Efficient steady-state simulation of high-dimensional stochastic networks
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Publication:5084487
Abstract: We propose and study an asymptotically optimal Monte Carlo estimator for steady-state expectations of a d-dimensional reflected Brownian motion. Our estimator is asymptotically optimal in the sense that it requires (up to logarithmic factors in ) i.i.d. Gaussian random variables in order to output an estimate with a controlled error. Our construction is based on the analysis of a suitable multi-level Monte Carlo strategy which, we believe, can be applied widely. This is the first algorithm with linear complexity (under suitable regularity conditions) for steady-state estimation of RBM as the dimension increases.
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Cited in
(10)- Efficient simulation of hierarchical stochastic activity network models
- Utilizing network structure to accelerate Markov chain Monte Carlo algorithms
- S̲tochastic S̲imulation A̲lgorithm For Effective Spreading Dynamics On T̲ime-Evolving A̲daptive N̲etworX̲ (SSATAN-X)
- QRF
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- Generalizing Gillespie's direct method to enable network-free simulations
- On the effective dimension and multilevel Monte Carlo
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