nep-cmp New Economics Papers
on Computational Economics
Issue of 2009‒01‒31
ten papers chosen by
Stan Miles
Thompson Rivers University

  1. Constrained Optimization in Simulation: A Novel Approach By Kleijnen, J.P.C.; Beers, W.C.M. van; Nieuwenhuyse, I. van
  2. A Small Open Economy DSGE Model for Pakistan By Haider, Adnan; Khan, Safdar Ullah
  3. Design of Experiments: An Overview By Kleijnen, J.P.C.
  4. Space-Filling Latin Hypercube Designs For Computer Experiments (Revision of CentER DP 2006-18) By Husslage, B.G.M.; Rennen, G.; Dam, E.R. van; Hertog, D. den
  5. Alternative Agricultural Price Distortions for CGE Analysis of Developing Countries, 2004 and 1980-84 By Valenzuela, Ernesto; Kym Anderson
  6. Robust Optimization in Simulation: Taguchi and Response Surface Methodology By Dellino, G.; Kleijnen, J.P.C.; Meloni, C.
  7. Nested Maximin Latin Hypercube Designs By Rennen, G.; Husslage, B.G.M.; Dam, E.R. van; Hertog, D. den
  8. Optimal Strategies for Automated Traders in a Producer-Consumer Futures Market By Laib, Fodil; Radjef, MS
  9. A Model for an Intelligent Support Decision System in Aquaculture By Novac Ududec, Cornelia / C
  10. Simulations in the Dutch interbank payment system: A sensitivity analysis By Ronald Heijmans

  1. By: Kleijnen, J.P.C.; Beers, W.C.M. van; Nieuwenhuyse, I. van (Tilburg University, Center for Economic Research)
    Abstract: This paper presents a novel heuristic for constrained optimization of random computer simulation models, in which one of the simulation outputs is selected as the objective to be minimized while the other outputs need to satisfy prespeci¯ed target values. Besides the simulation outputs, the simulation inputs must meet prespeci¯ed constraints including the constraint that the inputs be integer. The proposed heuristic combines (i) experimental design to specify the simulation input combinations, (ii) Kriging (also called spatial correlation mod- eling) to analyze the global simulation input/output data that result from this experimental design, and (iii) integer nonlinear programming to estimate the optimal solution from the Krig- ing metamodels. The heuristic is applied to an (s, S) inventory system and a realistic call-center simulation model, and compared with the popular commercial heuristic OptQuest embedded in the ARENA versions 11 and 12. These two applications show that the novel heuristic outper- forms OptQuest in terms of search speed (it moves faster towards high-quality solutions) and consistency of the solution quality.
    JEL: C0 C1 C9
    Date: 2008
  2. By: Haider, Adnan; Khan, Safdar Ullah
    Abstract: This paper estimates a small open economy Dynamic Stochastic General Equilibrium (DSGE) model for Pakistan using Bayesian simulation approach. Model setup is based on new Keynesian framework, characterized by nominal rigidity in prices with habit formation in household’s consumption. The core objective is to study whether an estimated small open economy DSGE model provides a realistic behavior about the structure Pakistan economy with fully articulated description of the monetary policy transmission mechanism vis-à-vis domestic firm’s price setting behavior. To do so, we analyze the impulse responses of key macro variables; domestic inflation, imported inflation, output, consumption, interest rate, exchange rate, term of trade to different structural/exogenous shocks. From several interesting results, few are; (a) high inflation in Pakistan do not hit domestic consumption significantly; (b) Central bank of Pakistan responds to high inflation by increasing the policy rate by 100 to 200 bps; (c) exchange rate appreciates in both the cases of high domestic and imported inflation; (d) tight monetary policy stance helps to curb domestic inflation as well as imported inflation but appreciates exchange rate significantly (f) pass through of exchange rate to domestic inflation is very low; finally parameter value of domestic price stickiness shows that around 24 percent domestic firms do not re-optimize their prices which implies averaged price contract is about two quarters.
    Keywords: New-Keynesian economics; open economy DSGE models; nominal rigidities; monetary policy transmission mechanism; Bayesian Approach
    JEL: F37 E32 E52 F47 E47
    Date: 2008–11–06
  3. By: Kleijnen, J.P.C. (Tilburg University, Center for Economic Research)
    Abstract: Design Of Experiments (DOE) is needed for experiments with real-life systems, and with either deterministic or random simulation models. This contribution discusses the different types of DOE for these three domains, but focusses on random simulation. DOE may have two goals: sensitivity analysis including factor screening and optimization. This contribution starts with classic DOE including 2k-p and Central Composite designs. Next, it discusses factor screening through Sequential Bifurcation. Then it discusses Kriging including Latin Hyper cube Sampling and sequential designs. It ends with optimization through Generalized Response Surface Methodology and Kriging combined with Mathematical Programming, including Taguchian robust optimization.
    Keywords: simulation;sensitivity analysis;optimization;factor screening;Kriging;RSM;Taguchi
    JEL: C0 C1 C9
    Date: 2008
  4. By: Husslage, B.G.M.; Rennen, G.; Dam, E.R. van; Hertog, D. den (Tilburg University, Center for Economic Research)
    Abstract: In the area of computer simulation, Latin hypercube designs play an important role. In this paper the classes of maximin and Audze-Eglais Latin hypercube designs are considered. Up to now only several two-dimensional designs and a few higher dimensional designs for these classes have been published. Using periodic designs and the Enhanced Stochastic Evolutionary algorithm of Jin et al. (2005), we obtain new results which we compare to existing results. We thus construct a database of approximate maximin and Audze-Eglais Latin hypercube designs for up to ten dimensions and for up to 300 design points. All these designs can be downloaded from the website
    Keywords: Audze-Eglais;computer experiment;Enhanced Stochastic Evolutionary algorithm;Latin hypercube design;maximin;non-collapsing;packing problem;simulated annealing;space-filling.
    JEL: C90
    Date: 2008
  5. By: Valenzuela, Ernesto; Kym Anderson
    Abstract: This memorandum presents the agricultural protection dataset that resulted from a recent World Bank Research project. The complete dataset is available with this memorandum, along with the mapping required from GTAP version 7 Data Base to the level of aggregation used herein, i.e., 60 regions and 23 sectors. The current GTAP version 7 Data Base may be modified to incorporate this dataset, using an Altertax simulation. The files required for this Altertax simulation, including the closure, experiment file, parameter files and shock files are also being provided here. Starting from the original aggregation of 113 regions and 57 sectors, the users can modify the data either at the level of aggregation suggested herein, or any other feasible level of aggregation depending on their requirements, by suitably modifying the shock files.
    Date: 2009
  6. By: Dellino, G.; Kleijnen, J.P.C.; Meloni, C. (Tilburg University, Center for Economic Research)
    Abstract: Optimization of simulated systems is tackled by many methods, but most methods assume known environments. This article, however, develops a 'robust' methodology for uncertain environments. This methodology uses Taguchi's view of the uncertain world, but replaces his statistical techniques by Response Surface Methodology (RSM). George Box originated RSM, and Douglas Montgomery recently extended RSM to robust optimization of real (non-simulated) systems. We combine Taguchi's view with RSM for simulated systems, and apply the resulting methodology to classic Economic Order Quantity (EOQ) inventory models. Our results demonstrate that in general robust optimization requires order quantities that differ from the classic EOQ.
    Keywords: Pareto frontier;bootstrap;Latin hypercube sampling
    Date: 2008
  7. By: Rennen, G.; Husslage, B.G.M.; Dam, E.R. van; Hertog, D. den (Tilburg University, Center for Economic Research)
    Abstract: In the field of design of computer experiments (DoCE), Latin hypercube designs are frequently used for the approximation and optimization of black-boxes. In certain situations, we need a special type of designs consisting of two separate designs, one being a subset of the other. These nested designs can be used to deal with training and test sets, models with different levels of accuracy, linking parameters, and sequential evaluations. In this paper, we construct nested maximin Latin hypercube designs for up to ten dimensions. We show that different types of grids should be considered when constructing nested designs and discuss how to determine which grid to use for a specific application. To determine nested maximin designs for dimensions higher than two, four different variants of the ESE-algorithm of Jin et al. (2005) are introduced and compared. In the appendix, maximin distances for different numbers of points are provided; the corresponding nested maximin designs can be found on the website
    Keywords: Design of computer experiments;Latin hypercube design;linking parameter;nested designs;sequential simulation;space-filling;training and test set.
    JEL: C90
    Date: 2009
  8. By: Laib, Fodil; Radjef, MS
    Abstract: The aim of this work is to show how automated traders can operate a futures market. First, we established some hypothesises on the properties of the ’correct’ price pattern which translates accurately the underlying moves in the supply/demand balance and the nominal price, then mathematical measures were derived allowing to estimate the efficiency of a given trading strategy. As a starting step, we applied our approach to a simplified market setup where only two automated traders, a producer and a consumer, can trade. They receive a stream of forecasts on supply and demand levels and they should react instantaneously by adjusting these forecasts, then issuing sale and buy orders. Later, we suggested a parameterized trading strategy for the two automatons. Finally, we obtained by simulation the optimal parameters of this strategy in some particular cases.
    Keywords: Automated traders; optimal strategies; agent based
    JEL: C02 D40 C73
    Date: 2008–05–08
  9. By: Novac Ududec, Cornelia / C
    Abstract: The paper purpose an intelligent software system agents–based to support decision in aquculture and the approach of fish diagnosis with informatics methods, techniques and solutions. A major purpose is to develop new methods and techniques for quick fish diagnosis, treatment and prophyilaxis at infectious and parasite-based known disorders, that may occur at fishes raised in high density in intensive raising systems. But, the goal of this paper is to presents a model of an intelligent agents-based diagnosis method will be developed for a support decision system.
    Keywords: support decision system; diagnosis; multi-agent system; fish diseases.
    JEL: D81 D8
    Date: 2009–01–29
  10. By: Ronald Heijmans
    Abstract: This paper presents an analysis on the sensitivity of the Dutch interbank payment system with respect to the value transferred and the amount of available collateral. The Dutch system can be characterised as a system with a few large and many relatively small participants.Historical data has been used and modified to create a stress scenario. The changes with respect to the historical data are either an increase or a decrease of payment values of one of the large participants. This change of the payment value has been applied to the three large banks in the Dutch system. The collateral level has also been modified between the different stress scenarios. In total four levels of collateral are investigated of which 2 are based on historical data and 2 on theoretical calculated values, the upper and lower bound. The results of this paper are both in terms of number of banks affected and the amount of unsettled values by the end of the day.
    Keywords: interbank; payment system; operational disruption; liquidity; stress simulations; TOP; TARGET
    JEL: C88 E58 G21
    Date: 2009–01

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