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Author: Yung-Li Lily Jow
Publisher:
ISBN:
Category : Digital computer simulation
Languages : en
Pages : 222
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Book Description
As the use of computer simulation becomes more important in the study of complex phenomena, the need to develop theoretically sound and computationally efficient methods for simulation output analysis becomes more pressing. The autoregressive method proposed in this paper uses techniques developed for time series analysis to provide both point and interval estimates for parameters associated with the steady-state distribution. The major advantage of the autoregressive method is obvious. It serves as a black box; users provide the simulation output sequence, the black box will produce results automatically. Furthermore, it seems that the autoregressive method applies to a much broader class of stochastic processes than the regenerative method does. With the generalization to multidimensional processes, the method enables us to apply variance reduction techniques to get more accurate point estimates along with more precise interval estimates. The disadvantages of the autoregressive method are that the covariance matrix obtained by the autoregressive method is just an approximation for the covariance matrix present in the central limit theorem used to construct confidence intervals, and the assumptions put on the system are stricter than we would like.
Author: Yung-Li Lily Jow
Publisher:
ISBN:
Category : Digital computer simulation
Languages : en
Pages : 222
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Book Description
As the use of computer simulation becomes more important in the study of complex phenomena, the need to develop theoretically sound and computationally efficient methods for simulation output analysis becomes more pressing. The autoregressive method proposed in this paper uses techniques developed for time series analysis to provide both point and interval estimates for parameters associated with the steady-state distribution. The major advantage of the autoregressive method is obvious. It serves as a black box; users provide the simulation output sequence, the black box will produce results automatically. Furthermore, it seems that the autoregressive method applies to a much broader class of stochastic processes than the regenerative method does. With the generalization to multidimensional processes, the method enables us to apply variance reduction techniques to get more accurate point estimates along with more precise interval estimates. The disadvantages of the autoregressive method are that the covariance matrix obtained by the autoregressive method is just an approximation for the covariance matrix present in the central limit theorem used to construct confidence intervals, and the assumptions put on the system are stricter than we would like.
Author: P. Bratley
Publisher: Springer Science & Business Media
ISBN: 146840167X
Category : Science
Languages : en
Pages : 399
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Book Description
Simulation means driving a model of a system with suitable inputs and observing the corresponding outputs. It is widely applied in engineering, in business, and in the physical and social sciences. Simulation method ology araws on computer. science, statistics, and operations research and is now sufficiently developed and coherent to be called a discipline in its own right. A course in simulation is an essential part of any operations re search or computer science program. A large fraction of applied work in these fields involves simulation; the techniques of simulation, as tools, are as fundamental as those of linear programming or compiler construction, for example. Simulation sometimes appears deceptively easy, but perusal of this book will reveal unexpected depths. Many simulation studies are statistically defective and many simulation programs are inefficient. We hope that our book will help to remedy this situation. It is intended to teach how to simulate effectively. A simulation project has three crucial components, each of which must always be tackled: (1) data gathering, model building, and validation; (2) statistical design and estimation; (3) programming and implementation. Generation of random numbers (Chapters 5 and 6) pervades simulation, but unlike the three components above, random number generators need not be constructed from scratch for each project. Usually random number packages are available. That is one reason why the chapters on random numbers, which contain mainly reference material, follow the ch!lPters deal ing with experimental design and output analysis.
Author: Christos Alexopoulos
Publisher: Springer Science & Business Media
ISBN: 144190817X
Category : Business & Economics
Languages : en
Pages : 333
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Book Description
This Festschrift honors George Samuel Fishman, one of the founders of the eld of computer simulation and a leader of the disciplines of operations research and the management sciences for the past ve decades, on the occasion of his seventieth birthday. The papers in this volume span the theory, methodology, and application of computer simulation. The lead article is appropriately titled “George Fishman’s Professional Career.” In this article we discuss George’s contributions to operations research and the m- agement sciences, with special emphasis on his role in the advancement of the eld of simulation since the 1960s. We also include a brief personal biography together with comments by several individuals about the extraordinary effect that George has had on all his students, colleagues, and friends. Thesecondarticle,titled“AConversationwithGeorgeFishman,”isthetranscript of an extended interview with George that we conducted in October 2007. In the article titled “Computer Intensive Statistical Model Building,” Russell Cheng studies resampling methods for building parsimonious multiple linear regr- sion models so as to represent accurately the behavior of the dependent variable in terms of the smallest possible subset of explanatory (independent) variables. The author shows how bootstrap resampling can be used not only for rapid identi cation of good models but also for ef cient comparison of competing models.
Author: Richard W. Andrews
Publisher:
ISBN:
Category :
Languages : en
Pages : 52
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Book Description
Two methods are presented for building interval estimates on the mean of a stationary stochastic process. Both methods fit an autoregressive moving-average (ARMA) model to observations on the process. The model is used to estimate the variance of the sample mean and the applicable degrees of freedom of the t statistic. Fitting of the ARMA model is totally automated. The ARMA-based confidence intervals perform well with data generated from ARMA processes. With data generated from queuing-system simulations, the coverage of the confidence intervals is less than satisfactory. It is shown that with queing-system data, sample mean and its estimated standard deviation are strongly positively correlated, and that the residuals of the fitted models are not normally distributed. These factors contribute adversely to the coverage of the confidence-interval procedures with queuing data. (Author).
Author: D. L. Iglehart
Publisher:
ISBN:
Category :
Languages : en
Pages : 7
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Book Description
This bibliography lists thirty-one technical reports. The principal topics covered in this research were condition limit theorems for Markov chains, variance reduction techniques for Markov chains, simulation of response times in networks of queues, simulation of generalized semi-Markov processes and general state space Markov chains, asymptotic theory for nonparametric confidence intervals, and autoregressive method for simulation output analysis, simulation of non-Markovian systems, and simulation output analysis for local area computer networks. Toward the end of this period research began on the development of algorithms to optimize systems parameters for simulation. An approach using smoothing splines has been developed.
Author:
Publisher:
ISBN:
Category : Aeronautics
Languages : en
Pages : 652
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Book Description
Lists citations with abstracts for aerospace related reports obtained from world wide sources and announces documents that have recently been entered into the NASA Scientific and Technical Information Database.
Author: Stephen Lavenberg
Publisher: Elsevier
ISBN: 0323162843
Category : Science
Languages : en
Pages : 414
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Book Description
Computer Performance Modeling Handbook
Author: James Andrew Payne
Publisher: McGraw-Hill Companies
ISBN:
Category : Computers
Languages : en
Pages : 346
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Book Description
Author: Barry Nelson
Publisher: Springer Science & Business Media
ISBN: 146146160X
Category : Business & Economics
Languages : en
Pages : 285
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Book Description
This graduate-level text covers modeling, programming and analysis of simulation experiments and provides a rigorous treatment of the foundations of simulation and why it works. It introduces object-oriented programming for simulation, covers both the probabilistic and statistical basis for simulation in a rigorous but accessible manner (providing all necessary background material); and provides a modern treatment of experiment design and analysis that goes beyond classical statistics. The book emphasizes essential foundations throughout, rather than providing a compendium of algorithms and theorems and prepares the reader to use simulation in research as well as practice. The book is a rigorous, but concise treatment, emphasizing lasting principles but also providing specific training in modeling, programming and analysis. In addition to teaching readers how to do simulation, it also prepares them to use simulation in their research; no other book does this. An online solutions manual for end of chapter exercises is also provided.
Author: J. Cacko
Publisher: Elsevier
ISBN: 0444598030
Category : Technology & Engineering
Languages : en
Pages : 245
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Book Description
This book covers the basic topics associated with the measurement, analysis and simulation of random environmental processes which are encountered in practice when dealing with the dynamics, fatigue and reliability of structures in real environmental conditions. The treatment is self-contained and the authors have brought together and integrated the most important information relevant to this topic in order that the newcomer can see and study it as a whole. This approach should also be of interest to experienced engineers from fatigue laboratories who want to learn more about the possible methods of simulation, especially for use in real time on electrohydraulic computer-controlled loading machines.Problems of constructing a measuring system are dealt with in the first chapter. Here the authors discuss the choice of measuring conditions and locations, as well as the organization of a chain of devices for measuring and recording random environmental processes. Some experience gained from practical measurements is also presented. The recorded processes are further analysed by various methods. The choice is governed by the aims of the measurements and applications of the results. Chapter 2 is thus devoted to methods of random process evaluations for digital computers, both from the fatigue and dynamic point of view. The most important chapter is Chapter 3 as this presents a review of up-to-date methods of random process simulation with given statistical characteristics. These methods naturally follow those of random process analysis, and their results form initial data for the corresponding simulations algorithms, including occurrences of characteristic parameters of counting methods, reproduction of correlation theory characteristics and of autoregressive models. The simulation of non-stationary processes is treated in depth, taking into account their importance for practical applications and also the lack of information of this subject.The book is intended to help resolve many practical problems concerning the methods and quality of environmental process evaluation and simulation which can arise when up-to-date loading systems with computer control are being used in material, component and structural fatigue and dynamic research.
