Testing multiple mapping conditioning mixing for Monte Carlo probability density function simulations

Mitarai [Phys. Fluids 17, 047101 (2005)] compared turbulent combustion models against homogeneous direct numerical simulations with extinction/recognition phenomena. The recently suggested multiple mapping conditioning (MMC) was not considered and is simulated here for the same case with favorable results. Implementation issues crucial for successful MMC simulations are also discussed.

Structure of saccharose-based carbon and transport of confined fluids: hybrid reverse Monte Carlo reconstruction and simulation studies

We present results of the reconstruction of a saccharose-based activated carbon (CS1000a) using hybrid reverse Monte Carlo (HRMC) simulation, recently proposed by Opletal et al. [1]. Interaction between carbon atoms in the simulation is modeled by an environment dependent interaction potential (EDIP) [2,3]. The reconstructed structure shows predominance of sp(2) over sp bonding, while a significant proportion of sp(3) hybrid bonding is also observed. We also calculated a ring distribution and geometrical pore size distribution of the model developed. The latter is compared with that obtained from argon adsorption at 87 K using our recently proposed characterization procedure [4], the finite wall thickness (FWT) model. Further, we determine self-diffusivities of argon and nitrogen in the constructed carbon as functions of loading. It is found that while there is a maximum in the diffusivity with respect to loading, as previously observed by Pikunic et al. [5], diffusivities in the present work are 10 times larger than those obtained in the prior work, consistent with the larger pore size as well as higher porosity of the activated saccharose carbon studied here.

Application of Monte Carlo simulations to identify an appropriate dosage strategy for patients receiving a continuous intravenous infusion of enoxaparin

Aim: To identify an appropriate dosage strategy for patients receiving enoxaparin by continuous intravenous infusion (CII). Methods: Monte Carlo simulations were performed in NONMEM, (200 replicates of 1000 patients) to predict steady state anti-Xa concentrations (Css) for patients receiving a CII of enoxaparin. The covariate distribution model was simulated based on covariate demographics in the CII study population. The impact of patient weight, renal function (creatinine clearance (CrCL)) and patient location (intensive care unit (ICU)) were evaluated. A population pharmacokinetic model was used as the input-output model (1-compartment first order output model with mixed residual error structure). Success of a dosing regimen was based on the percent of Css that is between the therapeutic range of 0.5 IU/ml to 1.2 IU/ml. Results: The best dose for patients in the ICU was 4.2IU/kg/h (success mean 64.8% and 90% prediction interval (PI): 60.1–69.8%) if CrCL60ml/min, the best dose was 8.3IU/kg/h (success mean 65.4%, 90% PI: 58.5–73.2%). Simulations suggest that there was a 50% improvement in the success of the CII if the dose rate for ICU patients with CrCL

A comparison of variational and Markov chain Monte Carlo methods for inference in partially observed stochastic dynamic systems

In recent work we have developed a novel variational inference method for partially observed systems governed by stochastic differential equations. In this paper we provide a comparison of the Variational Gaussian Process Smoother with an exact solution computed using a Hybrid Monte Carlo approach to path sampling, applied to a stochastic double well potential model. It is demonstrated that the variational smoother provides us a very accurate estimate of mean path while conditional variance is slightly underestimated. We conclude with some remarks as to the advantages and disadvantages of the variational smoother. © 2008 Springer Science + Business Media LLC.

Productivity change using growth accounting and frontier-based approaches:evidence from a Monte Carlo analysis

This study presents some quantitative evidence from a number of simulation experiments on the accuracy of the productivitygrowth estimates derived from growthaccounting (GA) and frontier-based methods (namely data envelopment analysis-, corrected ordinary least squares-, and stochastic frontier analysis-based malmquist indices) under various conditions. These include the presence of technical inefficiency, measurement error, misspecification of the production function (for the GA and parametric approaches) and increased input and price volatility from one period to the next. The study finds that the frontier-based methods usually outperform GA, but the overall performance varies by experiment. Parametric approaches generally perform best when there is no functional form misspecification, but their accuracy greatly diminishes otherwise. The results also show that the deterministic approaches perform adequately even under conditions of (modest) measurement error and when measurement error becomes larger, the accuracy of all approaches (including stochastic approaches) deteriorates rapidly, to the point that their estimates could be considered unreliable for policy purposes.

Monte Carlo and molecular dynamics simulations of methane in potassium montmorillonite clay hydrates at elevated pressures and temperatures

The structure and dynamics of methane in hydrated potassium montmorillonite clay have been studied under conditions encountered in sedimentary basin and compared to those of hydrated sodium montmorillonite clay using computer simulation techniques. The simulated systems contain two molecular layers of water and followed gradients of 150 barkm-1 and 30 Kkm-1 up to a maximum burial depth of 6 km. Methane particle is coordinated to about 19 oxygen atoms, with 6 of these coming from the clay surface oxygen. Potassium ions tend to move away from the center towards the clay surface, in contrast to the behavior observed with the hydrated sodium form. The clay surface affinity for methane was found to be higher in the hydrated K-form. Methane diffusion in the two-layer hydrated K-montmorillonite increases from 0.39×10-9 m2s-1 at 280 K to 3.27×10-9 m2s-1 at 460 K compared to 0.36×10-9 m2s-1 at 280 K to 4.26×10-9 m2s-1 at 460 K in Na-montmorillonite hydrate. The distributions of the potassium ions were found to vary in the hydrates when compared to those of sodium form. Water molecules were also found to be very mobile in the potassium clay hydrates compared to sodium clay hydrates. © 2004 Elsevier Inc. All All rights reserved.

Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options

∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].

Monte Carlo Random Walk Simulations Based on Distributed Order Differential Equations with Applications to Cell Biology

Mathematics Subject Classification: 65C05, 60G50, 39A10, 92C37

A New Algorithm for Monte Carlo for American Options

2000 Mathematics Subject Classification: 91B28, 65C05.