This paper present a general method coupling genetic algorithms and Monte-Carlo simulation to address simulation optimization issues in the field of engineering asset management. After a description of the method, parameters tuning issues are analyzed through a test-case.

For the calibration of the parameters in static and dynamic SABR stochastic volatility models, we propose the application of the GPU technology to the Simulated Annealing global optimization algorithm and to the Monte Carlo simulation. This calibration has been performed for EURO STOXX 50 index and EUR/USD exchange rate with an asymptotic formula for volatility or Monte Carlo simulation. Moreov...

Stochastic approximation Monte Carlo (SAMC) has recently been proposed by Liang, Liu and Carroll [J. Amer. Statist. Assoc. 102 (2007) 305–320] as a general simulation and optimization algorithm. In this paper, we propose to improve its convergence using smoothing methods and discuss the application of the new algorithm to Bayesian model selection problems. The new algorithm is tested through a ...

Sequential Monte Carlo (SMC) samplers are an alternative to MCMC for Bayesian computation. However, their performance depends strongly on the Markov kernels used rejuvenate particles. We discuss how calibrate automatically (using current particles) Hamiltonian within SMC. To do so, we build upon adaptive SMC approach of Fearnhead and Taylor (2013), also suggest methods. illustrate advantages us...

AIM The Monte Carlo dose calculation algorithm yields accurate dose distributions in heterogeneous media and interfaces. The Monte Carlo calculation algorithm provided in the Multiplan Cyberknife treatment planning system (Accuray, Sunnyvale, CA, USA) has five different dose-smoothing algorithms in it. As the principle of smoothing of these algorithms is different, they can produce a disparity ...

This paper investigates Monte Carlo techniques for construction of compact wavefunctions for the internal atomic motion of the D 3 O + ion. The polarization force field models of Stillinger, et al. and of Ojamae, et al. were used. Initial pair product wavefunctions were obtained from the asymptotic high temperature many-body density matrix after contraction to atom pairs using Metropolis Monte ...

This paper investigates Monte Carlo techniques for construction of compact wavefunctions for the internal atomic motion of the D 3 O + ion. The polarization force field models of Stillinger, et al. and of Ojamae, et al. were used. Initial pair product wavefunctions were obtained from the asymptotic high temperature many-body density matrix after contraction to atom pairs using Metropolis Monte ...

Concepts and implementation of the Cuba library for multidimensional numerical integration are elucidated. 1. Overview Cuba [1] is a library for multidimensional numerical integration. It features four integration algorithms with interfaces for Fortran, C/C++, and Mathematica. All four can integrate vector integrands and their invocation is quite similar to make it easy to switch routines for c...

Optimization under uncertainty has seen many applications in the industrial world. The objective of this paper is to study the stochastic dynamic vehicle allocation problem (SDVAP), which is faced by many trucking companies, container companies, rental car agencies and railroads. To maximize profits and to manage fleets of vehicles in both time and space, this paper has formulated a multistage ...

MOTIVATION A significant and stubbornly intractable problem in genome sequence analysis has been the de novo identification of transcription factor binding sites in promoter regions. Although theoretically pleasing, probabilistic methods have faced difficulties due to model mismatch and the nature of the biological sequence. These problems result in inference in a high dimensional, highly multi...