, 3, p. 54-74 21 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Insurance
Monte Carlo method
Natural Exponential Family
Tail Probability
Counting
2016

Semiparametric cross-entropy for rare-event simulation

Ridder, A. A. N., Botev, Z. & Rojas-Nandayapa, L., 2016, In : Journal of Applied Probability. 53, 3, p. 633-649

Research output: Contribution to JournalArticleAcademicpeer-review

Rare Event Simulation
Cross-entropy
Importance Sampling
Sampling Distribution
Cross-entropy Method

Sequential Monte Carlo for counting vertex covers in general graphs

Ridder, A. A. N., Botev, Z. & Vaisman, R., 2016, In : Statistics and Computing. 26, 3, p. 591-607 18 p.

Research output: Contribution to JournalArticleAcademicpeer-review

Sequential Importance Sampling
Sequential Monte Carlo
Importance sampling
Vertex Cover
Counting
2012

Counting with combined splitting and capture-recapture methods

Dupuis, P., Kaynar, B., Ridder, A. A. N., Rubinstein, R. & Vaisman, R., 2012, In : Stochastic Models. 28, 3, p. 478-502

Research output: Contribution to JournalArticleAcademicpeer-review

Capture-recapture
Splitting Method
Counting
Counting Problems
Contingency Table
2011

Approximate results for a generalized secretary problem

Dietz, C., van der Laan, D. A. & Ridder, A. A. N., 2011, In : Probability in the Engineering and Informational Sciences. 25, 2, p. 157-169

Research output: Contribution to JournalArticleAcademicpeer-review

Secretary Problem
Backward Induction
Optimal Policy
Person
Approximation

Finite-state Markov chains obey Benford's law

Ridder, A. A. N., Berger, A., Hill, T. P. & Kaynar, B., 2011, In : SIAM Journal on Matrix Analysis and Applications. 32, 3, p. 665-684

Research output: Contribution to JournalArticleAcademicpeer-review

Benford's law
P-matrix
Markov chain
Transition Probability Matrix
Floating point

State-dependent importance sampling schemes via minimum cross-entropy

Ridder, A. A. N. & Taimre, T., 2011, In : Annals of Operations Research. 189, 1, p. 357-388

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
File
Importance sampling
Estimator
Cross-entropy
Simulation
Jump
2010

Asymptotic optimality of the cross-entropy method for Markov chain problems

Ridder, A. A. N., 2010, In : Procedia Computer Science. 1, 1, p. 1571-1578

Research output: Contribution to JournalArticleAcademicpeer-review

Open Access
Markov processes
Entropy

The cross-entropy method with patching for rare-event simulation of large Markov chains

Ridder, A. A. N. & Kaynar, B., 2010, In : European Journal of Operational Research. 207, p. 1380-1397

Research output: Contribution to JournalArticleAcademicpeer-review

Rare Event Simulation
Cross-entropy Method
Importance sampling
Importance Sampling
Markov processes
2009

Importance sampling algorithms for first passage time probabilities in the infinite server queue

Ridder, A. A. N., 2009, In : European Journal of Operational Research. 199, p. 176-186

Research output: Contribution to JournalArticleAcademicpeer-review

Infinite Server Queue
Importance sampling
First Passage Time
Importance Sampling
Servers
2007

Minimum cross-entropy methods for rare-event simulation

Ridder, A. A. N. & Rubinstein, R., 2007, In : Simulation. 83, 11, p. 769-784

Research output: Contribution to JournalArticleAcademicpeer-review

Rare Event Simulation
Cross-entropy Method
Importance sampling
Entropy
Hazard Rate
2005

Importance sampling simulations of Markovian reliability systems using cross-entropy

Ridder, A. A. N., 2005, In : Annals of Operations Research. 1, 134, p. 119-136

Research output: Contribution to JournalArticleAcademic

Importance sampling
Estimator
Simulation
System reliability
Cross-entropy

Large deviations without principle: join the shortest queue

Ridder, A. A. N. & Shwartz, A., 2005, In : Mathematical Methods of Operations Research. 62, 3, p. 467-483

Research output: Contribution to JournalArticleAcademic

Large Deviations
Join
Queue
Servers
Large Deviation Principle
2003

Large-deviations analysis of the fluid approximation for a controllable tandem queue

Ridder, A. A. N., 2003, In : Annals of Applied Probability. 13, 4, p. 1423-1448 25 p.

Research output: Contribution to JournalArticleAcademic

Open Access
File
2002
Overflow
Large Deviations
Queue
Fluid
Fluids
2001

A large deviations approach to the transient of the Erlang loss model

Ridder, A. A. N. & Mandjes, M. R. H., 2001, In : Performance Evaluation. 43, p. 181-198 18 p.

Research output: Contribution to JournalArticleAcademic

Asymptotic analysis
Blocking probability
Asynchronous transfer mode
Large Deviations
ATM Networks
2000

An analytic model for capacity planning of prisons in the Netherlands

Ridder, A. A. N., Korporaal, R., Dekker, R. & Kloprogge, P., 2000, In : The Journal of the Operational Research Society. 51, p. 1228-1237 10 p.

Research output: Contribution to JournalArticleAcademic

Prisons
Decision support systems
Planning
The Netherlands
Capacity planning
1999

Optimal trajectory to overflow in a queue fed by a large number of sources

Ridder, A. A. N. & Mandjes, M. R. H., 1999, In : Queueing Systems. 31, p. 137-170 33 p.

Research output: Contribution to JournalArticleAcademic

How larger demand variability may lead to lower costs in the newsvendor problem

Ridder, A. A. N., van der Laan, E. & Salomon, M., 1998, In : Operations Research. 46, 6, p. 934-936 4 p.

Research output: Contribution to JournalArticleAcademic

1996

An (s,Q) inventory model with remanufacturing and disposal

Ridder, A. A. N., van der Laan, G., Salomon, M. & Dekker, R., 1996, In : International Journal of Production Economics. 46-47, p. 339-350 11 p.

Research output: Contribution to JournalArticleAcademic

Costs
Remanufacturing
Disposal
Approximation
Inventory model

Fast simulation of Markov fluid models

Ridder, A. A. N., 1996, In : Journal of Applied Probability. 33, p. 786-803 17 p.

Research output: Contribution to JournalArticleAcademic