SIMULATION AND THE MONTE CARLO METHOD Episode 4 potx

... products of both basic and applied science are dependent upon the trinity of measurement, theory and Monte Carlo. Monte Carlo is often seen as a “competitor” to other methods of macroscopic calculation, ... by Monte Carlo methods and the skewness of the electron trajectories in 2 The trajectories depicted in Figure 1.3 and some subsequent ones were produced...

Ngày tải lên: 09/04/2014, 16:23

... from each other, so the chain is irreducible and every state is either recurrent or transient. The equation IF = TP becomes SIMULATION AND THE MONTE CARL0 METHOD Second Edition ... that is, their intersection is empty, are called disjoint events. The main step is to specify the probability of each event. Simulation and the Monte Carlo Method,...

Ngày tải lên: 27/06/2014, 08:20

... techniques in Monte Carlo simulation, such as antithetic and common random numbers, control random variables, conditional Monte Carlo, stratified sampling, and importance sampling. The last is the most ... for this Markov chain, and all the states are therefore positive recurrent. On the other hand, when p 2 q, C nj is either 0 or infinite, and hence all stat...

Ngày tải lên: 27/06/2014, 18:20

... a random sample X1, . . . , XN from the pdf of X and defining the indicators 2, = J{x,2y), i = 1,. . . , N . The estimator d thus defined is called the crude Monte Carlo ... Thus, by the uniqueness property, M + N - Poi(p + v). 32 PRELIMINARIES the distance between the joint pdf f of X and Y and the product of their marginal pdf...

Ngày tải lên: 12/08/2014, 07:22

... (X), return 2 = X. Otherwise, return to Step 1. The theoretical basis of the acceptance-rejection method is provided by the following theorem. Theorem 2 .3. 1 The random variable generated ... let a = c = Xo = 3 and m = 5. Then the sequence obtained from the recursive formula X,+l = 3X, + 3 (mod 5) is 3, 2,4,0 ,3, which has period 4. In the...

Ngày tải lên: 12/08/2014, 07:22

... entersfleaves the system per unit of time) as a function of the buffer size b. Further Reading One of the first books on Monte Carlo simulation is by Hammersley and Handscomb [3]. Kalos and Whitlock ... Handscomb. Monte Carlo Methods. John Wiley & Sons, New 4. M. H. Kalos and P. A. Whitlock. Monte Carlo Methods, Volume I: Basics. John Wiley &...

Ngày tải lên: 12/08/2014, 07:22

... 6. 45 23.93 11.38 24.97 5. 56 20.88 6.74 19 .53 12. 05 18.84 5. 62 11.90 8. 25 13.32 13.88 13.00 9.31 10 .51 114.71) 40.00 Based on the data in Table 4.3, we illustrate the derivation of the ... include the use of common and antithetic variables, control variables, and stratification. The rest of this chapter is organized as follows. We start, in Sections 5. 2 -5. 5,...

Ngày tải lên: 12/08/2014, 07:22

... 16. 16 16. 11 14.84 16. 12 15 .67 Max T 22 .65 26. 85 16. 59 18.72 17.20 MinF 11.13 7.007 12.59 14 .63 14.80 RE 0.20 0.34 0.075 0.074 0.049 CPU 0.00 0.49 68 . 36 0.73 27.54 From the ... 0.1091 0.0303 0.1 061 0.1 064 0.0 369 0.0 267 0. 060 3 0.0814 0.1 462 0.1 461 0.1405 0.0244 0.0233 0.0773 0. 068 0 22 23 26 27 28 30 31 32 34 40 42 49...

Ngày tải lên: 12/08/2014, 07:22

... 15.0260 14.6215 14. 075 7 14.48 57 14.8 674 14 .78 39 14.8053 15. 078 1 14.8 278 14.8048 qu; v) 14.4928 14.465 1 14.4861 14.4893 14. 474 9 14. 476 2 14.4695 14.46 57 14.46 07 14.46 13 Var,(e^(u)) ... Monte Carlo Statistical Methods. Springer, New York, 2nd edition, 27. S. M. Ross. Simulation. Academic Press, New York, 3rd edition, 2002. 28. R. Y. Rubin...

Ngày tải lên: 12/08/2014, 07:22

... approximation and the stochastic counterpart method we refer to [ 101 and [ 181 , respectively. The following two subsections deal separately with the stochastic approximation and the stochastic ... mechanics. Random Structures and Algorithms, 1 & 2:223-252, 1996. 2004. 216 SENSITIVITY ANALYSIS AND MONTE CARL0 OPTIMIZATION and then solve the lat...

Ngày tải lên: 12/08/2014, 07:22

... rediscovered at the end of the 198 0s by Glynn [4] in 199 0 and independently in 198 9 by Reiman and Weiss [ 121, who called it the likelihoodratio method. Since then, both the IPA and SF methods ... York, 197 8. Research, 37(5):83&844, 198 9. 22:400407, 195 1. Latvia, 196 9. (In Russian). John Wiley & Sons, New York, 198 6. York, 199 8. method. Mathema...

Ngày tải lên: 12/08/2014, 07:22

... Bt, and Zt behave. 8.25 Add N(0,l) noise to the Matlab peaks function and apply the CE algorithm to find the global maximum. Display the contour plot and the path followed by the mean ... is the following injection method [3]. Let St denote the best performance found at the t-th iteration, and (in the normal case) let at denote the largest standa...

Ngày tải lên: 12/08/2014, 07:22

... more research and applications on #P-complete problems, as the original CE method did in the fields of Monte Carlo simulation and simulation- based optimization in recent years. The rest of ... via Monte Carlo, we draw a random sample XI, . . . , XN from g and take the estimator Thebestchoiceforgisg*(x) = l/l%*[, x E X*;inotherwords,g'(x) is th...

Ngày tải lên: 12/08/2014, 07:22

... + bi2. Further, from (A.l) and (A.2). Hence, from (A.3) and (A.4) and the symmetry of C, Simulation and the Monte Carlo Method, Second Edition. By R.Y. Rubinstein and D. P. ... 373 0 467.70 1089 42 859.50 123 7 231 153.70 126 8 910 244.90 128 4 1180 273.10 129 0 124 8 277.30 129 1 126 0 277.10 129 6 125 8 271.90 128 4 125 1 PV 0.0000...

Ngày tải lên: 12/08/2014, 07:22