Stochastic simulation: Algorithms and analysis
black-box algorithmsbranching processescomputational efficiencyconvergence propertiesderivative estimationGaussian processesLévy processesMarkov chainsMonte Carlo methodsnumerical algorithmsnumerical integrationoutput analysisrandom number generationrare-event simulationsampling strategiessampling-based methodssimulation of queuesstatistical simulationsteady state simulationstochastic algorithmsstochastic differential equationsstochastic optimizationtextbookvariance-reduction
The adequate statistical simulation of random quantities is one of the challenges of this century. Therefore, sampling-based computational methods have become a fundamental part of the numerical toolset of both practitioners and researchers across an enormous number of different scientific disciplines. This book provides a descriptive treatment of a variety of such sampling-based methods. Some steps to the mathematical analysis of their convergence properties and diverse applications are sketched as well. The first half of the book focuses on general methods, whereas the second half discusses some model-specific algorithms. The book has \(14\) chapters and one appendix. Topics as random number generation, output analysis, steady state simulation, variance-reduction, rare-event simulation, derivative estimation, stochastic optimization, numerical integration, stochastic differential equations, Gaussian processes, Lévy processes, Markov chains, Monte Carlo methods, simulation of queues, branching processes and black-box algorithms are touched among many others. The wide range of examples, exercises and applications will find interest among readers in probability, statistics, operations research, economics, finance, biology, chemistry, physics and engineering. The following computational issues are addressed: 1. How does one generate the needed random input variables? 2. How many computer experiments should one carry out? 3. How does one compute expectations associated with stationary distributions? 4. How can one exploit the specific structure of problems to speed up the computations? 5. How does one compute efficiently probabilities or rare events? 6. How do we estimate the sensitivity of a stochastic model to changes in parameters? 7. How can we use simulation to optimize the choice of decision parameters? As one clearly can see from this extraordinary choice of interesting topics, this book is of potential interest to many researchers, students and instructors. Due to this large variety, the book has a descriptive and introductory character and, of course, a deeper understanding of related issues requires further ``digging into the current literature.
- Exact simulation of IG-OU processes
- A stochastic quasi-Newton method for large-scale optimization
- A general control variate method for option pricing under Lévy processes
- Multiresolution functional ANOVA for large-scale, many-input computer experiments
- Reinforcement learning, sequential Monte Carlo and the EM algorithm
- Comments on: ``Polling: past, present and perspective
- Approximation and simulation of infinite-dimensional Lévy processes
- Simulating the formation of keratin filament networks by a piecewise-deterministic Markov process
- Derivatives of the stochastic growth rate
- On the efficient simulation of the left-tail of the sum of correlated log-normal variates
- The sample size required in importance sampling
- Representations of \(\max\)-stable processes via exponential tilting
- Identifying stationary series in panels: a Monte Carlo evaluation of sequential panel selection methods
- Scalable information inequalities for uncertainty quantification
- Fluid-particle dynamics for passive tracers advected by a thermally fluctuating viscoelastic medium
- A low-rank control variate for multilevel Monte Carlo simulation of high-dimensional uncertain systems
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- On the generalization of the hazard rate twisting-based simulation approach
- Efficient simulation for dependent rare events with applications to extremes
- Using perturbed underdamped Langevin dynamics to efficiently sample from probability distributions
- Robust bounds in multivariate extremes
- Evolution of resistance to anti-cancer therapy during general dosing schedules
- A unified framework for stochastic optimization
- Importance sampling the union of rare events with an application to power systems analysis
- The empirical likelihood approach to quantifying uncertainty in sample average approximation
- Linear stochastic fluid networks: rare-event simulation and Markov modulation
- Estimating tail probabilities of the ratio of the largest eigenvalue to the trace of a Wishart matrix
- Refined large deviations asymptotics for Markov-modulated infinite-server systems
- The coalescence of intrahost HIV lineages under symmetric CTL attack
- Latent Gaussian random field mixture models
- Stochastic algorithms
- Milstein approximation for advection-diffusion equations driven by multiplicative noncontinuous martingale noises
- Brownian meanders, importance sampling and unbiased simulation of diffusion extremes
- Simulation-based confidence bounds for two-stage stochastic programs
- Random field sampling for a simplified model of melt-blowing considering turbulent velocity fluctuations
- A painless intrusive polynomial chaos method with RANS-based applications
- A fractional PDE for first passage time of time-changed Brownian motion and its numerical solution
- Adaptive sampling of large deviations
- A broad view of queueing theory through one issue
- Monte Carlo estimation of the density of the sum of dependent random variables
- Hybrid simulation scheme for volatility modulated moving average fields
- DGM: a deep learning algorithm for solving partial differential equations
- Large deviations of empirical measures of diffusions in weighted topologies
- Limit distributions of the upper order statistics for the Lévy-frailty Marshall-Olkin distribution
- Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
- Generalized parallel tempering on Bayesian inverse problems
- Efficient importance sampling for large sums of independent and identically distributed random variables
- Efficient simulation of ruin probabilities when claims are mixtures of heavy and light tails
- Product-form estimators: exploiting independence to scale up Monte Carlo
- Revisiting the ODE method for recursive algorithms: fast convergence using quasi stochastic approximation
- Large deviations for the empirical measure of the zig-zag process
- Assessing the impact of jumps in an option pricing model: a gradient estimation approach
- Geometry-informed irreversible perturbations for accelerated convergence of Langevin dynamics
- On the local convergence of a stochastic semismooth Newton method for nonsmooth nonconvex optimization
- Adaptive sampling line search for local stochastic optimization with integer variables
- Plateau proposal distributions for adaptive component-wise multiple-try metropolis
- Exact simulation for the first hitting time of Brownian motion and Brownian bridge
- Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers
- Importance sampling for maxima on trees
- A Koopman framework for rare event simulation in stochastic differential equations
- A theoretical and empirical comparison of gradient approximations in derivative-free optimization
- Moments and polynomial expansions in discrete matrix-analytic models
- On accelerating Monte Carlo integration using orthogonal projections
- Efficient algorithms for tail probabilities of exchangeable lognormal sums
- On the effective dimension and multilevel Monte Carlo
- On a stochastic neuronal model integrating correlated inputs
- Fractional Erlang queues
- Analysis of a micro-macro acceleration method with minimum relative entropy moment matching
- Importance sampling in stochastic optimization: an application to intertemporal portfolio choice
- Geometric ergodicity in a weighted Sobolev space
- On testing pseudorandom generators via statistical tests based on the arcsine law
- Efficient large deviation estimation based on importance sampling
- Excessive backlog probabilities of two parallel queues
- Bi-fidelity approximation for uncertainty quantification and sensitivity analysis of irradiated particle-laden turbulence
- Fast methods for computing centroidal Laguerre tessellations for prescribed volume fractions with applications to microstructure generation of polycrystalline materials
- Regeneration-enriched Markov processes with application to Monte Carlo
- Fractional Ornstein-Uhlenbeck process with stochastic forcing, and its applications
- Ruin probability of a continuous-time model with dependence between insurance and financial risks caused by systematic factors
- An efficient simulation algorithm for the generalized von Mises distribution of order two
- Rare event simulation for a slotted time M/G/s model
- Sensitivity estimates for portfolio credit derivatives using Monte Carlo
- Modeling past-dependent partial repairs for condition-based maintenance of continuously deteriorating systems
- A new \textit{walk on equations} Monte Carlo method for solving systems of linear algebraic equations
- An adaptive metamodel-based subset importance sampling approach for the assessment of the functional failure probability of a thermal-hydraulic passive system
- An algorithm to compute the \(t\)-value of a digital net and of its projections
- Efficient Markov chain Monte Carlo for combined subset simulation and nonlinear finite element analysis
- Integrating location and network restoration decisions in relief networks under uncertainty
- Generalized uniformly optimal methods for nonlinear programming
- Dimensional reduction for latent scores modeling using recursive integration
- Parallel computing, failure recovery, and extreme values
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Low variance couplings for stochastic models of intracellular processes with time-dependent rate functions
- Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
- Exact tail asymptotics of the supremum attained by a Lévy process
- A logarithmic efficient estimator of the probability of ruin with recuperation for spectrally negative Lévy risk processes
- Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models
- Perfect and nearly perfect sampling of work-conserving queues
- Perfect sampling of a single-server queue with periodic Poisson arrivals
- Asymptotic results for ruin probability in a two-dimensional risk model with stochastic investment returns
- Efficient importance sampling for binary contingency tables
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