940 resultados para Generalized Differential Transform Method
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Thesis (M.S.)--University of California, Berkeley, 1899.
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Mode of access: Internet.
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Mode of access: Internet.
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Thesis (Ph.D.)--University of Washington, 2016-06
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We present a novel method, called the transform likelihood ratio (TLR) method, for estimation of rare event probabilities with heavy-tailed distributions. Via a simple transformation ( change of variables) technique the TLR method reduces the original rare event probability estimation with heavy tail distributions to an equivalent one with light tail distributions. Once this transformation has been established we estimate the rare event probability via importance sampling, using the classical exponential change of measure or the standard likelihood ratio change of measure. In the latter case the importance sampling distribution is chosen from the same parametric family as the transformed distribution. We estimate the optimal parameter vector of the importance sampling distribution using the cross-entropy method. We prove the polynomial complexity of the TLR method for certain heavy-tailed models and demonstrate numerically its high efficiency for various heavy-tailed models previously thought to be intractable. We also show that the TLR method can be viewed as a universal tool in the sense that not only it provides a unified view for heavy-tailed simulation but also can be efficiently used in simulation with light-tailed distributions. We present extensive simulation results which support the efficiency of the TLR method.
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Recently the Balanced method was introduced as a class of quasi-implicit methods for solving stiff stochastic differential equations. We examine asymptotic and mean-square stability for several implementations of the Balanced method and give a generalized result for the mean-square stability region of any Balanced method. We also investigate the optimal implementation of the Balanced method with respect to strong convergence.
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The effect of having a fixed differential group delay term in the coarse step method results in a periodic pattern in the inserting a varying DGD term at each integration step, according to a Gaussian distribution. Simulation results are given to illustrate the phenomenon and provide some evidence about its statistical nature.
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In this article, an iterative algorithm based on the Landweber-Fridman method in combination with the boundary element method is developed for solving a Cauchy problem in linear hydrostatics Stokes flow of a slow viscous fluid. This is an iteration scheme where mixed well-posed problems for the stationary generalized Stokes system and its adjoint are solved in an alternating way. A convergence proof of this procedure is included and an efficient stopping criterion is employed. The numerical results confirm that the iterative method produces a convergent and stable numerical solution. © 2007 Wiley Periodicals, Inc. Numer Methods Partial Differential Eq 2007
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The effect of having a fixed differential-group delay term in the coarse-step method results in a periodic pattern in the autocorrelation function. We solve this problem by inserting a varying DGD term at each integration step, according to a Gaussian distribution. Simulation results are given to illustrate the phenomenon and provide some evidence, about its statistical nature.
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The present paper investigates the existence of integral manifolds for impulsive differential equations with variable perturbations. By means of piecewise continuous functions which are generalizations of the classical Lyapunov’s functions, sufficient conditions for the existence of integral manifolds of such equations are found.
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Mathematics Subject Classification: Primary 33E20, 44A10; Secondary 33C10, 33C20, 44A20
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Mathematics Subject Classification: 44A05, 44A35
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Mathematical Subject Classification 2010: 35R11, 42A38, 26A33, 33E12.
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MSC 2010: 30C45, 30A20, 34A40