Estimating buffer overflows in three stages using cross-entropy

In this paper we propose a fast adaptive Importance Sampling method for the efficient simulation of buffer overflow probabilities in queueing networks. The method comprises three stages. First we estimate the minimum Cross-Entropy tilting parameter for a small buffer level; next, we use this as a starting value for the estimation of the optimal tilting parameter for the actual (large) buffer level; finally, the tilting parameter just found is used to estimate the overflow probability of interest. We recognize three distinct properties of the method which together explain why the method works well; we conjecture that they hold for quite general queueing networks. Numerical results support this conjecture and demonstrate the high efficiency of the proposed algorithm.

Mutation analysis to verify feature matrices for isolating errors in simulation models

Software simulation models are computer programs that need to be verified and debugged like any other software. In previous work, a method for error isolation in simulation models has been proposed. The method relies on a set of feature matrices that can be used to determine which part of the model implementation is responsible for deviations in the output of the model. Currrently these feature matrices have to be generated by hand from the model implementation, which is a tedious and error-prone task. In this paper, a method based on mutation analysis, as well as prototype tool support for the verification of the manually generated feature matrices is presented. The application of the method and tool to a model for wastewater treatment shows that the feature matrices can be verified effectively using a minimal number of mutants.

A novel approach to modelling and exploiting uncertainty in stochastic control systems

We consider an inversion-based neurocontroller for solving control problems of uncertain nonlinear systems. Classical approaches do not use uncertainty information in the neural network models. In this paper we show how we can exploit knowledge of this uncertainty to our advantage by developing a novel robust inverse control method. Simulations on a nonlinear uncertain second order system illustrate the approach.

Using simulation to assess the introduction of technology in a continuous operations process

Purpose – To investigate the role of simulation in the introduction of technology in a continuous operations process. Design/methodology/approach – A case-based research method was chosen with the aim to provide an exemplar of practice and test the proposition that the use of simulation can improve the implementation and running of conveyor systems in continuous process facilities. Findings – The research determines the optimum rate of re-introduction of inventory to a conveyor system generated during a breakdown event. Research limitations/implications – More case studies are required demonstrating the operational and strategic benefits that can be gained by using simulation to assess technology in organisations. Practical implications – A practical outcome of the study was the implementation of a policy for the manual re-introduction of inventory on a conveyor line after a breakdown event had occurred. Originality/value – The paper presents a novel example of the use of simulation to estimate the re-introduction rate of inventory after a breakdown event on a conveyor line. The paper highlights how by addressing this operational issue, ahead of implementation, the likelihood of the success of the strategic decision to acquire the technology can be improved.

Emulation of random output simulators

Computer models, or simulators, are widely used in a range of scientific fields to aid understanding of the processes involved and make predictions. Such simulators are often computationally demanding and are thus not amenable to statistical analysis. Emulators provide a statistical approximation, or surrogate, for the simulators accounting for the additional approximation uncertainty. This thesis develops a novel sequential screening method to reduce the set of simulator variables considered during emulation. This screening method is shown to require fewer simulator evaluations than existing approaches. Utilising the lower dimensional active variable set simplifies subsequent emulation analysis. For random output, or stochastic, simulators the output dispersion, and thus variance, is typically a function of the inputs. This work extends the emulator framework to account for such heteroscedasticity by constructing two new heteroscedastic Gaussian process representations and proposes an experimental design technique to optimally learn the model parameters. The design criterion is an extension of Fisher information to heteroscedastic variance models. Replicated observations are efficiently handled in both the design and model inference stages. Through a series of simulation experiments on both synthetic and real world simulators, the emulators inferred on optimal designs with replicated observations are shown to outperform equivalent models inferred on space-filling replicate-free designs in terms of both model parameter uncertainty and predictive variance.

Integration of the Manakov-PMD Equation with Precomputed M(w) Matrices for PMD Simulation

A novel direct integration technique of the Manakov-PMD equation for the simulation of polarisation mode dispersion (PMD) in optical communication systems is demonstrated and shown to be numerically as efficient as the commonly used coarse-step method. The main advantage of using a direct integration of the Manakov-PMD equation over the coarse-step method is a higher accuracy of the PMD model. The new algorithm uses precomputed M(w) matrices to increase the computational speed compared to a full integration without loss of accuracy. The simulation results for the probability distribution function (PDF) of the differential group delay (DGD) and the autocorrelation function (ACF) of the polarisation dispersion vector for varying numbers of precomputed M(w) matrices are compared to analytical models and results from the coarse-step method. It is shown that the coarse-step method achieves a significantly inferior reproduction of the statistical properties of PMD in optical fibres compared to a direct integration of the Manakov-PMD equation.

Polarisation mode dispersion correlations with the coarse-step method

Having a fixed differential-group delay (DGD) term b′ in the coarse-step method results in a repetitive pattern in the autocorrelation function (ACF). We solve this problem by inserting a varying DGD term at each integration step. Furthermore we compute the range of values needed for b′ and simulate the phenomenon of polarisation mode dispersion for different statistical distributions of b′. We examine systematically the modified coarse-step method compared to the analytical model, through our simulation results. © 2006 Elsevier B.V. All rights reserved.

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.

Gaussian process approximations of stochastic differential equations

Stochastic differential equations arise naturally in a range of contexts, from financial to environmental modeling. Current solution methods are limited in their representation of the posterior process in the presence of data. In this work, we present a novel Gaussian process approximation to the posterior measure over paths for a general class of stochastic differential equations in the presence of observations. The method is applied to two simple problems: the Ornstein-Uhlenbeck process, of which the exact solution is known and can be compared to, and the double-well system, for which standard approaches such as the ensemble Kalman smoother fail to provide a satisfactory result. Experiments show that our variational approximation is viable and that the results are very promising as the variational approximate solution outperforms standard Gaussian process regression for non-Gaussian Markov processes.

Numerical implementation of the coarse step method with a varying differential group delay

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.

Analysis and simulation of computer controlled cellular mobile radio systems

Cellular mobile radio systems will be of increasing importance in the future. This thesis describes research work concerned with the teletraffic capacity and the canputer control requirements of such systems. The work involves theoretical analysis and experimental investigations using digital computer simulation. New formulas are derived for the congestion in single-cell systems in which there are both land-to-mobile and mobile-to-mobile calls and in which mobile-to-mobile calls go via the base station. Two approaches are used, the first yields modified forms of the familiar Erlang and Engset formulas, while the second gives more complicated but more accurate formulas. The results of computer simulations to establish the accuracy of the formulas are described. New teletraffic formulas are also derived for the congestion in multi -cell systems. Fixed, dynamic and hybrid channel assignments are considered. The formulas agree with previously published simulation results. Simulation programs are described for the evaluation of the speech traffic of mobiles and for the investigation of a possible computer network for the control of the speech traffic. The programs were developed according to the structured progranming approach leading to programs of modular construction. Two simulation methods are used for the speech traffic: the roulette method and the time-true method. The first is economical but has some restriction, while the second is expensive but gives comprehensive answers. The proposed control network operates at three hierarchical levels performing various control functions which include: the setting-up and clearing-down of calls, the hand-over of calls between cells and the address-changing of mobiles travelling between cities. The results demonstrate the feasibility of the control netwvork and indicate that small mini -computers inter-connected via voice grade data channels would be capable of providing satisfactory control

Simulation and control of a stepping motor

Open-loop operatlon of the stepping motor exploits the inherent advantages of the machine. For near optimum operation: in this mode, however, an accurate system model is required to facilitate controller design. Such a model must be comprehensive and take account of the non-linearities inherent in the system. The result is a complex formulation which can be made manageable with a computational aid. A digital simulation of a hybrid type stepping motor and its associated drive circuit is proposed. The simulation is based upon a block diagram model which includes reasonable approximations to the major non-linearities. The simulation is shown to yield accurate performance predictions. The determination of the transfer functions is based upon the consideration of the physical processes involved rather than upon direct input-outout measurements. The effects of eddy currents, saturation, hysteresis, drive circuit characteristics and non-linear torque displacement characteristics are considered and methods of determining transfer functions, which take account of these effects, are offered. The static torque displacement characteristic is considered in detail and a model is proposed which predicts static torque for any combination of phase currents and shaft position. Methods of predicting the characteristic directly from machine geometry are investigated. Drive circuit design for high efficiency operation is considered and a model of a bipolar, bilevel circuit is proposed. The transfers between stator voltage and stator current and between stator current and air gap flux are complicated by the effects of eddy currents, saturation and hysteresis. Frequency response methods, combined with average inductance measurements, are shown to yield reasonable transfer functions. The modelling procedure and subsequent digital simulation is concluded to be a powerful method of non-linear analysis.

Optimization of chemical plant simulation using double collocation

A method has been constructed for the solution of a wide range of chemical plant simulation models including differential equations and optimization. Double orthogonal collocation on finite elements is applied to convert the model into an NLP problem that is solved either by the VF 13AD package based on successive quadratic programming, or by the GRG2 package, based on the generalized reduced gradient method. This approach is termed simultaneous optimization and solution strategy. The objective functional can contain integral terms. The state and control variables can have time delays. Equalities and inequalities containing state and control variables can be included into the model as well as algebraic equations and inequalities. The maximum number of independent variables is 2. Problems containing 3 independent variables can be transformed into problems having 2 independent variables using finite differencing. The maximum number of NLP variables and constraints is 1500. The method is also suitable for solving ordinary and partial differential equations. The state functions are approximated by a linear combination of Lagrange interpolation polynomials. The control function can either be approximated by a linear combination of Lagrange interpolation polynomials or by a piecewise constant function over finite elements. The number of internal collocation points can vary by finite elements. The residual error is evaluated at arbitrarily chosen equidistant grid-points, thus enabling the user to check the accuracy of the solution between collocation points, where the solution is exact. The solution functions can be tabulated. There is an option to use control vector parameterization to solve optimization problems containing initial value ordinary differential equations. When there are many differential equations or the upper integration limit should be selected optimally then this approach should be used. The portability of the package has been addressed converting the package from V AX FORTRAN 77 into IBM PC FORTRAN 77 and into SUN SPARC 2000 FORTRAN 77. Computer runs have shown that the method can reproduce optimization problems published in the literature. The GRG2 and the VF I 3AD packages, integrated into the optimization package, proved to be robust and reliable. The package contains an executive module, a module performing control vector parameterization and 2 nonlinear problem solver modules, GRG2 and VF I 3AD. There is a stand-alone module that converts the differential-algebraic optimization problem into a nonlinear programming problem.