A vast area which includes generating results from computer models.

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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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16 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
52 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
16 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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36 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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4 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
12 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
45 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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124 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
42 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
35 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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29 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
39 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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8 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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35 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 ...
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1answer
33 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
49 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
42 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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18 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
90 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
21 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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30 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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29 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
38 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
59 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
33 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 ...
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66 views

Monte Carlo sampling and Kolmogorov–Smirnov test in practice

I have two deterministic algorithms, Algorithm 1 and Algorithm 2. The first has $m$ inputs and one output, and the second has $n$ inputs and one output. The distributions of the inputs of the ...
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66 views

Statistics Marble Simulation

Given the jar containing 20 red, 5 white, and 10 blue marbles, Joey thinks a more interesting problem would be to find the number of marbles you would have to draw, without replacing them in the jar, ...
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10 views

Simulation model, reality check on sample data

I wrote a simple simulation in C (a next-event simulation) and I'd like an opinion on the consistence of the sample data. The model is that of a two nodes service, the user enter on the first one and ...
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13 views

How can I efficiently optimize stochastic multi-modal functions?

I'm looking for methods for optimizing stochastic functions. I'm probably abusing the notation here, since this is a new field for me. By stochastic functions I mean functions whose output is a ...
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26 views

Can you simulate from a cantor distribution?

Has someone run across a method for generating random variates from a Cantor Distribution? It seems like its abstract definition prevents this. In essence, can one "invert" the Cantor Function?
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2answers
41 views

How to efficiently simulate successes of several trials if probabilities are inhomogeneous

If I'm doing a simulation with $n$ trials, each with probability $p$, a quick way to select the successful trials is to choose a binomially distributed random number. Then randomly choose that many ...
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1answer
25 views

What platform is best for simulating a stochastic process on a graph/network?

I'm simulating a dynamic process which was so far done only on a lattice, and Matlab was quite sufficient for that. However, I can't seem to find a convenient way to model such a process on a graph ...
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1answer
38 views

Permutation algorithm for simulating random variables $X,Y,Z \in [0,1]: X+Y+Z = 1$ and $X,Y,Z \sim U(0,1)$

Edit: Sorry, I tend to jump back and forth between math notation and computer science notation....often to the chagrin of my more rigorous colleagues (and Math.SE folks ;-) Also, I accidentally ...
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1answer
37 views

Looking for Method to evaluate the optimal node rate vs number of simulation rate in a Monte Carlo simulation

I am currently working on evaluating an American Option using a Monte Carlo simulation, and I am getting answers but they vary quite a bit. The two variables that I can alter are number of simulations ...
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1answer
37 views

uniqueness of svd decomposition and its role in statistical analysis

let us consider following model according to following link http://www4.ncsu.edu/~ipsen/REU09/chapter4.pdf it says that : The singular values are unique, but the singular vector matrices are ...
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2answers
70 views

Probability that winner of tournament is best player

There are $2^n$ players with skills $1, 2, \ldots, 2^n$ where the probability of Player A winning any game (against B) is $\text{skill}(A)/(\text{skill}(A)+\text{skill}(B))$. Set up a tournament of ...
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26 views

Strictly local martingales: what is the intuition behind them?

I did post this on the Quant Finance exchange a while back, but without any luck A process $X_t$ is a local martingale if for each increasing sequence of stopping times $\{τ_k,\ k=1,2,...\}$ the ...
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1answer
28 views

Simulating elastic collision

I wrote a simple program where i can move around some objects. Every object has a bounding box and I use hooke's law to apply forces to the colliding objects. On every tick, I calculate the forces, ...
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1answer
30 views

Tissue Deformation Simulation using FEM

I need to simulate tissue deformation using FEM. Is it advisable to represent the object as a triangle mesh or a ...
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1answer
78 views

Applying MCMC Metropolis algorithm

I'm interested in all possible paths (on the grid $\mathbb{N}^2 $) that goes from $ (0,0) $ to $ (n, n) $. At each step there are two possibilities: go right or go up. The path is a sequence $ ...
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36 views

Understanding simulation of Brownian Motion

I am trying to understand the simulation of Brownian Motion given at http://www.math.uah.edu/stat/applets/BrownianMotion.html. There are four boxes in this simulation. For the purpose of this question ...
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2answers
139 views

Calculating a Cardgame

I was send here from stackoverflow because they thought maybe you can help me. Here my original post: http://stackoverflow.com/questions/26799476/a-faster-way-then-doing-14-for-loops What I want: ...
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20 views

Skew in black scholes model

We are modeling Foreign exchange rates using Black Scholes model given below: $F_t = F_{t-1} + (r_d - r_f)F_{t-1} dt + \sigma\cdot F_{t-1}\cdot dW_t$ Where $F_t$ and $F_{t-1}$ are FX rates at time ...
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1answer
97 views

Incomplete Cholesky decomposition conjugate gradient method in Matlab

I have a problem in finding the numerical material that describing in detail for incomplete Cholesky combined with conjugate gradient method by using Matlab. Someone can help me? Many thank in ...
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1answer
23 views

Angular momentum superposition

I am doing a space simulation. I have a spaceship and this spaceship has engines that don't push the spaceship through its center of gravity. These engines can therefore give the spaceship angular ...
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1answer
41 views

Generate a random chain with cauchy distribution using C language

Here is my question: I want to simulate a random variable using cauchy distribution with C language. Scale and position must be setted manually. I fuond the GSL library wich contain the function: ...
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53 views

Uniform Sampling over Convex Polytope (not full-dimensional)

I want to simulate a uniform distribution on a convex polytope that is not full-dimensional for optimization purposes (to generate random points on the set I want to minimize over). The polytope is ...
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1answer
53 views

Hypercomputation & Higher Dimensional Variants of Conway's Game of Life

Conway's Game of Life is a simple and important mathematical game with some rules of evolution in a two dimensional space. It appears in many subjects in mathematics, artificial intelligence and ...
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25 views

Are these two approaches to calculating return rate mathematically consistent?

I have coded two C# programs, which use two different approaches to evaluate the outcome of a certain casino-style game (casino-style in the sense that the user pays points to take a turn, and ...