Simulating Nonstationary Spatio-Temporal Poisson Processes Using the Inversion Method
Title | Simulating Nonstationary Spatio-Temporal Poisson Processes Using the Inversion Method PDF eBook |
Author | Haoting Zhang |
Publisher | |
Pages | 0 |
Release | 2020 |
Genre | |
ISBN |
We study the problem of simulating a class of nonstationary spatio-temporal Poisson processes. The Poisson intensity function is non-stationary and piecewise linear in both the time dimension and the spatial location dimensions. We propose an exact simulation algorithm based on the inversion method. This simulation algorithm adopts three advantages. First, the entire procedure involves only closed-form computation with no need for numerical integration or numerical inversion of any function. Each step in the algorithm only requires exact arithmetic operations. Second, the proposed algorithm is sample efficient, especially compared to the thinning method when the maximum intensity value is much larger than the minimum intensity value. Third, the algorithm generates arrivals sequentially, one at a time in ascending order, so that they can be conveniently fed into real-time or online decision-making tools.
Simulation methods for Poisson processes in nonstationary systems
Title | Simulation methods for Poisson processes in nonstationary systems PDF eBook |
Author | Thomas J. Watson IBM Research Center |
Publisher | |
Pages | 0 |
Release | 1978 |
Genre | Point processes |
ISBN |
The nonhomogeneous Poisson process is a widely used model for a series of events (stochastic point process) in which the rate or intensity of occurrence of points varies, usually with time. The process has the characteristic properties that the number of points in any finite set of nonoverlapping intervals are mutually independent random varialbes, and that the number of points in any of these intervals has a Poisson distribution. This paper first discusses several general methods for simulation of the one-dimensional nonhomogeneous Poisson process. Then a particular and very efficient method for simulation of nonhomogeneous Poisson processes is stated with log-linear rate function. The method is based on an identity relating the nonhomogeneous Poisson process to the gap statistics from a random number of exponential random variables with suitably chosen parameters. Finally, a simple and relatively efficient new method for simulation of one-dimensional and two-dimensional nonhomogeneous Poisson processes is described. The method is applicable for any given rate function and is based on controlled deletion of points in a Poisson process with a rate function that dominates the given rate function.
Modeling and Simulation of Nonstationary Non-Poisson Processes
Title | Modeling and Simulation of Nonstationary Non-Poisson Processes PDF eBook |
Author | Ran Liu |
Publisher | |
Pages | 102 |
Release | 2013 |
Genre | |
ISBN |
2020 Winter Simulation Conference (WSC)
Title | 2020 Winter Simulation Conference (WSC) PDF eBook |
Author | IEEE Staff |
Publisher | |
Pages | |
Release | 2020-12-14 |
Genre | |
ISBN | 9781728195001 |
WSC is the premier international forum for disseminating recent advances in the field of system simulation In addition to a technical program of unsurpassed scope and quality, WSC provides the central meeting for practitioners, researchers, and vendors
Applied Stochastic Differential Equations
Title | Applied Stochastic Differential Equations PDF eBook |
Author | Simo Särkkä |
Publisher | Cambridge University Press |
Pages | 327 |
Release | 2019-05-02 |
Genre | Business & Economics |
ISBN | 1316510085 |
With this hands-on introduction readers will learn what SDEs are all about and how they should use them in practice.
Stochastic Models in Operations Research: Stochastic optimization
Title | Stochastic Models in Operations Research: Stochastic optimization PDF eBook |
Author | Daniel P. Heyman |
Publisher | Courier Corporation |
Pages | 580 |
Release | 2004-01-01 |
Genre | Mathematics |
ISBN | 9780486432601 |
This two-volume set of texts explores the central facts and ideas of stochastic processes, illustrating their use in models based on applied and theoretical investigations. They demonstrate the interdependence of three areas of study that usually receive separate treatments: stochastic processes, operating characteristics of stochastic systems, and stochastic optimization. Comprehensive in its scope, they emphasize the practical importance, intellectual stimulation, and mathematical elegance of stochastic models and are intended primarily as graduate-level texts.
Bayesian Filtering and Smoothing
Title | Bayesian Filtering and Smoothing PDF eBook |
Author | Simo Särkkä |
Publisher | Cambridge University Press |
Pages | 255 |
Release | 2013-09-05 |
Genre | Computers |
ISBN | 110703065X |
A unified Bayesian treatment of the state-of-the-art filtering, smoothing, and parameter estimation algorithms for non-linear state space models.