The simulation tag has no usage guidance.

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### Monte Carlo Simulation - efficient simulation of tail outcomes [closed]

When running Monte Carlo type simulations in situations where you're only interested in tail outcomes, do you know of a way to only simulate those outcomes, so that you can come up with more reliable ...

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### Importance sampling for bernoulli-sequence, favouring long sequences of ones

Assume we have a sequence of i.i.d. bernoulli-distributed random variables of length $n$.
I'm interested in doing rare event simulation and my event depends, among other random factors, on the ...

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60 views

### Markov chain matching local time

Let $\left(X_{t}\right)_{t\geq0}$ be a Markov process taking values in
a finite state space $E$. Its local time at $y\in E$ started at
$x\in E$ is defined as
$$
...

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### 9-point stencil “equivalent” for advection equation [closed]

So I inherited from some people a code that solves the advection-diffusion-reaction equation for a particular system. The original code was first implemented in 1D which worked fine in cartesian ...

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

Hello may I 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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160 views

### Generating random variables from the Cantor Distribution [closed]

I am looking for a method (exact, if possible, but at least asymptotically correct) for generating random variates from a Cantor Distribution? It seems like its abstract definition prevents this. In ...

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### how to efficiently compute the mean function for non-homogeneous poisson process?

Suppose that I know all intensity functions lambda(t) during given period [0,t], how can I compute the mean function m(t) for non-homogeneous Poisson process?
Basically, m(t) in the integral of ...

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94 views

### Condition Number and CFL Condition in Finite difference Methods

when applying a Finite Difference scheme for an IVP, two factors come to mind when considering stability:
One factor would be the condition number of the approximation operator. The other factor ...

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### Finite differencing scheme for Hamilton's equation with planar linkages

I am trying to simulate the movement of a planar linkage in the plane whose position and momentum obey Hamilton's equations, which is to say that $${{dq}\over{dt}} = {{dH}\over{dp}}$$ and ...

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115 views

### Monte carlo Method to estimate a proportion

I'd like to use Monte Carlo method to estimate a proportion and I'd like to be sure my idea is correct mathematically speaking.
Let a pool full of red and blue balls.
I'd like to estimate the ...

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### Mathematical study of Mpemba effect?

It has been known since the days of Aristotle and Descartes that under certain circumstances warm water freezes faster than cold water. This effect is now commonly known as the Mpemba effect, named ...

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### Drawing random variates from a partially described probability distribution

I have a probability distribution over $\{0,1\}^n$ but instead of knowing the full joint distribution $p(x_1,\dots,x_n)$, I only know $p(x_i=x_j)$ for each $i,j$. How could I draw a random binary ...

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### What is the “Tangle” at the Heart of Quantum Simulation?

The following questions generalize and naturalize the question that was originally asked. Provisional answers largely due to Will Sawin are now included.
As was discussed in the question originally ...

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138 views

### A question on discrete numerical simulation on fluids mechanics

I read the paper "Stable, circulation-preseving simplicial fuids" by Elcott, et al: http://www.cs.jhu.edu/~misha/Fall09/Elcott07.pdf. It gives a structure preseving discretization of fluids. I have ...

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139 views

### Staggered timing on 2-D random walks by multiple agents

In 2-D lattice random walks by multiple drunks who can't step onto each other, mathematically I would just say the whole cellular automaton updates "at once".
But to simulate this on a computer, I ...

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364 views

### Monte Carlo sampling high dimensions with the halton sequence?

Referring to the Halton Sequence, Swiler et al 2006 state that
In cases where a large number of input variables are sampled,
Robinson and Atcitty recommend using a leaped sequence, where the
...

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234 views

### Simulating conditional expectations

There is a multidimensional process X defined via its SDE (we can assume that its a diffusion type process), and lets define another process by $g_t = E[G(X_T)|X_t]$ for $t\leq T$.
I would like to ...

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172 views

### How are epidemic models simulated in case of mobility?

I am not a mathematician but out of curiosity I am trying to implement the SIS epidemic model when the nodes have mobility to understand how it will change the results. I understand how to perform ...

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442 views

### Is it possible to reliably generate a particular approximation of an ideal knot via a simulated annealing approach?

Say I take a cord, tie a loose knot in three-dimensional space, and pull tightly on the ends to generate an approximation of an ideal knot. If the cord has a fixed knot topology and a random initial ...

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577 views

### exactly simulating a random walk from infinity

In diffusion-limited aggregation on the square lattice, one lets a particle do "random walk from infinity" until it hits the current aggregate, at which point the site occupied by the particle is ...

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### Will a random walk on [0, inf) tend to infinity? [closed]

Consider a random walk on [0, inf) where you start at 0. With probability p = 0.5, you increase by 1. With probability (1-p) = 0.5, you decrease by 1, but not below 0.
As time goes to infinity, will ...

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809 views

### How can I generate the simulated time series

I am curious how one can generate simulated time series data. I found a list of simulated series here and a similar tool for stock market. What is the best way to generate domain specific time series ...

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388 views

### Potts model simulation

I was wondering what were the state-of-the-art methods to simulate low temperature configurations of Potts-like models that exhibit a discontinuous phase transition. For models with a continuous phase ...

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315 views

### [Numerical Mathemtics] How to solve hexagonal central differences

I want to simulate a 2d linear wave equation on a circle ($\displaystyle\frac{\partial^2 z(x,y,t)}{\partial t^2}=v^2\cdot\left(\displaystyle\frac{\partial^2 z(x,y,t)}{\partial ...

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### Monte Carlo sampling from correlated empirical distributions

I have a dataset that contains six correlated variables, and I want to sample new data so that each variable has the same marginal distribution as the original data, and the correlations are also the ...

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### how to sample a conditioned diffusion

there are several reasons why we could be interested in sampling conditioned diffusions:
if we observed a diffusion at discrete time and want to do some kind of inference on the parameters of the ...