A vast area which includes generating results from computer models.

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4
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127 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 ...
3
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0answers
21 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 ...
3
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0answers
61 views

Maximize or find an upper bound of the function $kx^{k-1}\exp(-\mu(x^k-x))$

I was programming some random variable simulation using the acceptance-rejection method and I encounter with the Weibull$(k,\lambda)$ distribution. This random variable is posible to simulate with ...
3
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0answers
70 views

Classify knots in a closed bead-spring like polymer simulation

my problem is to detect the crossing number (or another knot invariant) of a simulated polymer. A polymer is a closed bead spring, which mean that it is represented by a set of points connected by ...
3
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0answers
182 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 $$p^*(x)=0.5\exp(-(x-\mu_1)^2)+0.5\exp(-(x-\mu_2)^2).$$ ...
2
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0answers
40 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 ...
2
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0answers
27 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 ...
2
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0answers
22 views

orderstatistics of uniform distributions on different ranges

During a simulation I discovered an interesting phenomenon: Given you have 3 agents. 2 are uniformly distributed between [0,1] and one between [0,2]. The question is how often do the smaller agents ...
2
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0answers
115 views

Positive eigenvalues in differential-algebraic equations not appearing in time-domain simulation

I am solving a system of equations derived from power system applications. It consists of index-1 differential and algebraic equations in the form: $$\dot{x}=f(x,y) \\ 0=g(x,y)$$ To get the ...
2
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0answers
135 views

Simulating first passage times

I have a Brownian motion $X_t = \mu t+\sigma W_t$, where $W_t$ standard Brownian motion. I know that the first passage time $\tau = \min\{t|X_t\leq\alpha\}$, is Inverse Gaussian distributed i.e., ...
1
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0answers
17 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 ...
1
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0answers
78 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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0answers
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 ...
1
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0answers
57 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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0answers
31 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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0answers
79 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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0answers
68 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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0answers
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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0answers
96 views

Backward Euler method with a cross-product.

I want to solve the following differential equation with the backward Euler method ...
1
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0answers
20 views

Stability of simulation of brownian noise

As I understand, Brownian noise can be simulated by the process $$x_{n+1}=x_n+R_n$$ where $R\sim U[-a,a]$. The expected value for $x_n$ is then $x_0$. But $\text{Var} x_n\to\infty$ as $n\to\infty$ ...
1
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0answers
41 views

Distribution of phone calls during 24h

I would like to model the amount of phone calls at each time of the day. The phone calls should follow a poisson distribution and at 12:00 there should be the peak. So, semantically what I would like ...
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0answers
49 views

Forest fire simulation; analytically constructing a function for tree residual after fire

Consider a Cellular Automaton with an $n \times n$ grid, where each cell corresponds either to a tree or dirt. We assign a tree to cell $(i,j)$ by probability $p$. Next, we initiate a fire in some ...
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0answers
94 views

Kalman Filter application to non-linear system.

I want to use the Kalman filter to have a better estimate of the state of a system which I know its equations of motion: ...
1
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0answers
51 views

simulate hitting time of Brownian motion

let's say I have a brownian motion $W_t$, and I know the value of $W_1$. Is there a way to simulate the hitting time of $W_t$ and a given function $f(t)$ ? For instance I know that if $f(t)$ is a ...
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0answers
44 views

Random graphs simulation

Reading the article "Emergence of scaling in random network, by Barabasi and Albert" I faced a lot of results obtained by simulations of the A-B random graph model. I always wanted to do such ...
1
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0answers
58 views

Samples from the Dirichlet measure

In Ferguson, 1973, Definition 2, he defines a sample of size $n$ from a random probability measure $G$ on $(\mathcal{X}, \mathcal{B})$ as: $$ P(X_1 \in C_1, \cdots, X_n \in C_n | G(A_1), \cdots, ...
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0answers
31 views

Single evaluation for using exponential sampling until past a point

I am trying to improve an algorithm that looks like the following (and am getting stumped): I am provided with a starting time, rate, and a target time. I then use an exponential distribution to ...
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0answers
47 views

Simulating of GBM

I have a question regarding the simulation of a GBM. I have found similar questions here but nothing which takes reference to my specific problem: Given a GBM of the form $dS(t) = \mu S(t) dt + ...
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0answers
116 views

Approximation of SDE

I have been struggling with the following problem: If you want to find a numerical result by simulating the paths of a stochastic differential equation, in particular a geometric brownian motion I ...
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0answers
108 views

Maximizing noisy unknown function

I'm interested in maximizing a function $f(\mathbf \theta)$, where $\theta \in \mathbb R^p$. The problem is that I don't know the analytic form of the function, or of its derivatives. The only thing ...
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0answers
183 views

Expected value involving a conditional multinomial distribution

$X|z$ has a multinomial distribution $MN(m, \mathbf{q}(z))$ where $z$ is either 0 or 1 with probability $1/2$. I need to find: $E_X[\max\{\Pr(z=1|X), \Pr(z=0|X\}]$. Is there an analytical form to ...
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0answers
265 views

Semi implicit integration - stability issues

I am trying to decide whether to use semi-implicit integration vs. explicit integration (particularly Position Verlet over Semi implicit Euler). Although the Verlet approach is widely used and is ...
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0answers
187 views

Optimization via Simulation

I want to minimize and objective function $\hat{B_i}$ $i\in l$, which can be computed by a matlab code (assume $\operatorname{findB}(a, b, c)$ returns $B$. I have the following optimization problem: ...
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0answers
168 views

Markov Chains - Using Gibbs & Metropolis algorithm.

Suppose $f_x,_y$ is bivariate normal distribution. I was given the parameters $(μ_1, μ_2, σ_1^2, σ_2^2)$ and $ρ=0.95$ the correlation coefficient. I want to generate $(x_1,y_1), ...
0
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0answers
10 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 $\mu_{i,j}$. ...
0
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0answers
20 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 ...
0
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0answers
6 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). ...
0
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0answers
13 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 ...
0
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0answers
41 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 ...
0
votes
0answers
19 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 ...
0
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0answers
30 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 ...
0
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0answers
11 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 ...
0
votes
0answers
14 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 ...
0
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0answers
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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0answers
39 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 ...
0
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0answers
22 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 ...
0
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0answers
62 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 ...
0
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0answers
23 views

Sampling from a random distribution with a margin of error

A survey of a population is taken using sampling. It is determined that 70% prefer option A and 30% prefer option B with a margin of error being 5%. Typically when simulating the process with the ...
0
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0answers
64 views

Transform this IVP into a first-order autonomous system with $\dot{x} = Ax + b$

I'm fairly new to differential equations and need some guidance with this following problem: Transform the following IVP into a first-order autonomous system in the form $\dot{x} = Ax + b$: $$ ...
0
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0answers
54 views

Expected Probability of a Random Agent and a Probabilistic Agent

I'm running simulations on two agents: random agent and probabilistic agent. The world they are running in is the Wumpus World where the agent is dropped in a 4x4 grid where each cell has a 20% chance ...