A vast area which includes generating results from computer models.

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Finite difference for variable coefficient with Neumann Boundary

The equations is the same as this post, but with respect to the Neumann boundary. The physically correct boundary conditions for this equation are \begin{equation} A(x)\frac{\partial u(x)}{\partial ...
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23 views

Finding the Equations of Motion for the Leapfrog Integrator

I understand that the Leapfrog Integrator is used to find an integral for Newton's Laws of Motion and that the Equation of Motion are given by: $$\frac{dx}{dt} = v$$ and $$\frac{dv}{dt} = F(x) = ...
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21 views

Does taking log change the values by a few folds? [on hold]

Suppose an engineering problem which wants me to choose the $\max_i \;\{ X_i\}$. Now $X_i$ is a unit-less ratio but by taking the log it gives certain unit. Say $X_i$ is a signal to interference ...
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1answer
33 views

Transforming a sequence to distinguish a limit

This might be the wrong place to ask this question, but I figured I might get some creative answers: I have a decreasing sequence $\{a_n\}_{n \geq 1}$ with $a_k \in (0,1)$ for all $k$ and $a_n \to ...
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0answers
17 views

Simulate ICA Source Signal

I am using the fastICA package in R for a matrix of time series information. However, if I wanted to simulate the process for risk management purposes how exactly could I do this? For example lets ...
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13 views

How to simulate Permanental Point Process

I have simulated a determinantal point process in a square grid using Gaussian Kernel. The Gaussain matrix is decomposed into its eigenvectors and eigenvalues. In core implementation, the elementary ...
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1answer
32 views

Rate of change for no stretch/compression

I am reading about cloth simulation from here. This is what one of the part says - Shouldn't the condition for no compression/stretching be Wu = 0 If there is no stretch/compression along ...
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14 views

Derivative of product of Vector Transpose and Vector

I was reading about simulation of cloth in graphics where I found this part a little difficult to understand : Firstly, from what I understand, he considers a force C(x) ...
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1answer
32 views

Slow convergence simulating log-normal sample from the normal

I am trying to simulate a log-normal random variable $Y$ with mean $m = \mathbb{E}[Y] = 0.001$ and standard deviation $s = 0.094$ by simulating a normal sample instead, and then exponentiating it. ...
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29 views

Shaking a box of rocks (Optimal Packing)

My coworker was telling me that when he plants seeds on his farm, he puts them all in a large container on the tractor and after a period of just driving, the seeds are more densely packed than when ...
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1answer
25 views

Bootstrap estimation of the 95% confidence intervals for the 95% quantile for gamma distribution

I cant find any where information or algorithm how to apply in steps the bootstrap procedure to estimate the 95% confidence intervals for the 95% quantile from a random sample. Does anyone knows how ...
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14 views

Generating pseudo-random numbers around a distribution with an uncertain/chaotic mean

I originally asked this question on cross-validated, but apparently it is too mathematical a problem for that site. I want to simulate data collected by an instrument realistically. The problem is ...
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22 views

Determanistically skipping through time of a time homogeneous Markov chain

Suppose I have an infinite number of time steps $X_0,\ldots,X_i,\ldots$, where each $X_i$ is an infinite dimensional random vector consisting of 0's and 1's. I now specify $P(X_i|X_{(i-1)})$ and an ...
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1answer
43 views

Solving differential equations with repeating forcing function

I am looking for a way to solve differential equation using the Laplace transformation with discontinuous and periodic forcing functions. I found this example and I would like to understand the ...
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1answer
40 views

How can one use a probability distribution to sample from a population

Let us assume that we have a population and we interested in specific property of each element of this population. Let us assume further that this property follows a normal distribution X ~ ...
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8 views

Correct way to implement event rejection in Gillespie method

I am using the Gillespie method for use when generating snowflakes from copy-rotate-translate of basic geometric shapes. The model consists of a matrix, describing coalescence probabilities, and ...
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19 views

Likelihood that two markov chains are derived from the same transition matrix

Forgive me for my weak statistic background, hopefully what I'm asking makes sense. So some quick background, I have one markov chain from a data set and many additional chains that I'm producing from ...
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17 views

Numerical integration of divergent functions

I am having trouble with the numerical integration of a divergent function. For example, \begin{equation} n= \int f(x)\,dx = \displaystyle\int \dfrac{\Theta(x-\varepsilon)\,dx}{\sqrt{x-\varepsilon}} ...
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3answers
40 views

Simulation of interacting Ornstein-Uhlenbeck processes

I would like to simulate the following system of interacting OU processes on $[0,T]$: $$dX_t^1=(X_t^2-X_t^1)\,dt+\sigma_1 \,dW_t^1,\quad X_0^1=x_1$$ $$dX_t^2=(X_t^1-X_t^2)\,dt+\sigma_2 ...
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1answer
36 views

Simulating Random Vectors Based on Conditioning

I'm working on a project where I need to simulate random vectors $(Y, X_1,\dots,X_n)$ in order to understand the joint distribution $f(y,x_1,\dots,x_n)$. I wish to simulate enough random vectors so ...
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0answers
13 views

Customers and Anti-Customer Queueing Problem: What is the Customer delete probability

Hello may ask for your help? First the setting: I have got a problem with some queueing theory. The whole problem would be a grid of nodes, all nodes have an operation intensity $\mu_{i,j}$. ...
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52 views

Solving Kepler's Equation

I've been working on simulating orbits. I've found that, when solving Kepler's equation, $M = E - \varepsilon\sin{E}$, I'm unsure about the solution to use. For a true anomaly $< \pi$, using the ...
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4answers
88 views

What is the statistical equilibrium for this simulation of happy bubbles?

Happy Bubbles I hope this is not too specific or practical, but I just made a simulation of sorts and seem to have hit quite close to an equilibrium (by accident). Now I am wondering if and how you ...
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25 views

Exlain the significance of the uniform random variable for the simulation of random variables

I can think of the "Universality of the Uniform": Given an Unif(0,1) r.v., we can construct an r.v. with any cts distribution we want. Conversely, given an r.v. with an arbitrary cts ...
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18 views

How do we derive efficiency from robustness in the virtual ant solution to the traveling salesman problem?

Using virtual ants/swarm intelligence to solve the Traveling Salesman Problem is an example of using a robust system to solve an efficiency problem. We normally think of robustness and efficiency as ...
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22 views

Simulating a SDE

I have a question about simulating a SDE. I want to simulate $dS=\alpha(K-S)dt+\sigma S dZ$ with use of a Euler-marayama scheme. The numerical scheme becomes: $S_{i+1}=S_{i}+\alpha(K-S_{i})dt+\sigma ...
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2answers
275 views

Implementing Ornstein–Uhlenbeck in Matlab

I am reading this article on Wikipedia, where three sample paths of different OU-processes are plotted. I would like to do the same to learn how this works, but I face troubles implementing it in ...
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1answer
25 views

Calculation of Confidence Interval for Simulation

I wrote a simulation that does 1,000,000 trials. It returns 430,200 successes. I want to calculate a probability of success with confidence interval for that probability estimate. I use $\sigma = ...
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96 views

distribution of the length for a random walk on an infinite 2D grid

In connection with the flatland paradox, consider a 2D-random walk $(X_n)$ on $\mathbb{Z}^2$: the four moves of length one to W,E,N, and S are equaly likely at each time. For a fixed number of moves ...
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1answer
18 views

proposal distribution for metropolis algorithm

All, I'm wondering whether it is possible to use an asymmetric distribution, eg the exponential distribution as the proposal dist'n for a metropolis algorithm (wiki) (not the metropolis-hastings). ...
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1answer
15 views

Metropolis-Hastings Algorithm Clarification

All- Could you please clarify: from wikipedia, step two states at the end if the candidate is rejected, set xt+1 = xt, instead. I don't quite understand this, so you will have two of the exact same ...
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1answer
76 views

How can I solve numerically this partial differential equation?

I am reading this paper and came across a system of differential equations with 4 ODEs and 1 PDE. The PDE is given below. My question is how to solve this numerically in MATLAB , Python or ...
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133 views

How to compute this triple integral?

I am trying to do this triple integral $$\int_{0}^{\infty }\int_{0}^{\infty }\int_{0}^{\infty }(u+w)e^{-\frac{(u+w)^2}{2}}(v+w)e^{-\frac{(v+w)^2}{2}}(u+v)e^{-\frac{(u+v)^2}{2}}e^{-(\mu +\lambda ...
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1answer
64 views

How to generate integer random numbers that equal to another random number?

I am running a simulation in Excel, and need to generate a group of integer random numbers summing up to another random integer, how can I possibly do it? For instance I have an integer random number ...
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1answer
55 views

Time between arrivals Distribution

I am simulating a hair parlor queue with m number of queues and 3 different types of services (queues). I was doing the time between arrival with a uniform distribution with a min value and a max ...
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34 views

Simulating r.v.'s from a joint density by rejection sampling in R. Continued

I wish to sample variables $v$ and $w$ from the joint density $$(v+w)e^{-\frac{(v+w)^{2}}{2x_{0}}-2\mu v-(\mu -\lambda )w},$$ where $x_0$, $\mu$ and $\lambda$ can be seen as positive constant. Since ...
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1answer
41 views

Finding density and distribution functions [closed]

I have been trying to understand probability by attempting past paper question and I have been stuck on this question all day and night. I am not quite sure how to go about finding the functions ...
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0answers
18 views

Stability of boostrap confidence intervals

As a word of background, I want to show that certain result is stable when averaging over a large number of simulations, but could be just a lucky draw with a small number of simulations. I have a ...
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52 views

Numerical Triple integral with three other parameters in R

I am trying to do this triple integral $$\int_{0}^{\infty }\int_{0}^{\infty }\int_{0}^{\infty }(u+w)e^{-\frac{(u+w)^2}{2}}(v+w)e^{-\frac{(v+w)^2}{2}}(u+v)e^{-\frac{(u+v)^2}{2}}e^{-(\mu +\lambda ...
2
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1answer
43 views

Simulating r.v.'s from a joint density by using rejection sampling in R

I wish to sample variables $v$ and $w$ from the joint density $$(v+w)e^{-\frac{(v+w)^{2}}{2x_{0}}-2\mu v-(\mu -\lambda )w},$$ where $x_0$, $\mu$ and $\lambda$ can be seen as positive constant. Since ...
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0answers
69 views

Personal Experiences with Probability Simulation

Simulations methods are increasingly used in theoretical and (especially) applied probability. Personally, I have used simulation for purposes that range from recreational Q&A to applications of ...
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2answers
43 views

exponential distribution with probability about texts

It is 9:00 p.m. The time until Joe receives his next text message has an exponential distribution with mean 5 minutes. A text has not arrived for 5 minutes. Find the probability that none will arrive ...
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2answers
29 views

Sinusoid with zero boundary conditions on $[0,1] \times [0,1]$ grid

I want to make a sinusoidal plot (any shape is welcome) on a $[0,1] \times [0,1]$ grid, with boundary conditions equal to zero. It should resemble a membrane fixed along its edge. I tried out some ...
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3answers
165 views

Evaluating Difficult Monte Carlo Integration in R

I recently posted a simple version here (Simple Monte Carlo Integration). I was able to verify that the answer was indeed close to 1/3 when I wrote the following R code, and got a mean of X of ~1/3: ...
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1answer
24 views

Difference and confidence intervals

I performed a few series of simulation to evaluate values of two parameters. Let's say, the results can be presented like this: ...
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38 views

Is Principal Component Analysis applicable to this type of situation?

I'm trying to model the response of ant populations to pheromones in this way: The ants are simulated as Self Propelled Particles with internal energy. They undergo acceleration due to their internal ...
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31 views

Simulation of an ODE model with non-constant parameter

I have a model, I can formulate the model using ordinary differential equation with parameter $P$. I want to simulate the model, but instead of using a fixed constant $P$ for the parameter, I want to ...
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1answer
39 views

Is it possible to estimate $e$ based on $N$?

Consider a sequence of random numbers $u_1,\dots,u_n$ obtained from a continuous distribution $F$. Let $N$ be the first one that is greater than its immediate predecessor. In othe words, ...
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1answer
84 views

Simulate correlated $\chi^2$ distribution

I understand that when one have multiple independent variable that follows $N\sim(0,1)$, denoted as $A$ if we have a correlation matrix $R$, we can generate correlated variables $B$ that are normally ...
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1answer
60 views

mean and std deviation from little's law

I have a service node with a queue The arrival rate in this service node is exponential(0.4) The service time is exponential(0.2) Running a simulation i've calculated the average population of the ...