Algorithms of multidimensional random process simulation

Generating Antithetic Random Variates in Simulation of a Replacement Process by Rejection Method

When the times between renewals in a renewal process are not exponentially distributed, simulation can become a viable method of analysis. The renewal function is estimated through simulation for a renewal process simulation for a renewal process with gamma distributed renewal times and the shape parameter a > 1. Gamma random deviates will be generated by means of the so called Acceptance Rejec...

Simulation algorithms for the random-cluster model.

We compare the performance of Monte Carlo algorithms for the simulation of the random-cluster representation of the q-state Potts model for continuous values of q. In particular we consider a local bond update method, a statistical reweighting method of percolation configurations, and a cluster algorithm, all of which generate Boltzmann statistics. The dynamic exponent z of the cluster algorith...

Rare-event Simulation for Multidimensional Regularly Varying Random Walks

We consider the problem of e¢ cient estimation via simulation of …rst passage time probabilities for a multidimensional random walk with regularly varying increments. In addition of being a natural generalization of the problem of computing ruin probabilities in insurance –in which the focus is a one dimensional random walk –this problem captures important features of large deviations for multi...

Random Process Simulation for Stochastic Fatigue Analysis

Tearing Algorithms for Separation Process Simulation

A modified sum-rates method based on insights provided by an analysis given by Sridhar and Lucia (Ind. Engng Chem. Res. 28, 793-803, 1989) is presented. Newton’s method is used to accelerate the inner loop of combined mass balance and phase equilibrium equations and to solve the outer loop of energy balance equations. All partial derivative information is obtained in analytical form. Several li...