SIMULATION AND ESTIMATION OF LONG MEMORY CONTINUOUS TIME MODELS

Abstract. Some general properties of long memory continuous time processes are recalled or proved. Methods of simulation are studied. A comparison with the usual discrete time autoregressive fractionally integrated moving-average filter is made and illustrations are provided. Then, two methods of estimation of the parameters of such a model from a discrete sample are studied, both theoretically and empirically, with Monte Carlo experiments.     

TESTS FOR FRACTIONAL INTEGRATION:A MONTE CARLO INVESTIGATION

Abstract. The performance of the Geweke-Porter-Hudak (GPH) test, the modified rescaled range (MRR) test and two Lagrange multiplier (LM) type tests for fractional integration in small samples is examined using Monte Carlo methods. Both the GPH and MRR tests are found to be robust to moderate autoregressive moving-average components, autoregressive conditional heteroskedasticity effects and shifts in the variance. However, these two tests are sensitive to large autoregressive moving-average components and shifts in the mean. It is also found that the LM tests are sensitive to deviations from the null hypothesis. As an illustration, the GPH test is applied to two economic data series.     

Conditional probability Markov chain simulation based reliability analysis method for nonnormal variables

Based on fast Markov chain simulation for generating the samples distributed in failure region and saddlepoint approximation(SA) technique,an efficient reliability analysis method is presented to evaluate the small failure probability of non-linear limit state function(LSF) with non-normal variables.In the presented method,the failure probability of the non-linear LSF is transformed into a product of the failure probability of the introduced linear LSF and a feature ratio factor.The introduced linear LSF wh...     

Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

A residual-based moving block bootstrap procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects is proposed. When the regressors and errors of the models are serially and contemporaneously correlated, our test compares favourably with the Sup LM test proposed by Gonzalo and Pitarakis. Indeed, shortcomings of the former motivated the development of our test. The small sample performance of the bootstrap test is investigated by Monte Carlo simulations, and the results show that the test performs better than the Sup LM test.     

分布式并行粒子滤波算法结构分析与研究

粒子滤波器是解决非线性/非高斯系统状态估计的有效技术,广泛应用于目标跟踪、无线通信.自动控制等领域.但因其计算复杂、计算量庞大等缺陷,无法满足实时系统的应用需求.针对粒子滤波器计算量大、实时性差的问题,提出了一种基于MPI的分布式并行粒子滤波算法,给出了Master-Slave并行模式下任务分配、数据划分与负载平衡策略.实验结果表明,若忽略通信代价,加速比基本呈线性增长.     

Molecular simulation of phase coexistence: Finite-size effects and determination of critical parameters for two- and three-dimensional Lennard-Jones fluids

Abstact The subject of this paper is the investigation of finite-size effects and the determination of critical parameters for a class of truncated Lennard-Jones potentials. Despite significant recent progress in our ability to model phase equilibria in multicomponent mixtures from direct molecular simulations, the accurate determination of critical parameters remains a difficult problem. Gibbs ensemble Monte Carlo simulations with systems of controlled linear system size are used to obtain the phase behavior in the near-critical region for two- and three dimensional Lennard-Jones fluids with reduced cutoff radii of 3, 3.5, and 5. For the two-dimensional systems, crossover of the effective exponent for the width of the coexistence curve from mean field ( = 1/2 in the immediate vicinity of the critical point to Ising-like (= 1/8) farther away is observed. Critical parameters determined by fitting the data that follow Ising-like behavior are in good agreement with literature values obtained with finite-size scaling methods. For the three-dimensional systems, no crossover to mean field-type behavior was apparent. Extrapolated results for the critical parameters are consistent with literature estimates for similar fluids. For both two- and three-dimensional fluids, system size effects on the coexistence curves away from the critical point are small, normally within simulation statistical uncertainties.Invited paper presented at the Twelfth Symposium on Thermophysical Properties, June 19–24, 1994, Boulder. Colorado, U.S.A.     

Monte Carlo and variance reduction methods for structural reliability analysis: A comprehensive review

Monte Carlo methods have attracted constant and even increasing attention in structural reliability analysis with a wide variety of developments seamlessly presented over decades. Along the way, a number of specialized reviews and benchmark studies have been provided from time to time, aiming at summarizing and comparing selected few approaches in detail, mainly from an implementation point of view. In contrast, the aim of the present survey is to play a comprehensive role as a methodological guidebook on Monte Carlo simulation and its related, especially variance reduction, techniques through a covering of 444 references in the relevant literature. To achieve this goal, we present an extensive review of formulations and techniques along with insightful summaries of developments of existing numerical methods, ranging from the general formulation, sub-categories and variants, to their combined uses with other simulation techniques and surrogate models, as well as the key advantages and assumptions.     

Reliability analysis on systems with self-healing and self-repairing under different environments and shock models

Inspired by the process of self-healing of biological damage, high technology materials with self-healing and self-repairing mechanisms have been developed for high reliability and long lifetime. Therefore, the reliability modeling on intelligent systems with healing performance has become a research hotspot. Based on the diversity of healing mechanisms, this paper proposes a two-phase reliability model method on self-healing and self-repairing systems. Impacts of environments, shock loads, self-healing, and self-repairing mechanisms are taken into account in this novel model. Besides, system lifetime and some reliability indexes under two shock models are derived, respectively. Moreover, Monte Carlo simulations are conducted to verify the accuracy of reliability under two models. Finally, an engineering case of metallized film capacitor is provided to illustrate the effectiveness and applicability of the proposed models by comparing numerical results and simulation results.     

数字通信系统中的Monte Carlo仿真

介绍数字通信系统的广泛应用和Monte Carlo算法的基本思想,重点分析数字通信系统中的差错概率和应用Monte Carlo仿真对存在噪声和干扰的数字通信系统的性能进行评估。     

QSATS: MPI-driven quantum simulations of atomic solids at zero temperature

We describe QSATS, a parallel code for performing variational path integral simulations of the quantum mechanical ground state of monatomic solids. QSATS is designed to treat Boltzmann quantum solids, in which individual atoms are permanently associated with distinguishable crystal lattice sites and undergo large-amplitude zero-point motions around these sites. We demonstrate the capabilities of QSATS by using it to compute the total energy and potential energy of hexagonal close packed solid ⁴He at the density .

Program summary

Program title:QSATSCatalogue identifier: AEJE_v1_0Program summary URL:http://cpc.cs.qub.ac.uk/summaries/AEJE_v1_0.htmlProgram obtainable from: CPC Program Library, Queen?s University, Belfast, N. IrelandLicensing provisions: Standard CPC licence, http://cpc.cs.qub.ac.uk/licence/licence.htmlNo. of lines in distributed program, including test data, etc.: 7329No. of bytes in distributed program, including test data, etc.: 61 685Distribution format: tar.gzProgramming language: Fortran 77.Computer: QSATS should execute on any distributed parallel computing system that has the Message Passing Interface (MPI) [1] libraries installed.Operating system: Unix or Linux.Has the code been vectorized or parallelized?: Yes, parallelized using MPI [1].RAM: The memory requirements of QSATS depend on both the number of atoms in the crystal and the number of replicas in the variational path integral chain. For parameter sets A and C (described in the long write-up), approximately 4.5 Mbytes and 12 Mbytes, respectively, are required for data storage by QSATS (exclusive of the executable code).Classification: 7.7, 16.13.External routines: Message Passing Interface (MPI) [1]Nature of problem: QSATS simulates the quantum mechanical ground state for a monatomic crystal characterized by large-amplitude zero-point motions of individual (distinguishable) atoms around their nominal lattice sites.Solution method: QSATS employs variational path integral quantum Monte Carlo techniques to project the system?s ground state wave function out of a suitably-chosen trial wave function.Restrictions: QSATS neglects quantum statistical effects associated with the exchange of identical particles. As distributed, QSATS assumes that the potential energy function for the crystal is a pairwise additive sum of atom–atom interactions.Additional comments: An auxiliary program, ELOC, is provided that uses the output generated by QSATS to compute both the crystal?s ground state energy and the expectation value of the crystal?s potential energy. End users can modify ELOC as needed to compute the expectation value of other coordinate-space observables.Running time: QSATS requires roughly 3 hours to run a simulation using parameter set A on a cluster of 12 Xeon processors with clock speed 2.8 GHz. Roughly 15 hours are needed to run a simulation using parameter set C on the same cluster.References:

• [1] 

  For information about MPI, visit http://www.mcs.anl.gov/mpi/.