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A Stochastic Simulation Model of US Breast Cancer Mortality Trends from 1975 to 2000
Stochastic Simulation Model Breast Cancer Mortality Trends
2015/7/6
Background: We present a simulation model that predicts U.S. breast cancer mortality trends from 1975 to 2000 and quantifi es the impact of screening mammography and adjuvant therapy on these trends. ...
Simulation-based Response Surface Estimation in the Presence of Monotonicity
Simulation-based Response Surface Estimation Presence Monotonicity
2015/7/6
In many stochastic models, it is known that the response surface corresponding to a particular performance measure is monotone in the underlying parameter. For example, the steady-state mean waiting t...
The Semi-Regenerative Method of Simulation Output Analysis
Variance reduction effi ciency improvement importance sampling bias reduction
2015/7/6
We develop a class of techniques for analyzing the output of simulations of a semi-regenerative process. Called the semi-regenerative method, the approach is a generalization of the regenerative metho...
Much of the rare-event simulation literature is concerned with the development of asymptotically optimal algorithms. Because of the difficulties associated with applying these ideas to complex models,...
A Large Deviations View of Asymptotic Efficiency for Simulation Estimators
Large Deviations View Asymptotic Efficiency Simulation Estimators
2015/7/6
Consider a simulation estimator α(c) based on expending c units of computer time, to estimate a quantity α. One measure of efficiency is to attempt to minimize P(|α(c)−α|>ε) for large c. This he...
Efficient Rare-event Simulation for the Maximum of Heavy-tailed Random Walks
State-dependent importance sampling rare-event simulation heavy-tails Lyapunov bounds random walks
2015/7/6
Let (Xn: n ≥ 0) be a sequence of i.i.d. r.v.’s with negative mean. Set S0 = 0 and define Sn = X1 +· · ·+Xn. We propose an importance sampling algorithm to estimate the tail of M = max{Sn: n ≥ 0} that ...
Rare Event Simulation for a Generalized Hawkes Process
Rare Event Simulation Generalized Hawkes Process
2015/7/6
In this paper we study rare event simulation for the tail probability of an affine point process (Jt)t≥0 that generalizes the Hawkes process. By constructing a suitable exponential martingale, we are ...
How to Deal with the Curse of Dimensionality of Likelihood Ratios in Monte Carlo Simulation
Cross-entropy Rare-event probability estimation Screening Simulation
2015/7/6
In this work we show how to resolve, at least partially, the curse of dimensionality of likelihood ratios (LRs) while using importance sampling (IS) to estimate the performance of high-dimensional Mon...
Asymptotic Robustness of Estimators in Rare-Event Simulation
Asymptotic Robustness Estimators Rare-Event Simulation
2015/7/6
The asymptotic robustness of estimators as a function of a rarity parameter, in the context of rare-event simulation, is often qualified by properties such as bounded relative error (BRE) and logarith...
Limit Theorems for Simulation-based Optimization via
Simulation Theory Model Development: Methodologies Types of Simulation
2015/7/6
This paper develops fundamental theory related to the use of simulation-based non-adaptive random search as a means of optimizing a function that can be expressed as an expectation. Our results establ...
Simulation-Based Confidence Bounds for Two-Stage Stochastic Programs
Stochastic programming Linear programming Probability theory
2015/7/6
This paper provides a rigorous asymptotic analysis and justification of upper and lower confidence bounds proposed by Dantzig and Infanger (1995) for an iterative sampling-based decomposition algorith...
Computing Bayesian Means Using Simulation
Bayesian simulation nested simulation independent sampling
2015/7/6
This paper is concerned with the estimation of alpha = Er(Z), where Z is a random vector and the function values r(z) must be evaluated using simulation. Estimation problems of this form arise in the ...
Nonlinearity Management in Optics: Experiment, Theory, and Simulation
Kerr nonlinear femtosecond pulse optical glass air
2014/12/25
We conduct an experimental investigation of nonlinearity management in optics using femtosecond pulses and layered Kerr media consisting of glass and air. By examining the propagation properties over ...
Complex Humanitarian Intervention Simulation
Humanitarian Intervention Agent-Based Modeling Policy Simulation Interagency Coordination.
2014/8/8
Troubled nations pose a complex dilemma for policy makers in international organizations. This study seeks to identify behavior patterns for the multiple entities operating among populations where the...
Likelihood-free Simulation-based Optimal Design
Simulation based optimal design approximate Bayesian computation Markov chain Monte Carlo
2013/6/14
Simulation-based optimal design techniques are a convenient tool for solving a particular class of optimal design problems. The goal is to find the optimal configuration of factor settings with respec...