surveys monte carlo computations and binomial sampling

... T* and T" are selected one by one for and sampling points for each one inputs corresponding each sampling point In other words, all inputs are periodically scanned and each scan includes sampling ... angle and the possibility of reflection, transmission at surfaces Fig.2 indicates the flowchart of photon movement in a biological sample Fig Flowchart for Monte Carlo srmulations Monte Carlo ... backward scatteringRr, forward scattering {, and the collimated light { [3] However, it is not as exact as the result given by Monte Carlo simulations Monte Carlo simulations has developed since 1940s,

Ngày tải lên: 14/12/2017, 15:16

... determined using experimental measurements and Monte Carlo TA B L E 2 Dosimetric characteristics of LinaTech DMLC H multi leaf collimator The EDGE and Monte Carlo results were compared with the film ... results normalized to standard openfield (10 9 10 cm2) According to Monte Carlo calculations in B-MLCfield, leaf density and interleaf air gap values were estimated to be 18 g/cm3and 0.008 cm, respectively ... were measured and evaluated In addition, to deter-mine certain special characteristics of MLC, Monte Carlo modeling was considered 2 | M A T E R I A L S A N D M E T H O D S 2.A | Monte Carlo modeling

Ngày tải lên: 24/11/2022, 17:53

... distribution of electron fields Simulations were performed using Monte Carlo BEAMnrc and DOSXYZnrc codes for 6 and 10 MeV electron beams In Monte Carlo simulation, the shape of the titanium mesh was simulated ... electron beams is evaluated The simulation and dosimetry are performed with Monte Carlo (MC) simulation and film dosimetry By MC method, the dose inside and around titanium pieces can be calculated ... dose in water phantom with and without titanium (Ti) plate for the voxels before and beyond titanium mesh The electron beam energy is 6 MeV and the data are from Monte Carlo simulations. Ti Depth

Ngày tải lên: 04/12/2022, 15:45

... scheme outperforms the simple random sampling scheme with a small Monte Carlo variance and a favorable computational time [27,28] 4.2 Joint multicarrier signal, CFO and PHN estimation using marginalized ... from the family of sequential Monte Carlo (SMC) methods also referred to as particle filtering [18] Sequential Monte Carlo methodology is useful to prevent the sampling dimension from blowing ... Non-Pilot-Aided Sequential Monte Carlo Method to Joint Signal, Phase Noise, and Frequency Offset Estimation in Multicarrier Systems Franc¸ois Septier, 1 Yves Delignon, 2 Atika Menhaj-Rivenq, 1 and Christelle

Ngày tải lên: 21/06/2014, 22:20

... 216644and The efficiency must take account of both the variance reduction ratio and the relative computer processing times In this case stratified sampling took 110 seconds and naive sampling ... dependence between Y and X, little efficiency is likely to be lost in using a control variate in preference to stratification 5.5 Conditional Monte Carlo Conditional Monte Carlo works by performing ... 2/3+− ln Ri 2 2/35/4 and the estimate is PS=Ni=1 piYi= 1N N i=1 Trang 6Stratified sampling 95Using procedure ‘weibullstrat’ in Appendix 5.3.2 with N = 100 and K = 200 (and with the same seed

Ngày tải lên: 09/08/2014, 16:21

... Trang 2126 Simulation and financeTable 6.3 Results for basket option, using naive Monte Carlo (basket) and importancesampling with post stratification (basketimppostratv2) b 25 replications, each ... Equations (6.40) and (6.41), and Equation (6.42) defines the stratification variable The procedure ‘basketimppoststratv2’ in Appendix 6.7.2 implements this using poststratified sampling Table 6.3 ... good  and stratification variable foran option with price cg, where Following the same approach as for the Asian option, a good choice of  is ∗where ∗=  ln exp√ Trang 2126 Simulation and

Ngày tải lên: 09/08/2014, 16:21

... Metropolis sampler The sampler (8.7) is a random walk algorithm with Y = x + 1/2Zwhere 1/21/2  =  and Z is a column of i.i.d standard normal random variables An independence sampler takes ... times, and poor exploration of the state space Clearly, a compromise value for  is called for Hastings (1970) suggested a random walk sampler; that is, given that the current point is x, the candidate ... density, take R1 R2∼ U 0 1 and put = 1 +1 Trang 5It is also thought that the expected lifetime lies somewhere between 2000 and 3000 hours,depending upon the and  values Accordingly, given

Ngày tải lên: 09/08/2014, 16:21

... where Z1 and Z2 are independent standard normal random variables and 1 and 2 are... replacement is better when cp =cf < 6 37= 2500 Problem 1.4 2 Two points A and B are selected randomly ... fit, importdata, random, statevalf, statplots, transform] 2 6 > randomize(135);n:=1000; 4 135 n:=1000 Simulation and Monte Carlo: With applications in finance and MCMC Ó 20 ... independent times between starting at the point ðx0 ; y0 Þ and landing in the treacle The function stats [random,normald](1) creates a random standard normal deviate 215 216 6 6 6 6 6 6 6... estimate

Ngày tải lên: 09/08/2014, 16:21

... Simulation and# PROCEDURE GENERATES A STANDARD RANDOM NORMAL # DEVIATE, USING THE POLAR BOX MULLER METHOD # SET i to 'false' ON FIRST CALL Note that i and # X2 are global variables and have to ... list p and then prints the resulting mean and standard deviation of hedging cost together with a histogram If the option were continuously hedged, then the standard deviation would be zero, and ... warning to set i and X2to global variables and to set i to‘false’ on the first call > STDNORM:=proc( ) local ij,U1,U2,S,B,X1;global i,X2; # # PROCEDURE GENERATES A STANDARD RANDOM NORMAL # DEVIATE,

Ngày tải lên: 09/08/2014, 16:21

... ‘basket’ estimates c using naive Monte Carlo It performs npathreplications of the payoff Ensure that the procedure ‘STDNORM’ in Appendix 6.1 and the Linear Algebra and statistics packages are loaded ... with strike price K and exercise time T is the discounted expected payoff in a risk-neutral world, that is whereW  Nð0; rÞ: P ut W ¼ bZ where Z  Nð0; IÞ 6.7.1 Naive Monte Carlo The procedure ... localb,c1,c2,i1,i2,mean,R,spot,stderr,theta,w,xav,xi,z; globali,X2;# # Computes call price for basket option using naive Monte Carlo; # load STDNORM and Linear Algebra package; # # r=risk-free interest rate; # x[i1]= i1th asset price

Ngày tải lên: 09/08/2014, 16:21

... Gentle, J.E (2003) Random Number Generation and Monte Carlo Methods, 2nd edn Berlin: Gilks, W.R., Best, N.G and Tan, K.K.C (1995) Adaptive rejection Metropolis sampling within Gibbs sampling Applied ... (1970) Monte Carlo sampling methods using Markov chains and their applications Biometrika, 57: 97–109. Hobson, D.G (1998) Stochastic volatility In D.J Hand and S.D Jacka (eds), Statistics and Finance, ... Asymptotically optimal importance sampling and stratification for pricing path-dependent options Mathematical Finance, 2: 117–152 Hammersley, J.M and Handscombe, D.C (1964) Monte Carlo Methods London: Methuen.

Ngày tải lên: 09/08/2014, 16:21

... PRELIMINARIES 1.6 random variables that are derived from X and Y via the linear transformation Let X and Y be independent standard normal random variables, and let U and V be sina ... below >> rand % g e n e r a t e a uniform random number 0.0196 >> rand 0.8 23 >> r a n d ( l , 4 ) 0.5252 0.2026 rand(’state’,1 234 ) >> rand 0.6104 r a n d ( ’ s t a t e ’ ,1 234 ) >> rand 0.6104... ... of random numbers, random variables, and stochastic processes. In a typical stochastic simulation, randomness is introduced into simulation models via independent uniformly distributed random

Ngày tải lên: 12/08/2014, 07:22

... generation are [3] and [2] Other references include [4], [7], and [ l o ] and the tutorial in [9] A good new reference is [ 11 Trang 1180 RANDOM NUMBER RANDOM VARIABLE, AND STOCHASTIC PROCESS ... Let 2.12 If X and Y are independent standard normal random variables, then 2 = X / Y has a Cauchy distribution Show this (Hint: first show that if U and V > 0 are continuous random variables ... process, and applying Algorithm 2.7.2 Present sample paths of the process for the cases X = 1, p = 2 and X = 10, p = 11 Further Reading Classical references on random number generation and random

Ngày tải lên: 12/08/2014, 07:22

... the two inventory processes Let D , and A, be the size of the i-th demand and the length of the i-th inter- demand time, respectively We assume that both { D,} and { A , } are iid sequences, with ... demands and receiving stock from a production facility When demand occurs, it is either filled or back-ordered (to be satisfied by delayed deliveries) At time t , the net inventory (on-hand ... observations corresponding to the finite-horizon simulation and then calculates the point estimator and the confidence interval for C via (4.19) and (4.7), respectively, exactly as in the batch means

Ngày tải lên: 12/08/2014, 07:22

... functions V ( v ) and 6 ( v ) are convex and differentiable with respect to v, and since one can typically interchange the expectation and differentiation operators (see Rubinstein and Shapiro [32]), ... multiplying and dividing the integrand by f(x; w) We now replace the expected value in (5.57) by its sample (stochastic) counterpart and then take the optimal solution of the asso- ciated Monte Carlo ... 92(52121) and so on, until one obtains a single random vector X from g ( x ) Repeating this independently N times, each time sampling from g(x), one obtains a random sample X I , , XN from g(x) and

Ngày tải lên: 12/08/2014, 07:22

... jump Markov chain Monte Carlo computation and Bayesian model 9 J Hammersley and M Clifford Markov fields on finite graphs and lattices Unpublished 10 W K Hastings Monte Carlo sampling methods ... respect to parameter vector u, and it is based on the score function and the Fisher infor- Simulation and the Monte Carlo Method, Second Edition By R.Y Rubinstein and D P Kroese 201 Copyright @ ... For example, in the hide- and-seek algorithm [20] the general hit-and-run sampler (Section 6.3) is used Research motivated by the use of hit-and-run and discrete hit-and-run in simulated annealing,

Ngày tải lên: 12/08/2014, 07:22

... the Monte Carlo techniques, the stochastic process basics, and the theoretical background and intuition behind financial and actuarial mathematics This has the advantage that the standard Monte Carlo ... of random numbers are also touched and are important for speeding up Monte Carlo methods This chapter is followed by an introduction to the Monte Carlo method, its theoretical background, and ... Generating Random Numbers 2.1 2.1.1 Introduction How we get random numbers? Stochastic simulations and especially the Monte Carlo method use random variables (RVs) So the ability to provide random...

Ngày tải lên: 18/03/2014, 00:20

... angle and the possibility of reflection, transmission at surfaces Fig indicates the flowchart of photon movement in a biological sample Fig Flowchart for Monte Carlo simulations Monte Carlo simulations ... s and g by Monte Carlo simulations with different milk concentrations is presented in Fig 11 By increasing the concentrations, both absorption and scattering coefficients increase gradually and ... stepsize and photon weighting Photon position has been verified after each step If the photon is internally reflected and still in the sample, it is possibly absorbed and then the absorption and photon’s...

Ngày tải lên: 28/03/2014, 13:20

... Simulation and Monte Carlo Simulation and Monte Carlo With applications in finance and MCMC J S Dagpunar School of Mathematics University of Edinburgh, ... system, or population Simulation and Monte Carlo: With applications in finance and MCMC © 2007 John Wiley & Sons, Ltd J S Dagpunar Introduction to simulation and Monte Carlo Since simulations provide ... = Poisson n=1 Xn+1 = K binomial Xn − p + Yn+1 Hn+1 = Xn+1 − binomial Xn − p n=0 n=0 Introduction to simulation and Monte Carlo Since Xn+1 depends on Xn and Yn+1 only, and since Yn+1 is independent...

Ngày tải lên: 07/03/2014, 15:20

... VI.ToC Monte Carlo In the Concert-room—The Gambling-saloons—The Tables—The moth and the candle—The true story of Monte Carlo An International grievance and disgrace We reached Monte Carlo in time ... should be the land of our pilgrimage Should we cross the Pyrenees and traverse Spain, visiting Madrid and the Escurial en route to Seville, and thence through Andalusia and Granada, and home by ... about Monte Carlo, when gambling, to a frightful extent, is carried on at our clubs and stock exchanges in England? I can only answer, two wrongs can never make one right; besides, Monte Carlo...

Ngày tải lên: 15/03/2014, 12:20