| 1. |
- Blanchet, Jose, et al.
(författare)
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Rare-Event Simulation for Stochastic Recurrence Equations with Heavy-Tailed Innovations
- 2013
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 23:4, s. 22-
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Tidskriftsartikel (refereegranskat)abstract
- In this article, rare-event simulation for stochastic recurrence equations of the form Xn+1 = A(n+1)X(n) + Bn+1, X-0 = 0 is studied, where {A(n);n >= 1} and {B-n;n >= 1} are independent sequences consisting of independent and identically distributed real-valued random variables. It is assumed that the tail of the distribution of B-1 is regularly varying, whereas the distribution of A(1) has a suitably light tail. The problem of efficient estimation, via simulation, of quantities such as P{X-n > b} and P{sup(k <= n) X-k > b} for large b and n is studied. Importance sampling strategies are investigated that provide unbiased estimators with bounded relative error as b and n tend to infinity.
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| 2. |
- Djehiche, Boualem, 1962-, et al.
(författare)
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Importance Sampling for a Simple Markovian Intensity Model Using Subsolutions
- 2022
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 32:2, s. 1-25
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Tidskriftsartikel (refereegranskat)abstract
- This article considers importance sampling for estimation of rare-event probabilities in a specific collection of Markovian jump processes used for, e.g., modeling of credit risk. Previous attempts at designing importance sampling algorithms have resulted in poor performance and the main contribution of the article is the design of efficient importance sampling algorithms using subsolutions. The dynamics of the jump processes cause the corresponding Hamilton-Jacobi equations to have an intricate state-dependence, which makes the design of efficient algorithms difficult. We provide theoretical results that quantify the performance of importance sampling algorithms in general and construct asymptotically optimal algorithms for some examples. The computational gain compared to standard Monte Carlo is illustrated by numerical examples.
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| 3. |
- Hult, Henrik, 1975-, et al.
(författare)
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On Importance Sampling with Mixtures for Random Walks with Heavy Tails
- 2012
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 22:2, s. 8-
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Tidskriftsartikel (refereegranskat)abstract
- State-dependent importance sampling algorithms based on mixtures are considered. The algorithms are designed to compute tail probabilities of a heavy-tailed random walk. The increments of the random walk are assumed to have a regularly varying distribution. Sufficient conditions for obtaining bounded relative error are presented for rather general mixture algorithms. Two new examples, called the generalized Pareto mixture and the scaling mixture, are introduced. Both examples have good asymptotic properties and, in contrast to some of the existing algorithms, they are very easy to implement. Their performance is illustrated by numerical experiments. Finally, it is proved that mixture algorithms of this kind can be designed to have vanishing relative error.
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| 4. |
- Kunz, G., et al.
(författare)
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Parallel Expanded Event Simulation of Tightly Coupled Systems
- 2016
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1558-1195 .- 1049-3301. ; 26:2, s. art. no. 12-
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Tidskriftsartikel (refereegranskat)abstract
- The technical evolution of wireless communication technology and the need for accurately modeling these increasingly complex systems causes a steady growth in the complexity of simulation models. At the same time, multi-core systems have become the de facto standard hardware platform. Unfortunately, wireless systems pose a particular challenge for parallel execution due to a tight coupling of network entities in space and time. Moreover, model developers are often domain experts with no in-depth understanding of parallel and distributed simulation. In combination, both aspects severely limit the performance and the efficiency of existing parallelization techniques. We address these challenges by presenting parallel expanded event simulation, a novel modeling paradigm that extends discrete events with durations that span a period in simulated time. The resulting expanded events form the basis for a conservative synchronization scheme that considers overlapping expanded events eligible for parallel processing. We then put these concepts into practice by implementing HORIZON, a parallel expanded event simulation framework specifically tailored to the characteristics of multi-core systems. Our evaluation shows that HORIZON achieves considerable speedups in synthetic as well as real-world simulation models and considerably outperforms the current state-of-the-art in distributed simulation.
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| 5. |
- McClary, Daniel W., et al.
(författare)
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Profile-driven regression for modeling and runtime optimization of mobile networks
- 2010
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 20:3
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Tidskriftsartikel (refereegranskat)abstract
- Computer networks often display nonlinear behavior when examined over a wide range of operating conditions. There are few strategies available for modeling such behavior and optimizing such systems as they run. Profile-driven regression is developed and applied to modeling and runtime optimization of throughput in a mobile ad hoc network, a self-organizing collection of mobile wireless nodes without any fixed infrastructure. The intermediate models generated in profile-driven regression are used to fit an overall model of throughput, and are also used to optimize controllable factors at runtime. Unlike others, the throughput model accounts for node speed. The resulting optimization is very effective; locally optimizing the network factors at runtime results in throughput as much as six times higher than that achieved with the factors at their default levels.
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| 6. |
- McClary, Daniel W., et al.
(författare)
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Steepest-ascent constrained simultaneous perturbation for multiobjective optimization
- 2010
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 21:1
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Tidskriftsartikel (refereegranskat)abstract
- The simultaneous optimization of multiple responses in a dynamic system is challenging. When a response has a known gradient, it is often easily improved along the path of steepest ascent. On the contrary, a stochastic approximation technique may be used when the gradient is unknown or costly to obtain. We consider the problem of optimizing multiple responses in which the gradient is known for only one response. We propose a hybrid approach for this problem, called simultaneous perturbation stochastic approximation steepest ascent, SPSA-SA or SP(SA)2 for short. SP(SA)2 is an SPSA technique that leverages information about the known gradient to constrain the perturbations used to approximate the others. We apply SP(SA)2 to the cross-layer optimization of throughput, packet loss, and end-to-end delay in a mobile ad hoc network (MANET), a self-organizing wireless network. The results show that SP(SA)2 achieves higher throughput and lower packet loss and end-to-end delay than the steepest ascent, SPSA, and the Nelder--Mead stochastic approximation approaches. It also reduces the cost in the number of iterations to perform the optimization
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| 7. |
- Olstam, Johan, 1979-, et al.
(författare)
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A Framework for Simulation of Surrounding Vehicles in Driving Simulators
- 2008
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : Association for Computing Machinery (ACM). - 1049-3301 .- 1558-1195. ; 18:3
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Tidskriftsartikel (refereegranskat)abstract
- This article describes a framework for generation and simulation of surrounding vehicles in a driving simulator. The proposed framework generates a traffic stream, corresponding to a given target flow and simulates realistic interactions between vehicles. The framework is based on an approach in which only a limited area around the driving simulator vehicle is simulated. This closest neighborhood is divided into one inner area and two outer areas. Vehicles in the inner area are simulated according to a microscopic simulation model including advanced submodels for driving behavior while vehicles in the outer areas are updated according to a less time-consuming mesoscopic simulation model. The presented work includes a new framework for generating and simulating vehicles within a moving area. It also includes the development of an enhanced model for overtakings and a simple mesoscopic traffic model. The framework has been validated on the number of vehicles that catch up with the driving simulator vehicle and vice versa. The agreement is good for active and passive catch-ups on rural roads and for passive catch-ups on freeways, but less good for active catch-ups on freeways. The reason for this seems to be deficiencies in the utilized lane-changing model. It has been verified that the framework is able to achieve the target flow and that there is a gain in computational time of using the outer areas. The framework has also been tested within the VTI Driving simulator III.
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| 8. |
- Zhao, Xueqian, et al.
(författare)
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A Tool for xMAS-Based Modeling and Analysis of Communication Fabrics in Simulink
- 2017
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Ingår i: ACM Transactions on Modeling and Computer Simulation. - : ASSOC COMPUTING MACHINERY. - 1049-3301 .- 1558-1195. ; 27:3
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Tidskriftsartikel (refereegranskat)abstract
- The eXecutable Micro-Architectural Specification (xMAS) language developed in recent years finds an effective way to model on-chip communication fabrics and enables performance-bound analysis with network calculus at the micro-architectural level. For network-on-Chip (NoC) performance analysis, model validation is essential to ensure correctness and accuracy. In order to facilitate the xMAS modeling and corresponding analysis validation, this work presents a unified platform based on xMAS in Simulink. The platform provides a friendly graphical user interface for xMAS modeling and parameter setup by taking advantages of the Simulink modeling environment. The regulator and latency-rate sever are added to the xMAS primitive set to support typical flow and service behaviors. Hierarchical model build-up and Verilog-HDL code generation are essentially supported to manage complex models and to conduct cycle-accurate bit-accurate simulations. Based on the generated simulation models of xMAS, this tool is applied to evaluate the tightness of analytical delay bound results. We demonstrate the application as well as the work flow of the xMAS tool through a two-agent communication example and an all-to-one communication example with a tree topology.
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