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32 results for “stochastic simulation”
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Research ArticleOpen accessIn the abstractStatistical Inference on a Black-Scholes Model with Jumps. Application in HydrologyJ. Cesars, S.P. Nuiro, J. VaillantWe consider a Stochastic Differential Equation (SDE) driven by a Wiener process and a Poisson measure. This latter measure is associated with a sequence of identically distributed jump amplitudes. Properties of the SDE solution are presented with respect to the associated Wiener and Poisson processes. An algorithm is provided allowing exact numerical simulations of such SDE and implementable within R … …Journal of Mathematics and Statistics, Vol. 15, Issue 1 · 24 Jul 2019 · 7,502 accessesView PDFCite
Research ArticleOpen accessIn the abstractPerformance Optimization of Physics Simulations Through Genetic AlgorithmsOksana Shadura, Federico Carminati, Anatoliy PetrenkoThe GeantV R&D approach is revisiting the standard particle transport simulation approach to be able to benefit from “Single Instruction, Multiple Data” (SIMD) computational architectures or extremely parallel systems like coprocessors and GPUs. The goal of this work is to develop a mechanism for optimizing the programs used for High-Energy Physics (HEP) particle transport simulations using a “black-box” optimization approach. … …Journal of Computer Science, Vol. 15, Issue 1 · 8 Jan 2019 · 8,091 accessesView PDFCite
Research ArticleOpen accessIn the abstractParametrical Tuning of Twisting GeneratorsAleksei F. Deon, Yulian A. MenyaevGenerators of uniformly distributed random numbers are broadly applied in simulations of stochastic processes that rely on normal and other distributions. In a point of fact, the uniform random numbers are actively used for applications that range from, modeling different phenomena such as theoretical mathematics and technical designing, to evidence-based medicine. This paper proposes a novel approach which consists of … …Journal of Computer Science, Vol. 12, Issue 8 · 7 Oct 2016 · 11,836 accessesView PDFCite
Research ArticleOpen accessIn the abstract3-DIMENSIONAL EAR RECOGNITION BASED ITERATIVE CLOSEST POINT WITH STOCHASTIC CLUSTERING MATCHINGKhamiss Masaoud S. Algabary, Khairuddin Omar, Md Jan NordinEar recognition is a new technology and future trend for personal identification. However, the false detection rate and matching recognition are very challenging due to the ear complex geometry. The Scope of the study is to introduced a combination of Iterative Closest Point (ICP) and Stochastic Clustering Matching (SCM) algorithm for 3D ears matching based on biometrics field with a … …Journal of Computer Science, Vol. 10, Issue 3 · 29 Nov 2013 · 6,812 accessesView PDFCite
Research ArticleOpen accessIn the abstractOptimization of Clock Tree Synthesis Under Stochastic Process Variation Modeling for Multi-FPGA SystemsKarthik Thirumalai Sampath, Jawahar Senthil Kumar VeerabadranIn this age of scientific computing, the experiment models and evaluation is a commonly employed rendition of the simulation methods. In addition to the optimality, the methods which depict underlying uncertainty in process variation. It is accomplished by adjusting number of samples on delay and wire width. Here addresses the thermal profile, if temperature gradually increases, also reduce worst case … …American Journal of Applied Sciences, Vol. 10, Issue 12 · 29 Oct 2013 · 6,510 accessesView PDFCite
Research ArticleOpen accessIn the abstractNelder-Mead Method with Local Selection Using Neighborhood and Memory for Stochastic OptimizationNoocharin Tippayawannakorn, Juta PichitlamkenWe consider the Nelder-Mead (NM) simplex algorithm for optimization of discrete-event stochastic simulation models. We propose new modifications of NM to reduce computational time and to improve quality of the estimated optimal solutions. Our means include utilizing past information of already seen solutions, expanding search space to their neighborhood and using adaptive sample sizes. We compare performance of these extensions … …Journal of Computer Science, Vol. 9, Issue 4 · 10 May 2013 · 6,121 accessesView PDFCite
Research ArticleOpen accessIn the abstractDynamic Bandwidth Allocation for Multiple Traffic Classes in IEEE 802.16e WiMax Networks: A Petrinet ApproachS. Geetha, R. JayaparvathyProblem statement: WiMAX supports multiple types of traffic such as data, voice and video. Each flow requires a certain minimum bandwidth to achieve its QoS. Bandwidth allocation to traffic classes should be in such a way that fairness criteria is met with. Hence, we propose a dynamic bandwidth allocation mechanism to achieve fair and efficient allocation. Approach: We present a … …Journal of Computer Science, Vol. 7, Issue 11 · 6 Sep 2011 · 7,101 accessesView PDFCite
Research ArticleOpen accessIn the abstractAn Approximate Formula of European Option for Fractional Stochastic Volatility Jump-Diffusion ModelP. Sattayatham, A. IntarasitProblem statement: We presented option pricing when the stock prices follows a jumpdiffusion model and their stochastic volatility follows a fractional stochastic volatility model. This proposed model exhibits the a memory of a stochastic volatility model that is not expressed in the classical stochastic volatility model. Approach: We introduce an approximated method to fractional stochastic volatility model perturbed by the … …Journal of Mathematics and Statistics, Vol. 7, Issue 3 · 27 Jul 2011 · 7,964 accessesView PDFCite
Research ArticleOpen accessIn the abstractApplications of Conditional Value at Risk to Full Truckload Pricing Under Demand and Service Time UncertaintiesThitima Wonginta, Sompong SirisoponsilpProblem statement: Pricing is one of the fundamental management decisions required by a truckload carrier. Traditional pricing based on an average all relevant costs including fixed and variable costs is not capable of providing adequate margins that prevent losses during operation uncertainties inherent in truckload operation including demand variability and variation in service times. Approach: This study utilizes Conditional Value … …American Journal of Engineering and Applied Sciences, Vol. 4, Issue 1 · 28 Jan 2011 · 8,333 accessesView PDFCite