SIMULATION AND THE MONTE CARLO METHOD Episode 12 pptx

... + 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

... 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...

Ngày tải lên: 12/08/2014, 07:22

... 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...

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 ... 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

... 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 kn...

Ngày tải lên: 12/08/2014, 07:22

... We illustrate the method via two worked examples, one based on the Metropolis-Hastings sampler and the other on the Gibbs sampler. EXAMPLE 6 .12 Traveling Salesman Problem The traveling ... Rubinstein, and A. Ziv. On the optimality and efficiency of common random 12. I. B. Gertsbakh. Statistical Reliability Theory. Marcel Dekker, New York, 1989. 13. P. Glass...

Ngày tải lên: 12/08/2014, 07:22

... SENSITIVITY ANALYSIS AND MONTE CARL0 OPTIMIZATION and then solve the latter by standard mathematical programming techniques. The resultant optimal solution provides an estimator of the corresponding ... approximation and the stochastic counterpart method we refer to [ 101 and [ 181, respectively. The following two subsections deal separately with the stochast...

Ngày tải lên: 12/08/2014, 07:22

... 6 and the sample sizes N = 50,000 and N1 = 500,000. In particular, we set thebottleneckparameters ~111, ~ 112, 2 1121 , 2 1122 , 2121 1, ~ 212, 2122 1, ~222 to 1 and the remaining 12 elements ... of the CE method to several such problems, such as the max-cut problem and the TSP, and provide supportive numerical results on the performance of the alg...

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