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Barry L. Nelson
Researcher at Northwestern University
Publications - 279
Citations - 15869
Barry L. Nelson is an academic researcher from Northwestern University. The author has contributed to research in topics: Stochastic simulation & Estimator. The author has an hindex of 53, co-authored 272 publications receiving 14815 citations. Previous affiliations of Barry L. Nelson include Lancaster University & Ohio State University.
Papers
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Proceedings ArticleDOI
Stochastic kriging for conditional value-at-risk and its sensitivities
TL;DR: A stochastic kriging metamodel-based method for efficient estimation of risks and their sensitivities and gives the best linear unbiased predictor of the risk sensitivities with minimum mean squared error is introduced.
Journal ArticleDOI
General-purpose ranking and selection for computer simulation
Soonhui Lee,Barry L. Nelson +1 more
TL;DR: This article establishes the asymptotic PCS of these R&S procedures under very mild conditions and provides a finite-sample empirical evaluation of them as well.
Proceedings ArticleDOI
Response surface methodology for simulating hedging and trading strategies
TL;DR: It is shown that response surface methodology enables a more efficient simulation procedure: in particular, it is possible to do far fewer simulations by using kriging to model portfolio weights as a function of underlying financial variables.
Book ChapterDOI
Combined screening and selection of the best with control variates
TL;DR: In this paper, the authors presented a new CV screening procedure to avoid much of the computation cost along with a better paired CV model than that of Nelson and Staum and also presented a two-stage CV combined procedure that captures the ability to eliminate inferior systems in the first stage and the statistical efficiency of control variates for selection in the second stage.
Book
Stochastic Computer Simulation
TL;DR: The topic of this book, what is meant by stochastic computer simulation is introduced, and examples of application areas are provided to motivate the remaining chapters in the book through two in-depth examples.