Automatic Nonuniform Random Variate Generation

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Automatic Nonuniform Random Variate Generation

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Author : Wolfgang Hörmann
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-06-29

Automatic Nonuniform Random Variate Generation written by Wolfgang Hörmann and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-06-29 with Mathematics categories.

Non-uniform random variate generation is an established research area in the intersection of mathematics, statistics and computer science. Although random variate generation with popular standard distributions have become part of every course on discrete event simulation and on Monte Carlo methods, the recent concept of universal (also called automatic or black-box) random variate generation can only be found dispersed in literature. This new concept has great practical advantages that are little known to most simulation practitioners. Being unique in its overall organization the book covers not only the mathematical and statistical theory, but also deals with the implementation of such methods. All algorithms introduced in the book are designed for practical use in simulation and have been coded and made available by the authors. Examples of possible applications of the presented algorithms (including option pricing, VaR and Bayesian statistics) are presented at the end of the book.

Automatic Nonuniform Random Variate Generation In R

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Author :
language : en
Publisher:
Release Date : 2003

Automatic Nonuniform Random Variate Generation In R written by and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with categories.

Random variate genration is an important tool in statistical computing. Many programms for simulation or statistical computing (e.g. R) provide a collection of random variate generators for many standard distributions. However, as statistical modeling has become more sophisticated there is demand for larger classes of distributions. Adding generators for newly required distribution seems not to be the solution to this problem. Instead so called automatic (or black-box) methods have been developed in the last decade for sampling from fairly large classes of distributions with a single piece of code. For such algorithms a data about the distributions must be given; typically the density function (or probability mass function), and (maybe) the (approximate) location of the mode. In this contribution we show how such algorithms work and suggest an interface for R as an example of a statistical library. (author's abstract).

Non Uniform Random Variate Generation

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Author : Luc Devroye
language : en
Publisher:
Release Date : 2003

Non Uniform Random Variate Generation written by Luc Devroye and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Random variables categories.

Independent Random Sampling Methods

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Author : Luca Martino
language : en
Publisher: Springer
Release Date : 2018-03-31

Independent Random Sampling Methods written by Luca Martino and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-03-31 with Computers categories.

This book systematically addresses the design and analysis of efficient techniques for independent random sampling. Both general-purpose approaches, which can be used to generate samples from arbitrary probability distributions, and tailored techniques, designed to efficiently address common real-world practical problems, are introduced and discussed in detail. In turn, the monograph presents fundamental results and methodologies in the field, elaborating and developing them into the latest techniques. The theory and methods are illustrated with a varied collection of examples, which are discussed in detail in the text and supplemented with ready-to-run computer code. The main problem addressed in the book is how to generate independent random samples from an arbitrary probability distribution with the weakest possible constraints or assumptions in a form suitable for practical implementation. The authors review the fundamental results and methods in the field, address the latest methods, and emphasize the links and interplay between ostensibly diverse techniques.

Handbooks In Operations Research And Management Science Simulation

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Author : Shane G. Henderson
language : en
Publisher: Elsevier
Release Date : 2006-09-02

Handbooks In Operations Research And Management Science Simulation written by Shane G. Henderson and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-09-02 with Business & Economics categories.

This Handbook is a collection of chapters on key issues in the design and analysis of computer simulation experiments on models of stochastic systems. The chapters are tightly focused and written by experts in each area. For the purpose of this volume "simulation refers to the analysis of stochastic processes through the generation of sample paths (realization) of the processes. Attention focuses on design and analysis issues and the goal of this volume is to survey the concepts, principles, tools and techniques that underlie the theory and practice of stochastic simulation design and analysis. Emphasis is placed on the ideas and methods that are likely to remain an intrinsic part of the foundation of the field for the foreseeable future. The chapters provide up-to-date references for both the simulation researcher and the advanced simulation user, but they do not constitute an introductory level 'how to' guide. Computer scientists, financial analysts, industrial engineers, management scientists, operations researchers and many other professionals use stochastic simulation to design, understand and improve communications, financial, manufacturing, logistics, and service systems. A theme that runs throughout these diverse applications is the need to evaluate system performance in the face of uncertainty, including uncertainty in user load, interest rates, demand for product, availability of goods, cost of transportation and equipment failures.* Tightly focused chapters written by experts* Surveys concepts, principles, tools, and techniques that underlie the theory and practice of stochastic simulation design and analysis* Provides an up-to-date reference for both simulation researchers and advanced simulation users

Handbook Of Computational Statistics

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Author : James E. Gentle
language : en
Publisher: Springer Science & Business Media
Release Date : 2012-07-06

Handbook Of Computational Statistics written by James E. Gentle and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-07-06 with Computers categories.

The Handbook of Computational Statistics - Concepts and Methods (second edition) is a revision of the first edition published in 2004, and contains additional comments and updated information on the existing chapters, as well as three new chapters addressing recent work in the field of computational statistics. This new edition is divided into 4 parts in the same way as the first edition. It begins with "How Computational Statistics became the backbone of modern data science" (Ch.1): an overview of the field of Computational Statistics, how it emerged as a separate discipline, and how its own development mirrored that of hardware and software, including a discussion of current active research. The second part (Chs. 2 - 15) presents several topics in the supporting field of statistical computing. Emphasis is placed on the need for fast and accurate numerical algorithms, and some of the basic methodologies for transformation, database handling, high-dimensional data and graphics treatment are discussed. The third part (Chs. 16 - 33) focuses on statistical methodology. Special attention is given to smoothing, iterative procedures, simulation and visualization of multivariate data. Lastly, a set of selected applications (Chs. 34 - 38) like Bioinformatics, Medical Imaging, Finance, Econometrics and Network Intrusion Detection highlight the usefulness of computational statistics in real-world applications.

Non Uniform Random Variate Generation

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Author : Luc Devroye
language : en
Publisher: Springer Science & Business Media
Release Date : 2013-11-22

Non Uniform Random Variate Generation written by Luc Devroye and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2013-11-22 with Mathematics categories.

Thls text ls about one small fteld on the crossroads of statlstlcs, operatlons research and computer sclence. Statistleians need random number generators to test and compare estlmators before uslng them ln real l fe. In operatlons research, random numbers are a key component ln arge scale slmulatlons. Computer sclen tlsts need randomness ln program testlng, game playlng and comparlsons of algo rlthms. The appl catlons are wlde and varled. Yet all depend upon the same com puter generated random numbers. Usually, the randomness demanded by an appl catlon has some bullt-ln structure: typlcally, one needs more than just a sequence of Independent random blts or Independent uniform 0,1] random vari ables. Some users need random variables wlth unusual densltles, or random com blnatorlal objects wlth speclftc propertles, or random geometrlc objects, or ran dom processes wlth weil deftned dependence structures. Thls ls preclsely the sub ject area of the book, the study of non-uniform random varlates. The plot evolves around the expected complexlty of random varlate genera tlon algorlthms. We set up an ldeal zed computatlonal model (wlthout overdolng lt), we lntroduce the notlon of unlformly bounded expected complexlty, and we study upper and lower bounds for computatlonal complexlty. In short, a touch of computer sclence ls added to the fteld. To keep everythlng abstract, no tlmlngs or computer programs are lncluded. Thls was a Iabor of Iove. George Marsagl a created CS690, a course on ran dom number generat on at the School of Computer Sclence of McG ll Unlverslty."

Systems Modeling Methodologies And Tools

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Author : Antonio Puliafito
language : en
Publisher: Springer
Release Date : 2018-10-16

Systems Modeling Methodologies And Tools written by Antonio Puliafito and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-10-16 with Technology & Engineering categories.

This book covers ideas, methods, algorithms, and tools for the in-depth study of the performance and reliability of dependable fault-tolerant systems. The chapters identify the current challenges that designers and practitioners must confront to ensure the reliability, availability, and performance of systems, with special focus on their dynamic behaviors and dependencies. Topics include network calculus, workload and scheduling; simulation, sensitivity analysis and applications; queuing networks analysis; clouds, federations and big data; and tools. This collection of recent research exposes system researchers, performance analysts, and practitioners to a spectrum of issues so that they can address these challenges in their work.

Simulation Technologies In Networking And Communications

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Author : Al-Sakib Khan Pathan
language : en
Publisher: CRC Press
Release Date : 2014-11-06

Simulation Technologies In Networking And Communications written by Al-Sakib Khan Pathan and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-11-06 with Computers categories.

Simulation is a widely used mechanism for validating the theoretical model of networking or communication systems. Although the claims made based on simulations are considered to be reliable, how reliable they really are is best determined with real-world implementation trials. This book addresses various issues covering different mechanisms related to simulation technologies in networking and communications fields. Focusing on the practice of simulation testing instead of the theory, it reviews and evaluates popular simulation modeling tools and recommends the best tools for specific tests.

Advances In Parallel Distributed Processing And Applications

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Author : Hamid R. Arabnia
language : en
Publisher: Springer Nature
Release Date : 2021-10-18

Advances In Parallel Distributed Processing And Applications written by Hamid R. Arabnia and has been published by Springer Nature this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021-10-18 with Technology & Engineering categories.

The book presents the proceedings of four conferences: The 26th International Conference on Parallel and Distributed Processing Techniques and Applications (PDPTA'20), The 18th International Conference on Scientific Computing (CSC'20); The 17th International Conference on Modeling, Simulation and Visualization Methods (MSV'20); and The 16th International Conference on Grid, Cloud, and Cluster Computing (GCC'20). The conferences took place in Las Vegas, NV, USA, July 27-30, 2020. The conferences are part of the larger 2020 World Congress in Computer Science, Computer Engineering, & Applied Computing (CSCE'20), which features 20 major tracks. Authors include academics, researchers, professionals, and students. Presents the proceedings of four conferences as part of the 2020 World Congress in Computer Science, Computer Engineering, & Applied Computing (CSCE'20); Includes the research tracks Parallel and Distributed Processing, Scientific Computing, Modeling, Simulation and Visualization, and Grid, Cloud, and Cluster Computing; Features papers from PDPTA’20, CSC’20, MSV’20, and GCC’20.