Sökning: "Markov chain simulation"

Visar resultat 1 - 5 av 38 avhandlingar innehållade orden Markov chain simulation.

  1. 1. Semi Markov chain Monte Carlo

    Författare :Håkan Ljung; Uppsala universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; Mathematics; Adaptive simulation; error-in-the-variables; Kullback-Leibler divergence; Markov chain simulation; Markov chain Monte Carlo; semi-regenerative; MATEMATIK; MATHEMATICS; MATEMATIK; matematisk statistik; Mathematical Statistics;

    Sammanfattning : The first paper introduces a new simulation technique, called semi Markov chain Monte Carlo, suitable for estimating the expectation of a fixed function over a distribution π, Eπf(χ). Given a Markov chain with stationary distribution p, for example a Markov chain corresponding to a Markov chain Monte Carlo algorithm, an embedded Markov renewal process is used to divide the trajectory into different parts. LÄS MER

  2. 2. Case studies in omniparametric simulation

    Författare :Fredrik Lundin; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :growth model; Ising model; Markov chain; omnithermal simulation; omniparametric simulationpercolatiion; Potts model; parameter estimation; partial observations; random cluster model; Richardson model; simulation driven parameter estimation; two-type Richardson model; omnithermal simulation;

    Sammanfattning : In the eld of particle systems and growths models simulation is an important tool. When explicit calculations are too complex or impossible to perform we may use simulations instead. We adapt a new technique here denoted omniparametric simulation, to the two-type Richardson, Ising and Potts models. LÄS MER

  3. 3. On Perfect Simulation of Markovian Queueing Networks with Blocking

    Författare :Dan Mattsson; Göteborgs universitet; Göteborgs universitet; Gothenburg University; []
    Nyckelord :Markov chain; Monte Carlo methods; Propp-Wilson algorithm; perfect simulation; queueing theory; Jackson networks; birth and death processes; Jackson networks;

    Sammanfattning : Perfect simulation of a class of Markovian queueing networks with finite buffers is examined in this monograph. The network processes defined are modelled by restricted multivariate birth and death processes with intensities depending on a random environment. The random environments are mainly a set of independent onoff processes. LÄS MER

  4. 4. Rare-event simulation with Markov chain Monte Carlo

    Författare :Thorbjörn Gudmundsson; Henrik Hult; Ad Ridder; KTH; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Tillämpad matematik och beräkningsmatematik; Applied and Computational Mathematics;

    Sammanfattning : Stochastic simulation is a popular method for computing probabilities or expecta- tions where analytical answers are difficult to derive. It is well known that standard methods of simulation are inefficient for computing rare-event probabilities and there- fore more advanced methods are needed to those problems. LÄS MER

  5. 5. On perfect simulation and EM estimation

    Författare :Kajsa Larson; Sara Sjöstedt de Luna; Mats Rudemo; Umeå universitet; []
    Nyckelord :NATURAL SCIENCES; NATURVETENSKAP; NATURVETENSKAP; NATURAL SCIENCES; Perfect simulation; coupling from the past; Markov chain Monte Carlo; point process; Widom-Rowlinson model; EM algorithm; dispersal distribution; fecundity; first-passage percolation; Mathematical statistics; Matematisk statistik; Mathematical Statistics; matematisk statistik;

    Sammanfattning : Perfect simulation  and the EM algorithm are the main topics in this thesis. In paper I, we present coupling from the past (CFTP) algorithms that generate perfectly distributed samples from the multi-type Widom--Rowlin-son (W--R) model and some generalizations of it. LÄS MER