Questions tagged [simulation]
The simulation tag has no usage guidance.
18
questions with no upvoted or accepted answers
12
votes
0
answers
699
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From biased coins (and nothing else) to biased coins
Background
We're given a coin that shows heads with an unknown probability, $\lambda$. The goal is to use that coin (and possibly also a fair coin) to build a "new" coin that shows heads ...
- 637
4
votes
0
answers
226
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From biased coins to biased coins, as efficiently as possible
Background
We're given a coin that shows heads with an unknown probability, $\lambda$. The goal is to use that coin (and possibly also a fair coin) to build a "new" coin that shows heads ...
- 637
4
votes
0
answers
106
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Designing Character Other Than Temperature for Simulated Annealing on Combinatorial Optimization
Many research on designing temperature for simulated annealing is carried out. We wonder if there is any research on designing general feature of the Hamiltonian used in Simulated Annealing.
For ...
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4
votes
0
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730
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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
...
- 225
3
votes
0
answers
356
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A conjecture on consistent monotone sequences of polynomials in Bernstein form
A Conjecture
In the following, a polynomial $P(x)$ is written in Bernstein form of degree $n$ if it is written as— $$P(x)=\sum_{k=0}^n a_k {n \choose k} x^k (1-x)^{n-k},$$ where $a_0, ..., a_n$ are ...
- 637
2
votes
0
answers
39
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Discrete approximation of continuous determinantal point processes
(throughout, "DPP" denotes "Determinantal Point Process")
TL;DR: Discrete DPPs are straightforward to compute with, continuous DPPs less so. Can we approximate continuous DPPs well ...
- 706
2
votes
0
answers
140
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Multiple Wiener integral as Witt polynomial of Brownian motion
I know that if i have a Brownian motion $W_t$ the multiple Wiener integral
$\int_0^t \int_0^{\xi_1}...\int_0^{\xi_n} dW_{\xi_1}...dW_{\xi_n}$
can be expressed as $H_n(\int_0^t dW_s)$ where $H_n$ is ...
- 263
2
votes
0
answers
520
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Convergence Based on Recurrence Relation
I am studying a sequence based on the following recurrence:
$$X[t] = \sqrt{\alpha X[t-1]^2+(X[t-1]^2-\alpha X[t-2]^2)\frac{(2-X[t-1])^2}{X[t-1]^2}}$$
$$X[0]=0$$
$$X[1]>0$$
$$\alpha \in (0,1)$$
I ...
2
votes
0
answers
89
views
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 $\mu_{i,j}$. ...
- 21
2
votes
0
answers
153
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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 ...
- 21
1
vote
0
answers
78
views
Conditioned random walk over a graph
I want to solve for a conditioned random walk over a graph. I have a directed graph $G$. The random walkers start at a fixed node, Source. They all need to end up at fixed node, Sink. So the random ...
- 111
1
vote
0
answers
40
views
Langevin dynamics or stochastic gradient flow for grand canonical ensemble
We know that for a measure exp(-U(X)) (canonical ensemble), we can use the dynamic dX=-DU(X)+ noise to sample the measure as t goes to infinity.
Is there any dynamic corresponding to the grand ...
- 51
1
vote
0
answers
165
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A mathematical biology reference request
Is there any mathematical articles that describe the differential equation modelling of locomotion of amoeba using pseduopodia? I am looking for physics based models of pressure difference modeling of ...
- 13.7k
1
vote
0
answers
88
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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 ...
- 11
0
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0
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20
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Proof that Component-wise MH algorithm is invariant w.r.t. target measure
consider a standard situation in Bayesian modelling,
given real vector parameter $\theta=(\theta_1,\dotsc,\theta_n)$ and observations $x$ we derive a posterior distribution $\pi$ with posterior ...
- 31
0
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0
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84
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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 ...
- 101
0
votes
0
answers
414
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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 ...
- 1
0
votes
0
answers
488
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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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