SIMULATION AND THE MONTE CARLO METHOD Episode 8 doc

... 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 latt...

Ngày tải lên: 12/08/2014, 07:22

... multiplying and dividing the integrand by f(x; w). We now replace the expected value in (5.57) by its sample (stochastic) counterpart and then take the optimal solution of the asso- ciated Monte Carlo ... and H(X) is ignored. In the special case of equal weights (p, = l/m and N, = N/m), the estimator (5.34) reduces to (5. 38) and the method is k...

Ngày tải lên: 12/08/2014, 07:22

... 2.92E -8 2.96E -8 2 .88 E -8 2 .81 E -8 Max e^ 3.93E -8 3.69E -8 3.56E -8 3.29E -8 Min 2 2.46E -8 2.65E -8 2.54E -8 2.45E -8 RE 0.166 0.102 0.109 0.077 CPU 6.03 9.3 1 6.56 9.12 From the results ... 3. 689 3.965 4.250 0.402 0.371 4 4 4 6 0.3 78 0.365 3 .82 7 3.167 4. 188 0.3 48 0.317 4 4 4 7 0.357 0.3 58 3 .88 1 4.235 4.929 0.375 0.347 4 4 4 8 0....

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... 1.15.1 Lagrangian Method The main components of the Lagrangian method are the Lagrange multipliers and the La- grange function, The method was developed by Lagrange in 1797 for the optimization ... PRELIMINARIES the distance between the joint pdf f of X and Y and the product of their marginal pdfs fx and fy, that is, under the assumption that the...

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... where the initial value, XO, is called the seed and the a, c, and m (all positive integers) are called the multiplier, the increment and the modulus, respectively. Note that applying the ... general methods for generating one-dimensional random variables from a prescribed distribution. We consider the inverse-transform method, the alias method, the compos...

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... 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 ... approximation to the real system and incorporate most of the important aspects of the real system. On the other hand, the model must not be so complex as...

Ngày tải lên: 12/08/2014, 07:22

... means method run the system for a simulation time of 10,000, discard the observations in the interval [0,100], and use N = 30 batches. b) For the regenerative method, run the system for the ... D, and A, be the size of the i-th demand and the length of the i-th inter- demand time, respectively. We assume that both { D,} and { A,} are iid sequen...

Ngày tải lên: 12/08/2014, 07:22

... 20000 e^h, 15.0260 14.6215 14.0757 14. 485 7 14 .86 74 14. 783 9 14 .80 53 15.0 78 1 14 .82 78 14 .80 48 qu; v) 14.49 28 14.465 1 14. 486 1 14. 489 3 14.4749 14.4762 14.4695 14.4657 14.4607 ... optimal N; in (5.36), and compare the results. For the second method, use a simulation run of size 1000 to estimate the standard deviations {IT,}. 188 MA...

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... directly the updating rules (8. 24) and (8. 25) rather than their stochastic counterparts. EXAMPLE 8. 8 Illustration of Algorithm 8. 3.2 Consider the five-node graph presented in Figure 8. 4. The ... denoting {pi} and {oi} the means and standard deviations of the components, the updating formulas are (see Problem 8. 17) and (8. 46) (8. 47) where Xki is...

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... 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