Generating Antithetic Random Variates in Simulation of a Replacement Process by Rejection Method
author
Abstract:
When the times between renewals in a renewal process are not exponentially distributed, simulation can become a viable method of analysis. The renewal function is estimated through simulation for a renewal process simulation for a renewal process with gamma distributed renewal times and the shape parameter a > 1. Gamma random deviates will be generated by means of the so called Acceptance Rejection method. In order to reduce the variance of the point estimator, the idea of antithetic variates will be incorporated in the sampling process. It is shown that such sampling scheme is capable of reducing the variance of the point estimator. Finally, an algorithm is developed and along with the experimental results is verified.
similar resources
K-antithetic Variates in Monte Carlo Simulation
Standard Monte Carlo simulation needs prohibitive time to achieve reasonable estimations. for untractable integrals (i.e. multidimensional integrals and/or intergals with complex integrand forms). Several statistical technique, called variance reduction methods, are used to reduce the simulation time. In this note, we propose a generalization of the well known antithetic variate method. Princip...
full textGenerating generalized inverse Gaussian random variates
The generalized inverse Gaussian distribution has become quite popular in financial engineering. The most popular random variate generator is due to Dagpunar (1989). It is an acceptance-rejection algorithm method based on the Ratio-of-uniforms method. However, it is not uniformly fast as it has a prohibitive large rejection constant when the distribution is close to the gamma distribution. Rece...
full textAcceptance-rejection methods for generating random variates from matrix exponential distributions and rational arrival processes
Stochastic models based on matrix exponential structures, like matrix exponential distributions and rational arrival processes, have gained popularity in analytical models recently. However the application of these models in simulation based evaluations is not as widespread yet. One of the possible reasons is the lack of efficient random variates generation methods. In this paper we propose met...
full textOn simulation of tempered stable random variates
Various simulation methods for tempered stable random variates with stability index greater than one are investigated with a view towards practical implementation, in particular cases of very small scale parameter, which correspond to increments of a tempered stable Lévy process with a very short stepsize. Methods under consideration are based on acceptance-rejection sampling, a Gaussian approx...
full textGenerating random variates for stable sub-Gaussian processes with memory
We present a computationally efficient method to generate random variables from a univariate conditional probability density function (PDF) derived from a multivariate α-sub-Gaussian (αSG) distribution. The approach may be used to sequentially generate variates for sliding-window models that constrain immediately adjacent samples to be αSG random vectors. We initially derive and establish vario...
full textsolution of security constrained unit commitment problem by a new multi-objective optimization method
چکیده-پخش بار بهینه به عنوان یکی از ابزار زیر بنایی برای تحلیل سیستم های قدرت پیچیده ،برای مدت طولانی مورد بررسی قرار گرفته است.پخش بار بهینه توابع هدف یک سیستم قدرت از جمله تابع هزینه سوخت ،آلودگی ،تلفات را بهینه می کند،و هم زمان قیود سیستم قدرت را نیز برآورده می کند.در کلی ترین حالتopf یک مساله بهینه سازی غیر خطی ،غیر محدب،مقیاس بزرگ،و ایستا می باشد که می تواند شامل متغیرهای کنترلی پیوسته و گ...
My Resources
Journal title
volume 7 issue 4
pages 207- 214
publication date 1994-11-01
By following a journal you will be notified via email when a new issue of this journal is published.
Keywords
Hosted on Doprax cloud platform doprax.com
copyright © 2015-2023