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Comparative analysis of two-dimensional data-driven efficient frontier estimation algorithms

Yuskevich, Ilya and Vingerhoeds, Rob A. and Golkar, Alessandro Comparative analysis of two-dimensional data-driven efficient frontier estimation algorithms. (2018) In: 2018 IEEE International Systems Engineering Symposium (ISSE), 1 October 2018 - 3 October 2018 (Rome, Italy).

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Official URL: https://doi.org/10.1109/SysEng.2018.8544456

Abstract

In this paper we show how the mathematical apparatus developed originally in the field of econometrics and portfolio optimization can be utilized for purposes of conceptual design, requirements engineering and technology roadmapping. We compare popular frontier estimation models and propose an efficient and robust nonparametric estimation algorithm for twodimensional frontier approximation. The proposed model allows to relax the convexity assumptions and thus enable estimating a broader range of possible technology frontier shapes compared to the state of the art. Using simulated datasets we show how the accuracy and the robustness of alternative methods such as Data Envelopment Analysis and nonparametric and parametric statistical models depend on the size of the dataset and on the shape of the frontier.

Item Type:Conference or Workshop Item (Paper)
Additional Information:Thanks to the IEEE (Institute of Electrical and Electronics Engineers). This paper is available at : https://ieeexplore.ieee.org/document/8544456 “© 2018 IEEE. Personal use of this material is permitted. Permission from IEEE must be obtained for all other uses, in any current or future media, including reprinting/republishing this material for advertising or promotional purposes, creating new collective works, for resale or redistribution to servers or lists, or reuse of any copyrighted component of this work in other works.
HAL Id:hal-02127499
Audience (conference):International conference proceedings
Uncontrolled Keywords:
Institution:Université de Toulouse > Institut Supérieur de l'Aéronautique et de l'Espace - ISAE-SUPAERO (FRANCE)
Other partners > Skolkovo Institute of Science and Technology - Skoltech (RUSSIA)
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Deposited By: Rob Vingerhoeds
Deposited On:13 May 2019 13:01

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