Efficient Simulation of Sparse Graphs of Point Processes

DOI10.1145/3565809MaRDI QIDQ6108734zbMATH OpenOpenAlexFDO

Authors

Publication date 26 July 2023

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2001.01702

zbMATH Keywords

computational complexitypoint processesdiscrete event simulationHawkes point processeslocal independent graphs

Mathematics Subject Classification ID

Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Geometric probability and stochastic geometry (60D05) Graph theory (including graph drawing) in computer science (68R10)

Abstract: We derive new discrete event simulation algorithms for marked time point processes. The main idea is to couple a special structure, namely the associated local independence graph, as defined by Didelez arXiv:0710.5874, with the activity tracking algorithm [muzy, 2019] for achieving high performance asynchronous simulations. With respect to classical algorithm, this allows reducing drastically the computational complexity, especially when the graph is sparse. [muzy, 2019] A. Muzy. 2019. Exploiting activity for the modeling and simulation of dynamics and learning processes in hierarchical (neurocognitive) systems. (Submitted to) Magazine of Computing in Science & Engineering (2019)

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Cited in

(2)

• Kalikow decomposition for counting processes with stochastic intensity and application to simulation algorithms
• Extrapolation and sampling for processes on spatial graphs

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