Probabilistic Shortcuts and Additional Topics
A probabilistic shortcut in random varlate generation is a method for reducing the expected time in a simulation by recognizing a certain structure in the problem. This principle can be illustrated in hundreds of ways. Indeed, there is not a single example that could be called “typical”. It should be stressed that the efficiency is derived from the problem itself, and is probabilistic in nature. This distinguishes these shortcuts from certain techniques that are based upon clever data structures or fast algorithms for certain sub-tasks. We will draw our examples from three sources: the simulation of maxima and sums of lid random variables, and the simulation of regenerative processes.
KeywordsCharacteristic Function Inversion Method Inversion Formula Discrete Event Simulation Fourth Moment
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