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W analyze the computational problem of estimating financial risk in a nested simulation. In this approach, an outer simulation is used to generate financial scenarios, and an inner simulation is used to estimate future portfolio values in each scenario. We focus on one risk measure, the probability of a large loss, and we propose a new algorithm to estimate this risk. Our algorithm sequentially...

Linear inverse Gaussian problems is traditionally solved using least squares based inversion. The center of the posterior Gaussian probability distribution is often chosen as the solution to such problems, while the solution is in fact the posterior Gaussian probability distribution itself. We present an algorithm, based on direct sequential simulation, which can be used to efficiently draw sam...

We present here an algorithm to simulate the motion of rigid bodies subject to a non–overlapping constraint, and which tend to aggregate when they get close to each other. The motion is induced by external forces. Two types of forces are considered here: drift force induced by the action of a surrounding fluid whose motion is prescribed, and stochastic forces modelling random shocks of molecule...

Regenerative simulation (RS) is a method of stochastic steady-state simulation in which output data are collected and analysed within regenerative cycles (RCs). Since data collected during consecutive RCs are independent and identically distributed, there is no problem with the initial transient period in simulated processes, which is a perennial issue of concern in all other types of steady-st...

In this paper, a time and memory-efficient diagnostic fault simulator for sequential circuits is first presented. A distributed diagnostic fault simulator is then presented based on the sequential algorithm to improve the speed of the diagnostic process. In the sequential diagnostic fault simulator, the number of fault-pair output response comparisons has been minimized by using an indistinguis...

In this work we describe a diagnostic fault simulator for sequential circuits which evaluates the eeectiveness of a given test set in distinguishing between faults. Diagnostic fault simulation is performed on several IS-CAS89 sequential benchmark circuits using two diier-ent deterministic test sets for each circuit. Several diagnostic measures are reported, including the diagnostic resolution, ...

We present new complexity results for simulation-checking and modelchecking with infinite-state systems generated by pushdown automata and their proper subclasses of one-counter automata and one-counter nets (one-counter nets are ‘weak’ one-counter automata computationally equivalent to Petri nets with at most one unbounded place). As for simulation-checking, we show the following: a) simulatio...

We propose a fully sequential indifference-zone selection procedure that is specifically for use within an optimization-via-simulation algorithm when simulation is costly, and partial or complete information on solutions previously visited is maintained. Sequential Selection with Memory guarantees to select the best or near-best alternative with a user-specified probability when some solutions ...

Maisie is a C-based discrete-event simulation language that was designed to cleanly separate a simulation model from the underlying algorithm (sequential or parallel) used for the execution of the model. With few modi cations, a Maisie program may be executed using a sequential simulation algorithm, a parallel conservative algorithm or a parallel optimistic algorithm. The language constructs al...