Fast Update of Conditional Simulation Ensembles

Gaussian random field (GRF) conditional simulation is a key ingredient in many spatial statistics problems for computing Monte-Carlo estimators and quantifying uncertainties on non-linear functionals of GRFs conditional on data. Conditional simulations are known to often be computer intensive, especially when appealing to matrix decomposition approaches with a large number of simulation points. This work studies settings where conditioning observations are assimilated batch sequentially, with one point or a batch of points at each stage. Assuming that conditional simulations have been performed at a previous stage, the goal is to take advantage of already available sample paths and by-products to produce updated conditional simulations at mini- mal cost. Explicit formulae are provided, which allow updating an ensemble of sample paths conditioned on n ≥ 0 observations to an ensemble conditioned on n + q observations, for arbitrary q ≥ 1. Compared to direct approaches, the proposed formulae proveto substantially reduce computational complexity. Moreover, these formulae explicitly exhibit how the q new observations are updating the old sample paths. Detailed complexity calculations highlighting the benefits of this approach with respect to state-of-the-art algorithms are provided and are complemented by numerical experiments.

Real-time simulation of nonequilibrium transport of magnetization in large open quantum spin systems driven by dissipation

Using quantum Monte Carlo, we study the nonequilibrium transport of magnetization in large open strongly correlated quantum spin-12 systems driven by purely dissipative processes that conserve the uniform or staggered magnetization, disregarding unitary Hamiltonian dynamics. We prepare both a low-temperature Heisenberg ferromagnet and an antiferromagnet in two parts of the system that are initially isolated from each other. We then bring the two subsystems in contact and study their real-time dissipative dynamics for different geometries. The flow of the uniform or staggered magnetization from one part of the system to the other is described by a diffusion equation that can be derived analytically.

Stochastic simulation of rare events

Stochastic simulation is an important and practical technique for computing probabilities of rare events, like the payoff probability of a financial option, the probability that a queue exceeds a certain level or the probability of ruin of the insurer's risk process. Rare events occur so infrequently, that they cannot be reasonably recorded during a standard simulation procedure: specifc simulation algorithms which thwart the rarity of the event to simulate are required. An important algorithm in this context is based on changing the sampling distribution and it is called importance sampling. Optimal Monte Carlo algorithms for computing rare event probabilities are either logarithmic eficient or possess bounded relative error.

Slope estimation in a parametric measurement error model: A simulation study

In regression analysis, covariate measurement error occurs in many applications. The error-prone covariates are often referred to as latent variables. In this proposed study, we extended the study of Chan et al. (2008) on recovering latent slope in a simple regression model to that in a multiple regression model. We presented an approach that applied the Monte Carlo method in the Bayesian framework to the parametric regression model with the measurement error in an explanatory variable. The proposed estimator applied the conditional expectation of latent slope given the observed outcome and surrogate variables in the multiple regression models. A simulation study was presented showing that the method produces estimator that is efficient in the multiple regression model, especially when the measurement error variance of surrogate variable is large.^

Simulation tools for statistical model comparison: an application to unobserved componenet models versus dynamic regression models

Aplicación de simulación de Monte Carlo y técnicas de Análisis de la Varianza (ANOVA) a la comparación de modelos estocásticos dinámicos para accidentes de tráfico.

Simulation of academic performance rates, estimation of indicators of subjects and of a complete degree

The purpose of this paper is to present a program written in Matlab-Octave for the simulation of the time evolution of student curricula, i.e, how students pass their subjects along time until graduation. The program computes, from the simulations, the academic performance rates for the subjects of the study plan for each semester as well as the overall rates, which are a) the efficiency rate defined as the ratio of the number of students passing the exam to the number of students who registered for it and b) the success rate, defined as the ratio of the number of students passing the exam to the number of students who not only registered for it but also actually took it. Additionally, we compute the rates for the bachelor academic degree which are established for Spain by the National Quality Evaluation and Accreditation Agency (ANECA) and which are the graduation rate (measured as the percentage of students who finish as scheduled in the plan or taking an extra year) and the efficiency rate (measured as the percentage of credits which a student who graduated has really taken). The simulation is done in terms of the probabilities of passing all the subjects in their study plan. The application of the simulator to Polytech students in Madrid, where requirements for passing are specially stiff in first and second year subjects, is particularly relevant to analyze student cohorts and the probabilities of students finishing in the minimum of four years, or taking and extra year or two extra years, and so forth. It is a very useful tool when designing new study plans. The calculation of the probability distribution of the random variable "number of semesters a student has taken to complete the curricula and graduate" is difficult or even unfeasible to obtain analytically, and this is even truer when we incorporate uncertainty in parameter estimation. This is why we apply Monte Carlo simulation which not only provides illustration of the stochastic process but also a method for computation. The stochastic simulator is proving to be a useful tool for identification of the subjects most critical in the distribution of the number of semesters for curriculum vitae (CV) completion and subsequently for a decision making process in terms of CV planning and passing standards in the University. Simulations are performed through a graphical interface where also the results are presented in appropriate figures. The Project has been funded by the Call for Innovation in Education Projects of Universidad Politécnica de Madrid (UPM) through a Project of its school Escuela Técnica Superior de Ingenieros Industriales ETSII during the period September 2010-September 2011.

Simulation of impulse response for indoor visible light communications using 3D CAD models

n this article, a tool for simulating the channel impulse response for indoor visible light communications using 3D computer-aided design (CAD) models is presented. The simulation tool is based on a previous Monte Carlo ray-tracing algorithm for indoor infrared channel estimation, but including wavelength response evaluation. The 3D scene, or the simulation environment, can be defined using any CAD software in which the user specifies, in addition to the setting geometry, the reflection characteristics of the surface materials as well as the structures of the emitters and receivers involved in the simulation. Also, in an effort to improve the computational efficiency, two optimizations are proposed. The first one consists of dividing the setting into cubic regions of equal size, which offers a calculation improvement of approximately 50% compared to not dividing the 3D scene into sub-regions. The second one involves the parallelization of the simulation algorithm, which provides a computational speed-up proportional to the number of processors used.

Time-multiscale methods for the simulation of slow transport problems in atomistic systems

En esta tesis presentamos una teoría adaptada a la simulación de fenómenos lentos de transporte en sistemas atomísticos. En primer lugar, desarrollamos el marco teórico para modelizar colectividades estadísticas de equilibrio. A continuación, lo adaptamos para construir modelos de colectividades estadísticas fuera de equilibrio. Esta teoría reposa sobre los principios de la mecánica estadística, en particular el principio de máxima entropía de Jaynes, utilizado tanto para sistemas en equilibrio como fuera de equilibrio, y la teoría de las aproximaciones del campo medio. Expresamos matemáticamente el problema como un principio variacional en el que maximizamos una entropía libre, en lugar de una energía libre. La formulación propuesta permite definir equivalentes atomísticos de variables macroscópicas como la temperatura y la fracción molar. De esta forma podemos considerar campos macroscópicos no uniformes. Completamos el marco teórico con reglas de cuadratura de Monte Carlo, gracias a las cuales obtenemos modelos computables. A continuación, desarrollamos el conjunto completo de ecuaciones que gobiernan procesos de transporte. Deducimos la desigualdad de disipación entrópica a partir de fuerzas y flujos termodinámicos discretos. Esta desigualdad nos permite identificar la estructura que deben cumplir los potenciales cinéticos discretos. Dichos potenciales acoplan las tasas de variación en el tiempo de las variables microscópicas con las fuerzas correspondientes. Estos potenciales cinéticos deben ser completados con una relación fenomenológica, del tipo definido por la teoría de Onsanger. Por último, aportamos validaciones numéricas. Con ellas ilustramos la capacidad de la teoría presentada para simular propiedades de equilibrio y segregación superficial en aleaciones metálicas. Primero, simulamos propiedades termodinámicas de equilibrio en el sistema atomístico. A continuación evaluamos la habilidad del modelo para reproducir procesos de transporte en sistemas complejos que duran tiempos largos con respecto a los tiempos característicos a escala atómica. ABSTRACT In this work, we formulate a theory to address simulations of slow time transport effects in atomic systems. We first develop this theoretical framework in the context of equilibrium of atomic ensembles, based on statistical mechanics. We then adapt it to model ensembles away from equilibrium. The theory stands on Jaynes' maximum entropy principle, valid for the treatment of both, systems in equilibrium and away from equilibrium and on meanfield approximation theory. It is expressed in the entropy formulation as a variational principle. We interpret atomistic equivalents of macroscopic variables such as the temperature and the molar fractions, wich are not required to be uniform, but can vary from particle to particle. We complement this theory with Monte Carlo summation rules for further approximation. In addition, we provide a framework for studying transport processes with the full set of equations driving the evolution of the system. We first derive a dissipation inequality for the entropic production involving discrete thermodynamic forces and fluxes. This discrete dissipation inequality identifies the adequate structure for discrete kinetic potentials which couple the microscopic field rates to the corresponding driving forces. Those kinetic potentials must finally be expressed as a phenomenological rule of the Onsanger Type. We present several validation cases, illustrating equilibrium properties and surface segregation of metallic alloys. We first assess the ability of a simple meanfield model to reproduce thermodynamic equilibrium properties in systems with atomic resolution. Then, we evaluate the ability of the model to reproduce a long-term transport process in complex systems.

Simulation of the cold climate event 8200 years ago by meltwater outburst from Lake Agassiz

The cold climate anomaly about 8200 years ago is investigated with CLIMBER-2, a coupled atmosphere-ocean-biosphere model of intermediate complexity. This climate model simulates a cooling of about 3.6 K over the North Atlantic induced by a meltwater pulse from Lake Agassiz routed through the Hudson strait. The meltwater pulse is assumed to have a volume of 1.6 x 10^14 m^3 and a period of discharge of 2 years on the basis of glaciological modeling of the decay of the Laurentide Ice Sheet ( LIS). We present a possible mechanism which can explain the centennial duration of the 8.2 ka cold event. The mechanism is related to the existence of an additional equilibrium climate state with reduced North Atlantic Deep Water (NADW) formation and a southward shift of the NADW formation area. Hints at the additional climate state were obtained from the largely varying duration of the pulse-induced cold episode in response to overlaid random freshwater fluctuations in Monte Carlo simulations. The model equilibrium state was attained by releasing a weak multicentury freshwater flux through the St. Lawrence pathway completed by the meltwater pulse. The existence of such a climate mode appears essential for reproducing climate anomalies in close agreement with paleoclimatic reconstructions of the 8.2 ka event. The results furthermore suggest that the temporal evolution of the cold event was partly a matter of chance.

The transform likelihood ratio method for rare event simulation with heavy tails

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.

Genetic assignment methods for the direct, real-time estimation of migration rate: a simulation-based exploration of accuracy and power

Genetic assignment methods use genotype likelihoods to draw inference about where individuals were or were not born, potentially allowing direct, real-time estimates of dispersal. We used simulated data sets to test the power and accuracy of Monte Carlo resampling methods in generating statistical thresholds for identifying F-0 immigrants in populations with ongoing gene flow, and hence for providing direct, real-time estimates of migration rates. The identification of accurate critical values required that resampling methods preserved the linkage disequilibrium deriving from recent generations of immigrants and reflected the sampling variance present in the data set being analysed. A novel Monte Carlo resampling method taking into account these aspects was proposed and its efficiency was evaluated. Power and error were relatively insensitive to the frequency assumed for missing alleles. Power to identify F-0 immigrants was improved by using large sample size (up to about 50 individuals) and by sampling all populations from which migrants may have originated. A combination of plotting genotype likelihoods and calculating mean genotype likelihood ratios (D-LR) appeared to be an effective way to predict whether F-0 immigrants could be identified for a particular pair of populations using a given set of markers.

High-pressure adsorption capacity and structure of CO2 in carbon slit pores: Theory and simulation

We present new simulation results for the packing of single-center and three-center models of carbon dioxide at high pressure in carbon slit pores. The former shows a series of packing transitions that are well described by our density functional theory model developed earlier. In contrast, these transitions are absent for the three-center model. Analysis of the simulation results shows that alternations of flat-lying molecules and rotated molecules can occur as the pore width is increased. The presence or absence of quadrupoles has negligible effect on these high-density structures.

Molecular dynamics simulation of the structural and dynamic properties of dioctadecyldimethyl ammoniums in organoclays

The structural and dynamic properties of dioctadecyldimethylammoniums (DODDMA) intercalated into 2:1 layered clays are investigated using isothermal-isobaric (NPT) molecular dynamics (MD) simulation. The simulated results are in reasonably good agreement with the available experimental measurements, such as X-ray diffraction (XRD), atom force microscopy (AFM), Fourier transform infrared (FTIR), and nuclear magnetic resonance (NMR) spectroscopies. The nitrogen atoms are found to be located mainly within two layers close to the clay surface whereas methylene groups form a pseudoquadrilayer structure. The results of tilt angle and order parameter show that interior two-bond segments of alkyl chains prefer an arrangement parallel to the clay surface, whereas the segments toward end groups adopt a random orientation. In addition, the alkyl chains within the layer structure lie almost parallel to the clay surface whereas those out of the layer structure are essentially perpendicular to the surface. The trans conformations are predominant in all cases although extensive gauche conformations are observed, which is in agreement with previous simulations on n-butane. Moreover, an odd-even effect in conformation distributions is observed mainly along the chains close to the head and tail groups. The diffusion constants of both nitrogen atoms and methylene groups in these nanoconfined alkyl chains increase with the temperature and methelene position toward the tail groups.

Adsorption of ethylene on graphitized thermal carbon black and in slit pores: A computer simulation study

In this paper, we studied vapor-liquid equilibria (VLE) and adsorption of ethylene on graphitized thermal carbon black and in slit pores whose walls are composed of graphene layers. Simple models of a one-center Lennard-Jones (LJ) potential and a two-center united atom (UA)-LJ potential are investigated to study the impact of the choice of potential models in the description of VLE and adsorption behavior. Here, we used a Monte Carlo simulation method with grand canonical Monte Carlo (GCMC) and Gibbs ensemble Monte Carlo ensembles. The one-center potential model cannot describe adequately the VLE over the practical range of temperature from the triple point to the critical point. On the other hand, the two-center potential model (Wick et al. J. Phys. Chem. B 2000, 104, 8008-8016) performs well in the description of VLE (saturated vapor and liquid densities and vapor pressure) over the wide range of temperature. This UA-LJ model is then used in the study of adsorption of ethylene on graphitized thermal carbon black and in slit pores. Agreement between the GCMC simulation results and the experimental data on graphitized thermal carbon black for moderate temperatures is excellent, demonstrating that the potential of the GCMC method and the proper choice of potential model are essential to investigate adsorption. For slit pores of various sizes, we have found that the behavior of ethylene exhibits a number of features that are not manifested in the study of spherical LJ particles. In particular, the singlet density distribution versus distance across the pore and the angle between the molecular axis and the z direction provide rich information about the way molecules arrange themselves when the pore width is varied. Such an arrangement has been found to be very sensitive to the pore width.

Adsorption of Lennard-Jones fluids in carbon slit pores of a finite length. A computer simulation study

The adsorption of simple Lennard-Jones fluids in a carbon slit pore of finite length was studied with Canonical Ensemble (NVT) and Gibbs Ensemble Monte Carlo Simulations (GEMC). The Canonical Ensemble was a collection of cubic simulation boxes in which a finite pore resides, while the Gibbs Ensemble was that of the pore space of the finite pore. Argon was used as a model for Lennard-Jones fluids, while the adsorbent was modelled as a finite carbon slit pore whose two walls were composed of three graphene layers with carbon atoms arranged in a hexagonal pattern. The Lennard-Jones (LJ) 12-6 potential model was used to compute the interaction energy between two fluid particles, and also between a fluid particle and a carbon atom. Argon adsorption isotherms were obtained at 87.3 K for pore widths of 1.0, 1.5 and 2.0 nm using both Canonical and Gibbs Ensembles. These results were compared with isotherms obtained with corresponding infinite pores using Grand Canonical Ensembles. The effects of the number of cycles necessary to reach equilibrium, the initial allocation of particles, the displacement step and the simulation box size were particularly investigated in the Monte Carlo simulation with Canonical Ensembles. Of these parameters, the displacement step had the most significant effect on the performance of the Monte Carlo simulation. The simulation box size was also important, especially at low pressures at which the size must be sufficiently large to have a statistically acceptable number of particles in the bulk phase. Finally, it was found that the Canonical Ensemble and the Gibbs Ensemble both yielded the same isotherm (within statistical error); however, the computation time for GEMC was shorter than that for canonical ensemble simulation. However, the latter method described the proper interface between the reservoir and the adsorbed phase (and hence the meniscus).