The tag has no wiki summary.

learn more… | top users | synonyms

3
votes
0answers
177 views

Simulation and Stochastic Processes

Supposing we want to take a sample from the distribution $p(x)=cp^*(x)$ where $c$ is the normalization constant and $p^*(x)$ is given by $$p^*(x)=0.5\exp(-(x-\mu_1)^2)+0.5\exp(-(x-\mu_2)^2).$$ ...
0
votes
1answer
156 views

Algorithms and Simulation

Supposing we want to take a sample from a $N(0,1)$ distribution and i can take a sample from a $N(0,σ^2)$. (a) Construct a disposal/rejection algorithm with function $N(0,σ^2)$, which generates a ...
0
votes
1answer
121 views

simulation and algorithms

A variant method of squeezed rejection algorithm for the simulation of the exponential distribution $\exp(1)$ truncated to $(0,2)$ interval can be written as: (a) generate $Y \sim U(0,2)$ , $U\sim ...
3
votes
2answers
181 views

Finite differences of function composition

I'm trying to express the following in finite differences: $$\frac{d}{dx}\left[ A(x)\frac{d\, u(x)}{dx} \right].$$ Let $h$ be the step size and $x_{i-1} = x_i - h$ and $x_{i+ 1} = x_i + h$ If I ...
1
vote
2answers
348 views

Is there a simulation for the Birthday Paradox?

Is there a simulation for the Birthday Paradox problem? Something that uses data from Facebook would be ideal.
0
votes
1answer
101 views

Simple physics for a graphical user interface widget

I have developed a spinner view for an Android application. It's like the spinner wheel on the Price Is Right with Bob Barker (If you're not familiar with that show watch this video). I am looking ...
3
votes
2answers
2k views

Numerical approximation of Levy Flight

I'm trying to produce a computer simulation of a Levy Flight in 2-dimensions; an approximation would be ok. Please excuse the simplistic level of this question: my maths is very rusty. My proposed ...
2
votes
2answers
246 views

incremental simulation of GBM

(I asked this question in stackoverflow.com, but I am now thinking my mistake may be mathematical rather than programming). I am simulating geometric brownian motion, using closed-form solution for ...
11
votes
3answers
2k views

Simulating uniformly on $S^1=\{x \in \mathbb{R}^n \mid \|x\|_1=1\}$

A scheme to generate random variates distributed uniformly in $S^2=\{x\in \mathbb{R}^n \mid \|x\|_2=1\}$ is well known: generate a standard normal variate in $\mathbb{R}^n$ and normalize it to unit ...
1
vote
2answers
291 views

Stochastic Urn Process using a Pareto distribution

N urns are assigned m balls in a stochastic process based on a Pareto distribution. The process is as follows: X is a Pareto random variable (xminimum = 1, alpha is a parameter) if X > N, throw the ...
0
votes
2answers
363 views

passive heatsink simulation

I want to simulate a heat source (eg a cpu) connected to a heatsink without any cooling fans. The simulation will run indefinitely using small time steps. What i want to measure at each time step is ...
2
votes
2answers
426 views

Queueing Theory: How to estimate steady-state queue length for single queue, N servers?

I have a real-life situation that can be solved using Queueing Theory. This should be easy for someone in the field. Any pointers would be appreciated. Scenario: There is a single Queue and N ...
3
votes
2answers
191 views

Vector Force Fields and Their Physical Interpretations

The vector force field F=(yi,-xj) has a curl of -2. The acceleration of a particle in space is given by: ax=y/m ay=-x/m This vector field has a divergence of 0. Will particles in this vector FORCE ...
0
votes
1answer
683 views

What if analysis of an Excel spreadsheet

Here is my set up. I am running a simulation of a gambler betting over time Here are the givens I am using. Probability of win = 35% which is in B1 table Odds = 2 which is in B3 table Kelly # ...
0
votes
1answer
295 views

Calculation of G force

I have a formula which is G-force = velocity*omega/9.8. Omega is the angular velocity. I've seen on the internet that G force is actually acceleration/9.8. I'm confused as to which formula is correct. ...
-1
votes
1answer
111 views

How does the NCT model take angular velocity into account? (Nearly coordinated turn)

In a Kalman filter taking into account NCT, the state matrix is [x; vx; y; vy; omega]. Where omega is the angular velocity. What I don't understand is that when the F matrix for NCT is F=[ blah ...
3
votes
1answer
519 views

Sample Poisson Distribution

In Stochastic Simulation: Algorithms and Analysis by Søren Asmussen, on Page 38 A Poisson r.v. $N$ with rate $\lambda$ ($P(X = n) = e^{−\lambda} \frac{\lambda^n}{n!}$) can be constructed using the ...
1
vote
1answer
151 views

A problem of inversion method for sampling

I am reading the book Stochastic Simulation, Algorithms and Analysis by Asmussen. On page 39, when talking about inversion method for sampling a distribution, he gave an example: an r.v. ...